Equities LiquidityMatrix February 2017

Author(s):
Valerie Bogard
Date:
March 15, 2017
Research Type:
Liquidity Matrix
Executive Summary

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. In February 2017, off-exchange market share increased 0.3 percentage points month-over-month from 38.3% to 38.6%, the highest off-exchange monthly market share since April 2010. In the same period, the VIX average close decrease from 11.6 to 11.5, the lowest VIX monthly average in 10 years. Industry average daily volume increased 2% month-over-month in February 2017 to 6.9 billion shares. TABB-reported ATS/SDP volume increased 2% as well.

Areas of Interest
  • Equities
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