The TRADE 55 | Page 80

[ DATA ]
Spreads at touch Q1 2018( change on Q4 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary
1
4.25
-0.41
1
3.31
0.37
1
3.34
-0.04
1
4.66
-0.98
1
6.57
-0.98
1
5.02
-1.06
CHIX
2
4.7
-0.14
2
3.92
0.45
2
4.09
0.29
2
5.32
-0.72
2
6.85
-1.75
2
6.26
-0.60
BATE
6.74
-0.14
5.1
0.34
4.95
0.37
3
5.60
-0.64
3
8.07
-1.38
3
6.91
-0.75
TRQX
3
5.78
-0.39
3
4.53
0.42
3
4.76
0.01
5.70
-0.92
9.54
-2.16
7.58
-1.10
The trend on spreads continues to narrow on most markets including FTSE, SMI, MIB and OMS-X.
The exception to the trend was CAC where spreads widened on all venues and DAX where spreads widened on all MTFs.
Spreads at € 25,000 Q1 2018( change on Q4 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary
1
5.6
-0.28
1
3.95
0.44
1
3.88
0.01
1
4.81
-0.93
1
7.07
-0.99
1
6.12
-0.85
CHIX
2
9.48
1.24
2
6.28
0.94
2
6.14
0.99
2
6.15
-0.62
2
10.32
-1.64
2
9.94
0.40
BATE
13.84
1.15
8.75
0.57
8.23
0.67
3
6.44
-0.45
3
12.36
-1.87
3
11.06
0.07
TRQX
3
12.84
0.06
3
7.29
0.68
3
7.49
0.32
6.68
-0.93
15.42
-2.65
13.30
-0.43
The trend for depth weighted spreads in Q1 2018 differed from those at touch. Spreads widened on CAC, DAX and all MTFs on FTSE.
Spreads at depth narrowed on SMI and MIB. On OMS-X spreads narrowed on the Primary and Turquoise and widened in Chi-X and BATS.
10BPS Liquidity in € 000’ s Q1 2018( change on Q4 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary
1
€ 358.60-11.30
1
€ 766.20-211.40
1
€ 1,242.20
-258.60
1
€ 1,698.00
-184.90
1
€ 487.00 20.20
1
€ 404.30-9.60
CHIX
2
€ 86.50
-34.50
2
€ 174.02
-64.98
2
€ 214.70
-122.40
2
€ 390.20
-4.00
2
€ 88.60
5.10
2
€ 123.00
-21.10
BATE
€ 58.40
-16.50
€ 127.30
-23.10
3
€ 161.20
-57.30
3
€ 374.90
-30.30
3
€ 76.50
16.00
3
€ 98.10
-2.00
TRQX
3
€ 63.10
-5.00
3
€ 152.50
-17.60
€ 160.40
-38.70
€ 257.00
14.60
€ 51.80
12.50
€ 72.70
0.50
In the Q1 period there was a significant reduction in resting liquidity across the majority of markets. The exceptions were MIB on all markets and Turquoise on SMI and OMX-S.
80 // TheTrade // Spring 2018