Analysis | Market fragmentation 10BPS liquidity in €000’s Q2 2013 (change on Q1 2013) FTSE 100
Primary CHIX BATE TRQX BURG
QMTF XEQT XHFT
1 € 390.40 -5.30 2 € 222.50 -2.00 € 65.00 2.20 € 90.00 13.30
3
€ 23.30 -2.20 € 22.60 3.10
1 2
3 CAC
€ 602.60 -16.20 € 228.40 15.00 € 54.40 -2.40 € 114.50 11.00
€ 19.60 -3.80 DAX
1 € 830.50 -68.40 2 € 355.90
€ 84.60 -11.30 3 € 108.80 10.50
€ 3.80 -3.60 € 70.00 17.40
The amount of liquidity available at the top of the order book (within 10 BPS of mid-price) decreased on most primary venues in the period in stark contrast to the increases in Q1 2013, although there was a slight increase on OMX-S
LiquidMetrix Volatility Indicator
The LiquidMetrix Volatility Indicator provides a measure of high-frequency market volatility based upon 30 second price movements.
1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4
Q1 2013 Q2 2013 Change
3 54.50
1 2
SMI
973.40 -89.50 386.10 -50.10 197.40 -36.50 237.50 1.30
0.7 -4.50
1 2
3 MIB
€ 274.30 -34.70 € 61.10 -10.50 € 19.60 -3.40 € 27.40 3.40
€ 5.90 -1.00 € 0.50 -0.60
OMX-S
1 € 503.20 47.80 2 € 228.60
3 € 104.90
€ 88.80 6.20 € 75.00 2.90 7.50
€ 0.00 -2.30 € 5.70 3.30
There were slight increases in liquidity for Chi-X
on CAC, DAX and OMS-X. Turquoise increased its on book liquidity on all Markets. BATS liquidity increased on FTSE and OMX-S, but decreased on all other markets.
Based on fragmented European stocks
Volatility (BPS/30sec)
1.25 1.33 0.08
3.40
01-Jan-12
01-Apr-12
01-Jul-12
After reaching a minimum at the end of 2012, volatility has continued to increase slightly in the second quarter of 2013.
01-Oct-12
01-Jan-13
01-Apr-13
Even with the continued uptick, volatility is still considerably lower than it was during spring / summer 2012.
LiquidMetrix are pioneers in the measurement of European fragmented markets, and provide research, best execution and TCA analysis for financial market participants and regulators –
www.liquidmetrix.com
Best Execution | Summer 2013 81
Volatility
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