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