TABB Equity Digest: Q2-2018
Equity volumes and volatility dropped back down to more recent norms over the past quarter, as the average monthly VIX moved down from its recent peak of 22.5 in February 2018 to 18.3 in April, and to 12.5 in June. Volumes drifted down as well, from an ADV of 8.3 billion shares in February to 6.1 billion shares in August. Off-exchange volumes moved back toward the high end of our 12-year timeseries range, to 37.7% of flow in August 2018, up from a yearly low of 34.8% in June. TABB Group’s exclusive 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 provide a comprehensive breakdown of US equity volume and exchange market data revenues.