• Tier 1 volume accounts for approximately 55% of all ATS volume

  • The top 100 securities by shares traded made up 48% of ATS Tier 1 volume, which is just 6% of the entire Tier 1 universe of stocks

  • Volume from ETFs and the top 50 equity symbols traded, together, accounted for ~50% of ATS Tier 1 volume

  • The Tier 1 average stock price was ~$75.00. The average stock price for all equity symbols (excluding ETFs) traded was $82.95

  • Volume in securities that were less than $40.00 per share was responsible for 53% of ATS Tier 1 volume

  • Approximately ~70% of the 1,589 Tier 1 symbols traded less than 1 million shares across all ATS venues for the entire week


In our last monthly newsletter, we discussed the significant difference in average trade size between FINRA’s three block-size categories (10K+, $200,000+, 10K+ AND $200,000+). We highlighted that the 10K+ and $200K+ category, the one considering notional value and share quantity, experienced the largest average trade size yet accounted for the least amount of ATS block volume. In other words, fewer ATS block trades were both high in quantity and total value.

We suggested that trading in ATS venues with a high average trade size in the 10K+ and $200K+ group could be better suited for sourcing meaningful liquidity in many of today’s large cap names, particularly FINRA’s Tier 1 universe of stocks – S&P 500, Russell 1000, & select ETPs. Historically, Tier 1 stocks were characterized as liquid, narrow in spread, and relatively speaking, easier to trade. However, record-level stock prices and index values for the S&P 500 and Russell 1000, and rising ETF volumes, have carved out a large subset of stocks that technically are large-cap, but hardly easy to trade. While the transient nature of liquidity, especially for seemingly liquid stocks, appears the most likely cause for lower block volume in the 10K+ and $200K+ category, other reasons could be influencing the same behavior simply because the characteristics of the stocks in Tier 1 universe have changed over time and often differ from one symbol to another.

We took a closer look at the most recent ATS Tier 1 volume data published by FINRA and found that ATS Tier 1 volume is highly concentrated. The data highlights important segments, such as symbol type (ETF versus Equity), Stock Price, Bid / Ask Spread, and symbols’ contribution to total volume. Our purpose in examining only one week of data is to show that liquidity dynamics can change quickly, and drastically, and that many of the larger trends that often dictate routing logic and venue selection could be based more on perception than reality. Given the nature and dynamics of our pool, many have assessed that certain stocks are better suited than others when it comes to trading here, like mid- or small-cap versus large-cap. At times, that may be true, but the data showed that trading any type of stock is challenging and served as a reminder of the purpose behind the creation of Luminex – the facilitation of large blocks in any security type, – mid-, small-, and large-cap.

As always, if you have any questions, please let us know.

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ATS Tier 1 Volume & Data Characteristics

Date: Week of April 17, 2017

FINRA ATS Tier 1 Definition: S&P 500, Russell 1000, Select ETPs

Total # Symbols Traded: 1,589

Total # of ATS Venues with Reported Weekly Volume: 31

Total Market ADV: 6.2 billion shares

Percent of Volume On- versus Off-Exchange: 64% vs. 36%

Data Source: https://otctransparency.finra.org, Bloomberg


ATS Tier 1 Volume vs. Total Market Volume

Breakdown of ATS Tier 1 Volume – Equities & ETPs

ATS volume in Tier 1 securities was responsible for 8% of total market volume. S&P 500 constituent volume accounted for roughly 30% of total market volume, so while eight percent may seem significant, 22% – of the ATS 8% total –  was ETF volume, and another 27% was from volume in just 50 non-ETF symbols.

What types of stocks are in the “Top 50”?

Top 50 Average Stock Price: $29.85, approximately 60% lower than the average stock price of the entire Tier 1 universe

Top 50 10-Day ADV: 21,245,580 million shares

Top 50 Average Bid/Ask Spread: $0.01

Stock Price

(Prices as of Market Close 5/5/2017)

Stocks with prices under $35.00 per share made up the largest segment of the Tier 1 universe (left chart below) and were responsible for the most volume traded (48%) (right chart below). Additionally, the Tier 1 securities that were less than $35.00 per share had an average Bid/Ask spread of $0.14, and, 41% of the names were ETFs. Also notable is the number of higher priced stocks. Stocks greater than $75.00 per share accounted for 33% of the of the Tier 1 universe. The charts below depict a breakdown of the total number of Tier 1 issues (1,589) in each category and the categories’ contribution to ATS Tier 1 volume.

Average Spread

(Prices as of Market Close 5/5/2017)

Stocks with an average Bid/Ask spread of less than $0.02 accounted for roughly 83% of ATS Tier 1 volume. The number of symbols with an average Bid/Ask spread below $0.02 was 715, nearly 45% of the names in Tier 1 universe. However, the total amount executed for each of the 715 symbols varied, ranging from 500 shares to 68 million shares for the entire week.

Does Tier 1 volume consist of many symbols that trade a little or just a few symbols that trade a lot?

(ADV calculated as of 5/5/2017)

The chart below examines the number of traded issues and how much their collective volume contributed to the ATS Tier 1 pie. In other words, does ATS Tier 1 volume primarily consist of many symbols that trade a little, or just a few that happen to trade a lot?

For instance, 13 symbols each traded more than 20 million shares in ATS venues during the week of April 17, 2017 and collectively were responsible for 18.4% of ATS Tier 1 volume. Said another way, 0.008% of the Tier 1 universe was responsible for nearly one-fifth of the volume. By contrast, 63% of the symbols in the Tier 1 universe traded less than 1 million shares in ATS venues, for the entire week.

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.
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