[ D ATA ]
Spreads at touch Q3 2017 (change on Q2 2017)
FTSE
CAC
DAX
Primary 1 4.74 0.05 1 3.1 0.01
CHIX 2 5.06 0.17 2 3.75 7.14 0.47 5.49 6.17 0.47 4.26 0.24
BATE
TRQX
3
3
SMI
1 3.74 0.16
0.29 2 4.22 0.18 3 4.93 5.15 0.48
The trend on spreads appears to have reversed in Q3
with most spreads widening on the majority of mar-
kets across all venues.
MIB
1 5.80 0.17
0.25 2 6.20 -0.04 3 6.34 6.67 0.28
OMX-S
1 7.65 -0.13
1 6.22 0.00
0.31 2 8.61 0.18 3 9.68 -0.34 2 7.11 0.20
-0.87 3 7.93 0.28
11.42 -0.07
8.93 0.92
The exception is MIB where spreads tightened on
all venues including the primary. There was a slight
reduction in spreads for BATS on the DAX.
Spreads at €25,000 Q3 2017 (change on Q2 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 6.12 0.15 1 3.71 0.02 1 4.35 0.18 1 5.89 0.19 1 8.29 -0.03 1 7.17 0.11
CHIX 2 8.38 0.59 2 5.64 0.47 2 5.68 0.41 2 6.91 0.50 2 12.01 -0.07 2 9.77 0.65
12.71 0.62 9.16 -0.30 7.84 0.30 3 6.94 0.30 3 14.47 -1.91 3 11.26 1.00
12.03 1.43 6.58 0.26 7.68 0.99 7.61 0.29 16.17 0.49 13.86 2.74
BATE
TRQX
3
3
3
The trend for depth weighted spreads in Q3 2017 was
similar to that of top of book spreads with a general
widening of spreads.
As in the top of book spreads, MIB was somewhat dif-
ferent in that spreads narrowed on most venues apart
from Turquoise.
10BPS Liquidity in €000’s Q3 2017 (change on Q2 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 € 367.70 -27.00 1 € 985.80 32.10 1 € 1,410.80 -10.20 1 € 1,880.80 -420.00 1 € 372.30 -17.00 1 € 367.30 -59.60
CHIX 2 € 133.00 -19.60 2 € 222.70 -16.10 2 € 313.80 -35.80 2 € 391.50 -127.70 2 € 77.20 -8.30 2 € 135.50 -31.60
BATE 3 € 82.20 -9.50 € 124.60 2.90 3 € 201.50 -6.10 3 € 403.00 -118.40 3 € 52.40 -0.90 3 € 96.80 -20.40
€ 176.80 -29.90 € 241.60 -48.30
TRQX
€ 78.30 -12.80
3
€ 160.80 -3.80
In line with the reduction in value traded, there was
significant reduction in resting liquidity in Q3 across
almost all venues
92
TheTrade
Autumn 2017
€ 38.90 -3.20
€ 68.40 -22.30
There was one exception on the CAC where liquidity
on the primary and BATS increased in Q3.