Equities LiquidityMatrix January 2018

January trading volume jumped 12% over December 2017 as the S&P 500 hit 14 record closes. The rapid rise in trading activity predated the 2,500-point drop in the Dow Jones in early February, as the VIX rose from a December average of 10.3 to a January average of 11.1, before spiking above 50 in mid-February. During a somewhat calm January, off-exchange TRF volumes neared a 10-year peak, reaching 39.56% of total ADV traded, the second highest TRF percentage since we started tracking TRF volumes in January 2008. The high TRF value – as well as a month-on-month decline of TABB-reported ATS/SDP volume, to 25% of total TRF volume – likely was driven by an increase in retail trading volumes that pushed the many record closes.

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.