TABB Equity Digest: Q2-2016

The average daily volume in Q2-2016 was 7.2b shares, the highest ADV for the second quarter since 2010 (10.4b). Historically, volume dips during the second quarter. While this trend continued in 2016, with industry ADV declining from the 8.6b in Q1, Q2 volume was still up relative to the same time period in previous years. In Q2-2016, the off-exchange market share increased 0.5% YoY to 36.8%. In Aug-2016, off-exchange market share increased further to 38.4%, the highest monthly off-exchange market share since 2010, but has since decreased.

In Q2-2016, the industry volume consisted of 56.9% Lit Volume (+0.8% YoY) and 43.1% Dark Volume. “Dark Volume” consists of Retail Wholesalers/Single-Dealer Platforms (SDP)/Other, Dark ATSs, and Hidden Exchange. The Dark Volume breakdown in Q2-2016 was 51.4% Retail Wholesaler/SDP/Other, 30.0% Dark ATSs, and 18.6% Hidden Exchange. The YoY gain in Lit Volume was shared by Exchanges (+0.3%) and Lit ATSs (+0.5%).

In Q2-2016, US equity volume consisted of 53.3% Tape A (+0.6% YoY), 20.6% Tape B (+2.1% YoY) and 26.1% Tape C (-2.6% YoY) shares. Although Tape B market share was up YoY in Q2-2016, it declined versus Q1-2016, when it reached an all-time high of 21.9%. NYSE, which is made up of only Tape A securities, increased its Tape A market share to 25.8% in Q2-2016. And in Oct-2016, NYSE became the single largest liquidity pool with a market share of 13.3%.

Three retail wholesalers had market shares that reached an all-time high in Q2-2016. Citadel’s Retail Wholesaler market share increased 4.3% YoY in Jun-2016, to 35.4%; G1X market share reached 15.2% in Jun-2016; and Two Sigma market share reached 9.7% in Jun-2016.

Within the 27 exhibits of the report, we combine data from the SEC market structure website, SEC Rule 605 (order execution) and Rule 606 (order routing) disclosures, FINRA Rule 4552, self-reported Single-Dealer Platforms, exchange order type information, and the SIP to bring you a comprehensive breakdown of US equity volume. We drill down to report Retail Wholesaler, Hidden Exchange and tape market share. The timing of each publication is in arrear to capture the FINRA and SEC publications.