Equities LiquidityMatrix October 2018

Volumes for October accelerated, almost hitting a 3-year high of 8.5m shares ADV. This share volume has not been seen since early 2016 when the Chinese stock market cratered. While share volumes were close to a 3 year high, notional values traded ($424.3 billion) were only a fraction off their all-time average value traded high of $430.7 billion hit in February 2018. Much of this volume was triggered by a revaluation of technology stocks and the increasing view that the 10 year bull market may be coming to a close. With a 26.6% increase in volume came a 50.3% increase in the average VIX moving from 12.9 measure in September to 19.4 in October. As on queue, volatility increase pushed more traders back into the lit markets as off-exchange market share declined from 37.2% in September to 35.1% in October. While lit volume grew as a percentage of total market activity, TABB-reported ATS volumes also increased in October over September by 21.3%. While this represented strong growth, they did not grow on pace to equal the 26.6% growth rate of the market.

TABB Group’s exclusive Equities LiquidityMatrix™ consolidates metrics monthly from exchanges, Trade Reporting Facilities (TRFs), Alternative Trading Systems (ATSs) and Single-Dealer Platforms (SDPs), including average daily volume, average trade size, stock capitalization distribution %, and more.