Equities LiquidityMatrix March 2016

Every month, TABB Group’s Equities LiquidityMatrix™ provides the industry with metrics from more than 20 ATS/SDPs, including stock capitalization distribution, block and demi-block % (shares & notional), midpoint %, and inside NBBO %, as well as a breakdown of exchange market share. In March 2016, the VIX average close decreased 30% month-over-month to 15.8, the lowest since July 2015 and off-exchange volume increased month-over-month from 35.7% to 36.8%, the highest since August 2014. Industry volume decreased 13% MoM to 7.7 billion shares, marking an end to the volume spike in the first two months of 2016. In Q1-2016, there were 10 days of volumes over 10 billion shares compared to 13 days total in 2012-2015 (in the four years post financial crisis).