November 2017 Equities Liquidity Matrix From TABB Group

In November 2017, industry average daily volume increased 8 percent month-over-month, to 6.6 billion shares, the highest ADV in five months, as the VIX average close increased month-over-month, from 10.1 to 10.5. Meanwhile, off-exchange market share fell to 37.6% in November 2017, from a seven-year high of 38.8% in October. Every month, TABB Group’s Equities LiquidityMatrix™ provides the industry with metrics from 25 ATS/SDPs, including stock capitalization distribution, block and demi-block % (shares & notional), midpoint %, and inside NBBO %, as well as a breakdown of exchange market share.