Highlights

  • ATS Block Volume: For the first time since January 2017, ATS block volume as a percentage of total ATS volume increased month-over-month in all three block-size categories, 10K+ shares, $200K, and 10K+ AND $200K+.

  • 10K+ AND $200K+: The 10K+ and $200K+ category experienced the highest overall average trade size at 30,908 shares, but accounted for a lower percentage of ATS total volume relative to the other two groups (9.04%). This means fewer ATS block trades were both high in quantity and total value.

  • Luminex Block Volume: The Luminex average trade size was greater than 50,000 shares in two of the block-size categories: 10K+ shares and $200,000+ and 10K+ shares.

ATS Block Volume vs. ATS Total Volume

Data Source: otctransparency.finra.org, Bloomberg

Block Volume %: ATS block volume as a percentage of total ATS volume increased in April 2017. However, ATS volume traded declined by 19.5% versus March while ATS block volume remained steady, so relative to ATS volume, block volume looks to have increased.

 

10K+ AND $200K+

In aggregate, the 10K+ and $200K+ category experienced the highest overall average trade size at 30,908 shares, approximately 16% larger than the 10K+ category and 200% higher than the $200K+ group. Volume from the 10K+ and $200K+ category accounted for the least amount (9.04%) of ATS total volume compared to the other two categories, 10K+ shares (10.5%) and $200K+ (11.7%). This implies that fewer trades in ATS venues were both high in quantity and total value.

What does this mean?

Notional and Share Size Make a Difference: Each block category tells a different story, but what we can tell is that price matters, an especially relevant topic given the high price of many stocks. Higher stock prices are more likely to produce a greater number of smaller sized trades because fewer shares are required to meet the notional threshold. Therefore, traders needing to source meaningful liquidity in high priced names ought to consider venues with a large average trade size in notional value and share quantity.

With respect to the block data published by FINRA, the 10K+ AND $200K+ group incorporates a notional and share value for the trades that qualify. The category sets a minimum stock price of $20 and a 10,000-share trade size, whereas the 10K+ category accounts for size, but not price, and the $200K accounts for price, but not size. For example, a 3,000-share trade in a stock with a price of $70 meets the threshold for the $200K+ group, but not the 10K+ group, and a 30,000-share trade with a price of $5.00 meets the threshold for the 10K+ group, but not the $200K+ group.

Sourcing meaningful liquidity in any stock can be challenging, but apart from that, large cap stocks don’t necessarily mean “liquid”, so a venue with a large average trade size in both notional value and share quantity could be better suited for finding a suitable counterparty in many large cap names. In a May 2017 note, we discussed the breakdown of Tier 1 ATS volume and found stock price was an area where liquidity was highly concentrated. While the Tier 1 average stock price (excluding ETFs) was $82.95, nearly half of ATS Tier 1 volume came from securities that were less than $35.00 per share.

Luminex Block Volume

In the 10K+ and $200K+ category, the Luminex average trade size was 208% higher than the combined average for all ATS venues, 86% higher in the 10K+ category and 69% higher for $200K+.

ATS Venue Rank by Block Category

Luminex had the highest ATS average trade size the categories 10K+ shares AND $200,000+, 10K+ shares, and the second highest trade size for the category $200,000+. The average trade size for each category was 52,151 shares, 50,221 shares, and 34,789 shares respectively (excluding Dealerweb).

FINRA OTC Overview

  • FINRA began publishing data on the activity level of registered Alternative Trading Systems (ATS) in June 2014.
  • On April 25, 2016, FINRA began publishing the remaining OTC equity volume executed away from ATSs.
  • On October 3, 2016, FINRA began publishing monthly information on block-sized trades occurring on ATS venues.

The Luminex average trade size was greater than 50,000 shares in two of the block-size categories: 10K+ shares and $200,000+ and 10K+ shares.

As always, if you have any other questions, please call the Luminex Sales Team at 1-844-586-4639.

 

Anna Ziotis Kurzrok
Market Strategy & Senior Sales
Luminex Trading & Analytics LLC

For investment professional or institutional investor use only. Not authorized for distribution to the public as sales material. Luminex Trading & Analytics LLC Member FINRA, SIPC