Day 12 of 12: Impact of DVC on the Liquidity Landscape In our final view of the series we return to one of the most controversial MiFID II introductions, Double Volume Caps, with a different attempt to assess their impact by examining how UK blue chip volume dispersed before during...
Day 11 of 12: ETF Spreads by Issuer Another comparative way to look at ETF spreads is by issuer. For today’s review the issuer names are anonymised (issuers A to F), but consistent across both charts. In the 2 charts today, we can see the choice facing investors when looking to trade...
Day 10 of 12: ETF Spreads by Venue From our consolidated view of lit markets in ETFs, it is not surprising to see that At Touch Spreads vary by venue. However, looking at the second chart, it would seem wise for the end investor to be aware of where the underlying...
Day 9 of 12: Average Equity Spreads for the past 2 years The chart shows at touch time-weighted average spreads for blue chip UK stocks since December 2016 Some observations: There was observed impact of MiFID II with a new tick size regime and an increasingly competitive market. The influence of...
Day 8 of 12: Price movement as a proxy for market impact - A ripple before as well as after the pebble hits the water Measuring the movement of mid point prices before and after the time of every execution allows us to see some interesting patterns emerge. Some observations: Different...
Day 7 of 12: Today we look further at SI volumes to see if the imposition of Double Volume Caps resulted in any observable change in Systematic Internaliser volumes either above or below Large In Scale (LIS) As shown yesterday Pan European average reported volumes by Systematic Internalisers now total...
Day 6 of 12: Breaking Down Systematic Internaliser Volumes by Condition Codes Some observations: Pan European average reported volumes by Systematic Internalisers now total around €30bn, representing 30% of equity turnover. Of this SI volume, approximately 50% can be removed by identifying condition codes or trade flags that indicate the transaction...
Day 5 of 12: As mentioned yesterday, block trading, represented by Large In Scale (LIS) executions, has been growing steadily over the last 2 years. Some observations: Trading behaviour has adapted to seek out blocks and advances in technology have created better tools to identify and match block trading opportunities. ...
Day 4 of 12: In today’s view we take a look at some evolutionary themes in European Equity dark and block trading over the last 2 years. Some observations: As expected, DVCs had an impact on dark traded volumes particularly in trades below Large In Scale (LIS). In fact this...
Day 2 of 12: After our initial market overview yesterday, today we take closer look at the development of auctions. Some observations: The two largest gainers appear to be the Closing Auctions and Periodic Auctions. Some have observed that more lit trading has moved to the closing auction as the...
