The TRADE 57 | Page 80

[ DATA ]
Spreads at touch Q3 2018( change on Q2 2018)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary
1
4.39
0.20
1
3.77
0.21
1
3.33
0.13
1
3.62
0.00
1
5.25
0.66
1
4.28
0.23
CHIX
2
4.86
0.16
2
4.12
0.08
2
4.08
-0.02
2
3.98
-0.25
2
6.02
0.65
2
4.77
-0.13
BATE
6.33
-0.20
5.67
0.40
5.39
0.05
4.45
-0.01
8.60
1.38
3
5.94
0.27
TRQX
3
5.48
-0.21
3
4.77
0.17
3
4.85
-0.28
3
4.41
-0.35
3
7.39
0.45
6.49
0.06
The trend on spreads started to inverse in Q3 with spreads widening on most markets.
The exception to the trend was SMI where the primary was neutral, but spreads narrowed on all MTFs.
Spreads at € 25,000 Q3 2018( change on Q2 2018)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary
1
5.98
0.36
1
4.36
0.20
1
3.85
0.15
1
3.86
0.01
1
6.06
0.86
1
5.92
0.51
CHIX
2
8.88
-0.63
2
6.12
-0.05
2
5.9
-0.17
2
5.11
-0.16
2
9.46
1.10
2
8.08
-0.10
BATE
13.15
-0.94
8.97
0.21
8.88
-0.09
6.01
0.43
13.51
2.43
3
11.71
1.13
TRQX
3
11.14
-1.24
3
7.34
0.15
3
7.23
-0.81
3
5.79
-0.35
3
11.56
0.68
12.38
-0.02
The trend for depth weighted spreads in Q3 2018 differed from those at touch. Spreads in general widened on the primary venues and narrowed on MTFs apart from the MIB.
The exceptions were the CAC, where Bats and Turquoise widened. Bats also widened spreads on SMI and OMX-S.
10BPS Liquidity in € 000’ s Q3 2018( change on Q2 2018)
FTSE CAC DAX SMI MIB OMX-S Primary 1 € 309.10-30.30 1 € 768.30 2.40 1 € 1,232.40-105.00 1 € 1,353.00-195.20 1 € 376.30-321.20 1 € 269.40-81.20 CHIX 2 € 92.50 4.90 2 € 190.20 15.20 2 € 239.10 14.60 2 € 265.20-46.40 2 € 87.30-13.70 2 € 127.30 2.30 BATE € 59.30 1.00 € 135.20 11.90 € 136.50 0.50 3 € 223.60-91.60 3 € 70.30-39.20 3 € 76.00-5.80 TRQX 3 € 69.80 3.30 3 € 165.80 10.40 3 € 165.90 6.90 € 210.00-6.30 € 61.30-13.90 € 62.60 3.60
In Q3, the view is similar to that seen in Q2 with that liquidity increased on a number of markets, including all FTSE, CAC and DAX( but not the primaries).
Other markets showing an opposite trend with decreases on SMI and MIB. OMX-S decreased on the primary and BATS, with increases on Chi-X and Turquoise.
80 // TheTrade // Autumn 2018