This paper studies the effect of the U.S. Securities and Exchange Commission's R31 fees, a low-rate transaction tax, on large-capitalization U.S. stock trading. The SEC altered the fee rate 15 times between 2001 and 2010, creating a series of natural experiments with which to measure the effect of transaction costs on trading volume and volatility. The main finding is a negative relationship between the SEC fee and the price volatility of stocks in the S&P 500 index. As in most previous studies, a negative relationship is also found between the fee rate and trading volume. The SEC levy's dampening effect on both trading volume and volatility is particularly strong for more heavily traded stocks within the S&P 500, and in the years after 2007, which witnessed the rise of high-frequency trading.