TABB Equity Digest: Q2-2019
Volatility and volume usually go hand in hand. Over the past few months, however, volatility and volume dislocated. While order flow from April 2019 through August remained in a trading range of approximately 7 billion shares a day, there was a significant dislocation between volume and the Chicago Board Options Exchange Volatility Index (VIX) for April through July: the average closing VIX increased by 50%, while volume only increased 10%.
TABB Group’s exclusive quarterly equity digest combines data from the SEC market structure website, SEC Rule 605 and Rule 606 disclosures, FINRA Rule 4552, self-reported Single-Dealer Platforms, exchange order type information, and the SIP.