Equity trading volumes just arent what they used to be.
And while that is no secret, the fact that equity volumes have hit their lowest volume levels in three years, according to the latest TABB Groups Equities LiquidityMatrix. The drop is due in large part to sustained low volatility as measured by the VIX and also stubbornly high valuations, traders told Traders Magazine.
TABB reported that the industry average daily volume decreased 2% month-over-month to 5.9 billion shares in Aug-2017, the lowest ADV in three years.
Also, as previously mentioned, volatility has played a role as it and volumes are correlated; however, while volume decreased in Aug- 2017, the VIX average close increased to 12.0, the highest in seven months. But by historical measures, volatility is still low.
In August, off-exchange market share decreased month-over-month to 37.1% from 37.4%.
Also, industry trade size was 204 in Aug-2017, the lowest since February 2016.
TABB-reported ATS/SDP volume decreased 1% month-over-month. TABB-reported ATS/SDP volume accounted for 29% of total off-exchange volume in Aug-2017
The 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 followingself-reported statisticsfrom 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).
