December U.S. equity volumes finished 2014 on a strong note – fueled by volatility and end of year positioning by firms.
In the final month of last year, industry volume according to the Tabb Equities Liquidity Matrix report increased 11 percent month-over-month ending the year strong. Overall, industry volume climbed to 6.9 billion shares from November’s 6.2 billion shares.
The intra-month volume peak was on December 19th with 11.8 billion shares trading after a statement from the Federal Reserve earlier in that week that said it would be “patient” about raising interest rates. This was the second largest daily volume of 2014, only eclipsed by October 15th, which had 11.9 billion shares.
The jump in trading was most likely correlated to the fact that December had the second highest monthly volatility of 2014 – with an average VIX close of 16.3. In November the average close as measured by Tabb and VIX was 13.4.
December had the second highest monthly volatility of 2014. October had the highest volatility at 18.0.
Also, Tabb reported ATS/SDP volume increased by 6 percent month-over-month, which accounted for 33 percent of total off-exchange volume in December 2014.
Month-over-month off-exchange volume decreased to 35 percent from 36 percent.
Commenting on the report, Tabb analyst Valerie Bogard noted that December saw several other notable happenings occur in the market:
– December 22ndwas the deadline to comment on the Tick Size Pilot proposed rules. Fifty comment letters have been submitted so far.
– On December 23rd, SEC Chair White provided an update on its review of equity market structure in response to inquiries from members of the Senate Committee on Banking, Housing, and Urban Affairs.
– NASDAQ is implementing a pilot program with lower access fees for 14 stocks for at least four months starting February 2nd, 2015.
– ICE and BATS circulated recommendations for market structure reform on December 18th and January 6th, respectively.
-The MPID requirement of FINRA rule 4552 goes into effect on February 2nd, 2015. Each ATS must use a single, unique MPID when reporting information to FINRA.
Tabb’s Equities LiquidityMatrix (ELM) is a monthly publication consolidating metrics from exchanges,
rade Reporting Facilities (TRFs), Alternative Trading Systems (ATSs) and Single-Dealer Platforms (SDPs). The ELM includes month-over-month SRO market share and the following self-reported statistics from ATSs and 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).
Tabb reports metrics from 23 ATSs and 3 SDPs.
The following 17 ATSs do not currently report metrics to TABB (estimated from largest to smallest volume: Credit Suisse Crossfinder, Morgan Stanley -MS Pool (ATS-4), Merrill Lynch Instinct X, J.P. Morgan -JPM-X, National Financial -CrossStream/BLOX, Interactive Brokers -IBKR, Credit Suisse Light Pool, Morgan Stanley -MS Trajectory Cross (ATS-1), State Street -BlockCross, Dealerweb, Bloomberg Tradebook , Merrill Lynch VWAP Cross, Aqua, Morgan Stanley -MS Retail Pool (ATS-6), Jefferies Execution Services, FOLIOfn Investments and CurianClearing do not report their data to Tabb for the ELM.
