Our Comprehensive Review of Market Volumes, Fragmentation and Other Topics. by Richard Hills, big xyt The strange times continue. While Q1 broke all the records, Q2 came up with a few surprises. The biggest MSCI rebalance in history pushed the figures up for May, thanks to some major index...
by Richard Hills, big xyt Spotting volatile liquidity profiles in illiquid names. Checking liquidity data isn’t just something we need to do once a month using a summary report. It is part of the daily routine. Every stock has its own characteristics that can change significantly and surprisingly frequently, and...
by Khalil Dayri, big xyt Understanding the nature of liquidity We know that trading behaviour, microstructure and liquidity all vary significantly between venues and across individual stocks. Understanding these differences has become a very important prerequisite to any market participant. Armed with this knowledge, traders can substantially reduce their execution costs,...
by Mark Montgomery, big xyt Day 12 – Rolls-Royce at a discount? Never! It seems like a good time to leave the days of isolation behind us but fear not, our observations will continue this week. Following on from our previous post, we promised to take a closer look at one...
by Mark Montgomery, big xyt Day 11 – SpaceX for Stocks Some of you may have been straining your eyes looking at the night sky during the recent SpaceX launch. The image above isn't a photographic negative image of heavenly bodies, it is actually a scatterplot of multiple European stocks. The...
May market volumes and fragmentation return to normal, but that is not the full story. by Richard Hills, big xyt May could almost be described as uneventful in that volumes and market share seem to have reverted to business as usual. A quick look at some market quality metrics tells us...
by Mark Montgomery, big xyt Day 10 – Auction Action Turnover of equities including ETFs in closing auctions reached record levels on Friday. The volumes were higher than any other day during the past 12 months (including all expiry dates and rebalancing dates). 40B€ total closing notional (incl. ETFs) was reported...
Download Samples The Liquidity Cockpit has evolved thanks to continuous feedback from our clients and we are delighted to be adding to the content with a brand new Enterprise section to the menu. The new additional content includes: Intraday volume profiles (by market mechanism), Price movement by venue, EBBO presence by size & Effective book...
by Mark Montgomery, big xyt Day 9 – ETFs, Expect to Trade for Free? We saw how volatility during February and March resulted in an unsurprising widening of equity spreads. It sparked our curiosity to see how ETFs were affected during the same period. Market makers in ETFs base their pricing...
by Richard Hills, big xyt Update: April market volumes reverted to long term average levels following the record month of March 2020. ADVT traded on the order books in European equities was 47B€, compared with 44 B€ ADVT for the full year 2019. Accompanying this apparent return to normality, the proportion...
