TabbForum –  May 2016 industry average daily volume was 7.0 billion shares, the highest volume seen in May since 2012 and a 13% increase year-over-year, according to the Tabb Equity Liquidity Matrix. 

TABB Group equities research analyst Valerie Bogard, who authors the ELM, says month-over-month industry volume decreased 1% while TABB-reported ATS/SDP volume decreased 2% during the same period.

 

Further key points from the May ELM include:

• Highest May Volume Since 2012
  • In May 2016, industry average daily volume was 7.0 billion shares, the highest volume seen in May since 2012 and a 13% increase year-over-year. Month-over-month volume decreased 1%.
  • Off-exchange volume in May 2016 decreased month-over-month to 36.6% from 37.4% in April 2016, which was at a 2-year high. During the same period, the VIX average close increased to 14.9 from 14.3.
  • TABB-reported ATS/SDP volume decreased 2% MoM. TABB-reported ATS/SDP volume accounted for 34% of total off-exchange volume in May 2016 (see Slide 2 for non-TABB reporting ATSs).

• Industry Milestones:
  • Senate Banking Committee Hearing: On 6/14/2016, the Senate Banking Committee will hold a hearing entitled “Oversight of the U.S. Securities and Exchange Commission” and will include Chair White on the witness panel.
  • SEC Decision on IEX Exchange Application: The SEC’s deadline to act on the IEX exchange application is 6/18/2016.
  • FINRA Surveillance Expansion:
    • Additional OATS Order Reporting: On 5/10/2016, the SEC approved FINRA’s proposal requiring ATSs to report additional order information to OATS, including order re-pricing events, order display, and reserve size information.
    • Non-FINRA Member Broker-Dealers: On 8/1/2016, OATS reporting members will be required to identify two types of non-FINRA member broker-dealers (US and non-US) in their OATS reports when they receive orders from these firms.
    • Registration of Associated Persons Relating to Algos: On 1/30/2017, firms will be required to register the associated persons who are primarily responsible for the design, development, and significant medication of algorithmic trading strategies.
  • CHX Snap Auctions Implementation: CHX introduced Snap Auctions on 6/3/2016.

• NEW TABB Equities LiquidityMatrix™ Metrics:
  • Jane Street JX (SDP) added average daily volume and average trade size.
  • UBS (ATS) added Inside NBBO %.

Every month, TABB Group’s Equities LiquidityMatrix™ consolidates 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)