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...
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...
by Richard Hills, big xyt Day 7 – Business As Usual ? Update: Following a bumper month for European Equity trading volumes during the Great Sell Off it seems that we may be reverting to type. Daily traded value broke through the four year record high of 148 B€ on no less...
by Mark Montgomery, big xyt Day 6 – How to Trade on The Stop Market Update: For four hours on Tuesday liquidity dried up on the primary market in Germany (plus some other XETRA powered markets) due to a technical outage. Not for the first time we observed the importance of the...
by Mark Montgomery, big xyt Day 5 – Attack of the CLOBs Update: Following our first post in this series, a number of people have asked if the trend we observed has continued over subsequent days. The ingredients are consistent - uncertainty, volatile markets, and unpredictable liquidity leading to opportunity cost with other...
by Richard Hills, big xyt Day 4 – Pump Up the Volume Summary It is not news to anyone that trading volumes have simply exploded this month to record levels. We put some eye watering facts and figures on this in a historical context and look at one surprising finding; the distribution...
