Equities LiquidityMatrix July 2018

Author(s):
Larry Tabb
Date:
September 13, 2018
Research Type:
Liquidity Matrix
Executive Summary

Traders took an early summer break in July 2018, as trading volumes sank almost 17% month over month, to an ADV of 6.1 billion shares, even as volatility increased by 5.6% from June. This is in comparison to almost the same ADV in July 2017 (6.0 billion shares), which saw historically low volatility, with an average VIX of 10.3. Meanwhile, industry month-over-month trade size decreased, from 208 shares in June to 194 in July. On-exchange trade size decreased 7.5%, while off-exchange trade size declined 5.7%.

Every month, TABB Group’s exclusive Equities LiquidityMatrix™ provides the industry with consolidated metrics from exchanges, Trade Reporting Facilities (TRFs), Alternative Trading Systems (ATSs) and Single-Dealer Platforms, including stock capitalization distribution, block and demi-block % (shares & notional), midpoint %, and inside NBBO %, as well as a breakdown of exchange market share.

Areas of Interest
  • Equities
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