12 Days of Trading – Day 9 of 12: Average Equity Spreads

12 Days of Trading – Day 9 of 12: Average Equity Spreads

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 macro-economic uncertainty on volatility during February 2018 and Q4 2018.

It is possible to look at Presence in parallel with spreads to establish how often a given venue has the best price either uniquely or along with other venues – an important measure when considering PBBO or EBBO referencing or other benchmarking.

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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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