TABB Equity Digest: Q3-2017
With the CBOE Volatility Index (VIX) hitting its third all-time low in Oct-2017 at a monthly average close of 10.1, off-exchange market share kicked up to a seven-year high of 38.8% in Oct-2017. In terms of dark volumes trends in the third quarter, block volumes on ATSs in Sep-2017 were the highest since FINRA data became available in Aug-2016: 13.1% based on the share definition and 11.8% based on the notional definition. Auction volumes continued to increase in the third quarter and made up 6.1% of total industry volume in Oct-2017 compared with 5.7% in Oct-2016.
TABB’s latest quarterly Equity Digest combines data from the SEC market structure website, SEC Rule 605 and Rule 606 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.