You have been granted access to this page through First Click Free. Subsequent use of TabbFORUM will require logging in. If you don't have an account, registration is free.

Videos

  • Rail_thumb_larry_tabb-is_there_a_one-size-fits-all_market_structure_fix-waks-sept_23_2014

    Is There a One-Size-Fits-All Market Structure Fix?

    Venue and routing analytics are a game-changer, says TABB Group founder and CEO Larry Tabb. In today’s complex market, most institutional investors aren’t able to get the granular routing data that ...
     
  • Rail_thumb_screen_shot_2014-09-25_at_5

    Crashing Ashore: Scandal and the Future of Financial Regulation

    A core theme of the annual IOSCO conference in Rio de Janeiro is the development of market based financing. It is all part of a strategy to rejuvenate and rapidly expand the capital markets, linked to a re-conception ...
     
  • Rail_thumb_screen_shot_2014-09-25_at_12

    Innovation in the Futures Industry

    Einstein’s definition of insanity was repeating the same task over and over and expecting a different result each time. Julie Winkler of CME Group, speaking as part of JLN's MarketsWiki education ...
     
 

More Video | Podcasts

Advertisement

16 September 2014

Equities LiquidityMatrix™

TABB's Equities LiquidityMatrix™ is a monthly publication consolidating metrics from exchanges, Trade Reporting Facilities (TRFs), Alternative Trading Systems (ATSs) and Single-Dealer Platforms (SDPs).

The Equities LiquidityMatrix™ includes month-over-month SRO market share and the following self-reported statistics from ATSs and Single Dealer Platforms (SDPs): (1) average daily volume; (2) average trade size; (3) stock capitalization distribution %; (4) block and demi-block % (shares); (5) block and demi-block % (notional); (6) Midpoint % (shares).



August Sees Lowest Industry Volume Since 2006, Slight Volatility Uptick

  • In August 2014, industry volume and TABB-reported ATS/SDP volume both decreased 8% month-over-month.
  • The average daily volume dropped to 5.2 billion from 5.7 billion in July 2014, the lowest average daily volume since December 2006.
  • Meanwhile in August 2014, the average close for the VIX increased from 12.3 to 13.5 month-over-month.
  • Notable Industry Events:
    • S&P 500 Index closed above 2000 for the first time (8/26).
    • The exchanges and FINRA submitted a tick size pilot plan in accordance to the SEC order (8/26).
    • IEX completed a $75 million round of funding. The funding will in part be used to pursue U.S. exchange registration (9/3).
  • New this month in TABB August 2014 Equities LiquidityMatrix™:
    • New “Inside NBBO %” metrics added to LiquidityMatrix™ (page 11). Initial reporting pools are LavaFlow ECN, LeveL, RiverCross, and Wells Fargo – WELX Liquidity Cross.


Equities LiquidityMatrix Historical Downloads

You can download archived LiquidityMatrix data as a PDF file. Use the drop-down to select year and month.



For more information of TABB Group's Equities LiquidityMatrix, please contact equitiesliquiditymatrix@tabbgroup.com.

 

And don't miss our Options LiquidityMatrix!

Add a Comment

You must log in to comment.