Equities LiquidityMatrix August 2017
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. Industry average daily volume decreased 2% month-over-month in August 2017, to 5.9 billion shares, the lowest ADV in three years. Generally, volatility and volumes are correlated; however, while volume decreased in August, the VIX average close increased to 12.0, the highest in seven months. Off-exchange market share in August decreased month-over-month, to 37.1% from 37.4%, and TABB-reported ATS/SDP volume decreased 1% MoM.