Equities LiquidityMatrix April 2018

April 2018 industry ADV declined 10% month-over-month, to 6.6 billion shares. While volatility remained higher than in 2017 (the average 2017 VIX was 11.1), the VIX in April was down 0.7 compared to March 2018, while share volume was down 10% month-over-month. Off-exchange volume decreased by approximately 200,000 shares per day, but off-exchange market share increased to 36.1% in April, from 35.3% in March. In looking at TABB-reported April ATS volumes, many of the largest ATSs had significantly down months. However, Jane Street, Virtu Matchit, Liquidnet H2O, Instinet Crossing and CitiBlock increased share; given two of the largest of these platforms are managed by market makers, it makes us think that, due to the SI regime in the UK, firms’ apprehension in trading on these platforms is declining. But one month doesn’t make a trend – we will follow this moving forward.