Equities LiquidityMatrix September 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 increased 6% month-over-month to 6.3 billion shares in Sep-2017, the lowest ADV for September in three years. Generally volatility and volumes are correlated; however, while volume increased in Sep-2017, the VIX average close decreased to 10.4. TABB-reported ATS/SDP volume increased 5% MoM.