12 Days of Trading – Day 3 of 12: DVC and Auctions

12 Days of Trading – Day 3 of 12: DVC and Auctions

Day 3 of 12: Having looked at auction volumes in our previous view, we will now drill down into the two auction types that have seen increased use over the last year.

Some observations:

  • MiFID II was a catalyst for Periodic Auction use and the introduction of Double Volume Cap suspensions resulted in further acceleration.
  • Interestingly, the volumes were sustained after the DVC suspensions were lifted for many affected stocks.
  • Periodic Auctions were not the only Auction to see volume increase during DVC stock suspension… (see chart below).

 

  • From this visualisation we can see that Closing Auction volumes have also been growing.
  • Like Periodic Auctions, Closing volumes appeared to grow further when DVCs where in place and maintain their overall upward trajectory once most suspensions were lifted.
  • Of course the Official Close is used as a benchmark for Index Funds and ETFs both of which represent increasingly popular ways for retail investors to diversify their risk.

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On our 12 Days of Trading

As the year draws to a close we have been asked by clients to look and highlight 2018 trends since the introduction of MiFID II. We thought we might make this a festive exercise on the 12 days leading up to the holidays. As a result, you will find a post to a different 2018 big-xyt observation each day.

We hope you enjoy them.

This content has been created using the Liquidity Cockpit API.

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