Equities LiquidityMatrix August 2016

Every month, TABB Group’s Equities LiquidityMatrix™ provides the industry with metrics from 25 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. Off-exchange market share in August 2016 increased 0.1% month-over-month to 38.4%, the second consecutive month that off-exchange volume was at a 6-year high. During the same period, the VIX average close decreased from 13.2 to 12.4, a 2-year low. Month-over-month, industry average daily volume decreased 7% in August 2016 while TABB-reported ATS/SDP volume decreased 5%.