TABB Equity Digest: Q3-2019

The strain on active management continues to transcend market structure. While the industry has been anticipating greater volatility, hoping it would improve volumes and commissions pools, it seems that while Q3 volatility was above recent averages – the average closing VIX for Q3 was 15.96% compared to 15.17% for Q2 2019 and 14.48% from January 2017 through October 2019 – ADV remained pegged to approximately 7 billion shares. The equity trading volume picture was unexpectedly stable given the impending impeachment investigations, an increasingly acrimonious political environment, questionable progress for trade negotiations, the ongoing Brexit quagmire, and the looming 2020 election.

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.