The TRADE 55 | Page 79

[ D ATA ]
SPREADS & EBBO LIQUIDITY
12 2000
11 1800
1600
10
1400
9 1200
8 1000
7 800
600
6
400
5
200
Based on fragmented European stocks
0
n-1
-A
p
02
4
Market spreads have continued to tighten into
Q1 2018 and show no signs of increasing.
However, in Q1 the average resting liquidity
significantly increased.
Spread
(BPS) Avg 10BPS Liquidity (€ ‘000)
Q4 2017 4.41 €721.21
Q1 2018 4.36 €1,079.49
Change -0.41 €358.28
EUROPEAN MARKET BREAKDOWN
The market share picture was varied during the
quarter with Primary markets for FTSE,CAC, MIB
and OMX-S reduced, whilst primary market share
increased on DAX,SMI and IBEX.
Major European Indices
The significant reduction on the MIB primary market
had a corresponding increase on Chi-X.
There was a large swing in market share on IBEX,
with a large reduction on Chi-X of over 2%.
Q1 2018 (change on Q4 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
IBEX
Primary 1 64.20% -0.21% 1 65.30% -0.91% 1 68.18% 1.05% 1 71.18% 0.87% 1 70.08% -2.81% 1 66.24% -0.13% 1 63.23% 1.26%
CHIX 2 17.16% -0.71% 2 15.36% 0.08% 2 16.13% -0.68% 2 9.52% 0.27% 2 14.52% 1.92% 2 14.87% -0.17% 2 19.12% -2.28%
6.53% 0.38% 6.29% -0.32% 3 8.93% -1.02% 3 7.39% 0.67% 3 9.27% 0.55% 3 8.59% 0.99%
7.77% 0.14% 6.93% 0.49% 5.61% 1.24% 7.63% 1.33% 8.22% -0.12%
1.63% -0.19% 3.44% -0.62% 2.40% -1.02% 1.99% -1.58% 0.84% 0.14%
BATE
TRQX
AQXE
3
10.42% 0.43%
1.70%
0.13%
3
6.27% 0.46%
11.42% -0.04%
1.64% 0.41%
3
Issue 55 // TheTradeNews.com // 79