TABB Equity Digest: Q4-2018

After a brief lull in volatility in September, when the average VIX dropped to 12.9, volatility returned with a vengeance as the average closing VIX spiked back up to a peak of 24.9 in December, given fears over rising interest rates. Post-Christmas, interest rate concerns subsided and the VIX dropped down to a still-high 19.6 in January. The increased volatility precipitated a 34.3% increase in share trading, from an average daily volume of 6.9 billion shares traded in September 2018 to an ADV of 9.25 billion shares in December, before settling back to a still-elevated 7.7 billion shares in January.

This quarter TABB Group began tracking retail execution quality by broker segment, determined by 605 reports submitted to IHS Markit. ATSs displayed the best execution quality, followed by retail brokers, wholesalers, bulge-bracket brokers, non-bulge bracket brokers, and finally, exchanges.