Equities LiquidityMatrix March 2018
March trading volumes were subdued, declining 12% from February, which saw record-breaking average daily notional value traded of $431 billion. Volatility also declined in March, with the VIX averaging 19.0, a 15.5% drop from February but still well above 2017 levels. March TRF traffic also was down, but not as much as on-exchange volumes, as TRF market share increased to 35.2%. A number of market structure issues also surfaced in March and April, as Deutsche Bank announced a major restructuring that will reduce its US investment banking/trading presence, the NYSE began trading Tape B&C securities, and the SEC opened a debate to improve the trading of small-cap securities.
Every month, TABB Group’s Equities LiquidityMatrix™ provides the industry with metrics from 30 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.