After our first post of this series where we highlighted three stocks with large price reversion before and after the close on 30th November, we had several enquiries asking if we have an easy way to identify these moves. When using data analytics to support trading decisions, one can try to gain an insight from a snapshot of information to simplify something complex or often, more valuably, to identify a trend or pattern. Either way it is like a game of I Spy.
After a traumatic 12 months, we thought you might be feeling a little bristly in the lead up to the holidays. What better way to complement the mood than by looking at the impressive volume spikes of 2020. We’ve put together A Hall of Fame for those days over the last four years where traded value has exceeded 100 billion euros. The trophy for the highest number of days – 15 – sits securely on 2020’s mantelpiece, and the overall winner is February 28th, with a traded value of 132 billion euros. In a broader context, that means that 15 out of the 21 days were in 2020, including 10 out of the 17 days between February 28th and March 20th.
In the past we have commented about the dangers of trading at the Close on days when there are significant trading volumes expected. Last week’s MSCI rebalance showed us new examples of the dangers. Taking the official close as a stick in the sand, we calculated the volume weighted average price (VWAP – excluding the Close) as a proxy for an “average price” that might have been achieved by trading in the continuous market. We compared this to the official Closing price to identify large differences representing significant opportunities for profit or loss depending on whether you were on the “right’ or “wrong” side of the trade. For many stocks, these auctions resulted in significantly higher volumes of trading than the average total daily volume, not just the average closing turnover. That extra size traded magnifies the extent of the P&L.
For traders and portfolio managers who are navigating the European market structure landscape or want a refresher, big xyt is introducing a series of briefings to help you get to grips with the market mechanisms, and to help users of our analytics tools.
Following the theme of Closing Auctions and new Alternative Closing Mechanisms, we can highlight a noteworthy entry to the Closing Auction records books last Friday. In the chart today we see the 5 largest single stock closing auctions in recent (4 years) history. Notably, Linde AG has featured twice (holding the previous record of @4.3bn traded). Unilever plc/NV was the cause of the stir as it collapsed its NV holdings into the plc to consolidate its HQ in the UK whilst maintaining a quoted presence in Amsterdam….all in the interest of simplification, naturally.
Last month we touched on the growing number of Alternative Closing Mechanisms available to the equity trading community as we added the new Turquoise Plato Trading at Last to our Enterprise menu. Within a few days we saw that Deutsche Bourse were introducing Xetra Trade-at-Close, and last week we added this to the menu. With the MSCI rebalance yesterday, all eyes will have been on the closing prints..….but which Close? To sign up for a free trial of the
