Equities LiquidityMatrix June 2018

Author(s):
Larry Tabb
Date:
July 24, 2018
Research Type:
Liquidity Matrix
Executive Summary

June volumes picked up by 9.1% from a somewhat lackluster May reaching 7.3 billion shares ADV while volatility abated from a modest 14.1 average VIX to a somnolent 12.4. But at least it was in the double digits. TRF volumes backed off 1 market share percentage to 36.5% of total trading, however TABB-reported ATS volumes increased 21.6% with greater than 10% volume increases in pools Goldman Sacks Sigma X (19%), Level (12%), and ITG Posit (11%), and Citadel Connect (10%). The only pool with a significant volume decrease was Fidelity’s CrossStream that lost 20% market share from May to June 2018. Meanwhile, the rancor between IEX and the NYSE escalated at the two firms took shots across each other’s bow in their SEC comment letters regarding the Access Fee Pilot. In addition, the rhetoric over the escalating trade war and Brexit negotiations have investors moving away from equity markets as they worry about future economic growth. In addition, Bloomberg reported that the quant AQR hedge fund had a historic losing month and worried that the 8 year tilt toward quant investing may have hit its top.

Areas of Interest
  • Equities
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