Equities LiquidityMatrix May 2018
May volumes experienced lackluster gains as industry ADV improved 0.5% month-over-month but was down 1.0% year-over-year. Volatility in May subsided, from a caffeinated VIX level of 18.3 in April to 14.1, but volatility remained well above the Chamomile-imbued markets of last year. As markets continued to stabilize, off-exchange (TRF) volumes climbed, from 36.1% of total US equity trading in April to a more on-trend 37.5% of volume; however, off-exchange volume in May still was 2% lower than the near-record 39.6% of trading experienced in January 2018. TABB-reported ATS/SDP volume increased 16.4% month-over-month, with greater than 15% volume increases in pools ITG Posit, BlockCross, CODA, Instinet Crossing, CitiBLOC, and Aqua. The only pool with a significant volume decrease was LeveL, which lost 13% market share from April to May 2018. SDP platforms Citadel Connect (+1%), VEQ-Link (+6%), and Jane Street (-3%) each experienced a lackluster month compared to last month’s aggressive growth. Meanwhile, innovation appears to be returning to the electronic trading business, as a number of the large brokers are restructuring their electronic desks, Citadel Securities is more aggressively moving into the ETF market-making business, and the impact of MiFID II increasingly is having a major impact not only on the research businesses but also on equity commissions and the European equites market structure.