TABB Equity Digest: Q2-2019

Author(s):
Larry Tabb
Date:
October 22, 2019
Research Type:
Quarterly Report
Executive Summary

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.

Areas of Interest
  • Equities
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