Free Site Registration

Q2 Equities Breakdown: Volumes Drift Lower as Volatility Slides

Traders Magazine Online News, October 12, 2018

Larry Tabb

Equity volumes and volatility dropped back down to near more recent norms in the second quarter, as the average monthly VIX slid from its recent peak of 22.5 in February to 12.5 in June. Amid the slowdown, Nasdaq added market share at the expense of NYSE. Larry Tabb highlights the top market metrics from TABB Group’s exclusive Q2-2018 Equity Digest.

Equity volumes and volatility dropped back down to near more recent norms in the second quarter, as the average monthly VIX declined from its recent peak of 22.5 in February 2018 to 18.3 in April, and to 12.5 in June. Volumes drifted down as well, from an ADV of 8.3 billion shares in February to 6.1 billion shares in August. Off-exchange volumes moved back toward the high end of our 12-year timeseries range, to 37.7% of flow in August 2018, up from a yearly low of 34.8% in June.

In exchange news, Nasdaq added share from May 2018 through August, gaining 1.6 percentage points. This came at the expense of NYSE, which lost 2.1 percentage points through August from a 4-year high of 14.4% in June 2018. NYSE consummated the acquisition of CHX on July 18, giving it control of its fifth US Equity exchange (NYSE, NYSE Arca, NYSE American, NYSE National and CHX), and IEX secured its first listing, Interactive Brokers, which it converted from Nasdaq.

Two new ATSs also went live during the past few months: Magma and Intelligent Cross. Magma is operated by TOR Trading and works not only as an ATS but also as a router of liquidity to market makers; Intelligent Cross (Imperative Execution) uses machine learning to create a flexible speed bump per security that helps clients lessen the market impact of trading.

Block prints increased throughout the quarter, as share blocks (>10k shares) increased from 11.1% of the market in March 2018 to 12.4% of the market in June. Nominal blocks (>$200k nominal) increased from 12.7% of trades in March 2018 to 14.1% of trades in June.

Bulge-bracket OTC trades increased, from 22.2% of OTC shares traded to 23.4% in June 2018, as electronic retail wholesalers’ share of OTC trading declined, from 66.0% to 64.3% of all OTC shares traded during the same period. Goldman continued to dominate the other large brokers in OTC trading, with a 37% share of bulge-bracket OTC trades, extending its lead over the next largest bulge bracket, Morgan Stanley, whose share declined from 20.9% in March 2018 to only 15% in June 2018.

Citadel Securities' share of the retail wholesaler market hit an all-time high in March 2018, at 40.5%, but declined over the quarter, to 39.5%. While Citadel Securities' market share declined, it still dominated its competition. Of Citadel Securities' competition, Virtu saw the biggest increase in market share, jumping from 24.1% in March to 27% in June. GX1 also increased its market share during the period, from 19.6% to 21%. TwoSigma faltered during the quarter, dropping 7.7% market share in March to 6.0% in June.

For more information on related topics, visit the following channels:

Comments (0)

Add Your Comments:

You must be registered to post a comment.

Not Registered? Click here to register.

Already registered? Log in here.

Please note you must now log in with your email address and password.