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Analysis | Market fragmentation 10BPS liquidity in €000’s Q3 2012 (change on Q2 2012) FTSE 100


Primary CHIX BATE TRQX BURG QMTF XEQT XHFT


1 € 320.99 17.32 2 € 187.28 -10.92 € 56.51 -15.39 € 60.89 -15.51


3 € 29.20 12.02


€ 35.84 27.20 € 16.98


1.84


The above figures on liquidity measured by the € value available on the order books 10 basis


points from the mid price give a clear indication of the strong depth of books available on the Primary


LiquidMetrix Volatility Indicator


The LiquidMetrix Volatility Indicator is a new measure introduced by LiquidMetrix to provide a measure of high-frequency market volatility based upon 30 second price movements for trading in European fragmented stocks. This measure gives a more relevant indication of minute by minute volatility compared with measures based on option expiries.


1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4


01-Jan-12 01-Apr-12


Volatility dropped in the first 3 months of 2012, reaching a minimum in March. There was then a steady increase in volatility in the second quarter peaking at the end of May. Volatility then dropped


Best Execution | Autumn 2012 01-Jul-12


during the third quarter though it spiked briefly for a few weeks in August. Towards the end of August volatility is at the lowest level of the year.


67


Q2 2012 Q3 2012


€ 24.43 1.97 € 101.34 54.00 3 € 10.80 4.90 € 3.08 -6.22


venues. However, the liquidity available is down from the previous quarter on all Primaries apart from London.


Based on European fragmented stocks


Volatility (BPS/30sec)


1.73 1.62


Change -0.11


1 2


3 CAC


€ 464.30 -46.96 € 164.80 -28.26 € 45.90 -15.50 € 85.41 -24.81


DAX


1 € 597.40 -105.87 2 € 224.52 -28.57 € 56.47 -7.65 € 75.04 -37.53


3 SMI


1 € 898.60 -179.80 2 € 474.20 -72.80 3 € 256.90 -21.70 € 235.60 -28.10


1 2


MIB


€ 128.61 -27.52 € 30.63 -13.03 € 8.72 -3.73 € 8.15 -1.92


3 OMX-S


1 € 285.57 -24.16 2 € 128.62 3.50 € 49.30 -2.85 € 42.50 -10.90 € 68.90 -10.15 € 24.37 1.05


Volatility


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