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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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