TABB Equity Digest: Q2-2017

Dark Volume, 44.9% of the total US equities volume, was comprised of 32.1% Retail Wholesaler, 26.9% Dark ATS, 22.3% SDP/Other, and 18.7% Exchange Hidden in Jun-2017. Dark ATS industry market share was 12.1% in Jun-2017, its lowest since FINRA ATS data became available in Jun-2014. As a result, Retail Wholesaler and SDP/Other market share increased. As Dark ATS volume slumped, volatility was at historic lows. The VIX average close hit an all-time low in Jun-2017 of 10.5 and again in Jul-2017 of 10.3. Average daily volume also dropped in Jul-2017 to 6.0 billion shares, the lowest monthly ADV since Aug-2014.

TABB Group introduced a new series of quarterly metrics in the first quarter of 2014. In these reports, we combine data from the Securities and Exchange Commission (SEC) market structure website, SEC Rule 605 (order execution) and Rule 606 (order routing) disclosures, Financial Industry Regulatory Authority (FINRA), self-reported Single-Dealer Platforms (SDPs), exchange order type information, and the Security Information Processor (SIP) to present 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. In the first quarter of 2017, the Digest was redesigned and incorporated new FINRA data. Although some data is not available until the end of the quarter, data in which later months are available are also included.