Equities LiquidityMatrix February 2018

February ushered in not only a change in market direction but a major change in market psychology, as the lackluster VIX, which over the past year or more had been trading in the 9 to 11 range, rocketed to a daily high of 50.3 on Feb. 6. This caused Credit Suisse to liquidate its Velocity Shares Daily Inverse VIX Short-Term ETN, which exacerbated market shocks. With an increase in volatility, we saw off-exchange volumes plummet almost 5 percent, from a high of 39.6% of market activity to 34.9%. While off-exchange volumes dropped, ATS volume held its own, with a number of the ATSs experiencing double-digit month-over-month share volume growth.

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.