[ THOUGHT LEADERSHIP | CBOE ]
Cboe BIDS VWAP-X : Introducing venue-based trajectory crossing to Europe
Natan , how does it work and why are you launching this service now ? Cboe BIDS VWAP-X will be a first-of-its-kind , exchangeoperated trajectory crossing service for European equities , allowing participants to source and match scheduled volume which is executed at a forward benchmark price . We will offer this new crossing service through the very successful Cboe BIDS Europe platform , and trades will be executed based on a standard , exchange-regulated volume weighted average price ( VWAP ) methodology . This will help investors to meet their participation-based algorithm volume schedules and price objectives , based on an industryapproved VWAP pricing methodology .
The growth in systematic and passive investing has led to more institutional order flow being transacted through participative trading strategies , which typically seek to achieve an average price over a defined time period . This service is our response to that trend and is highly complementary to our existing range of order books . Given that venue-based trajectory crosses solutions have started to gain traction in US equities , global banks and brokers now have improved capability and
The TRADE speaks with Natan Tiefenbrun , Cboe ’ s president for North American and European equities , and Stephen Berte , president of BIDS , about Cboe BIDS VWAP-X , its benefits and why Europe is ready for this type of execution mechanism .
experience to access such liquidity . The strong group of firms that we recently announced as supporting our service from launch demonstrates that European brokers are now ready to execute their institutional order flow in this way on exchange .
Stephen , what are the benefits of offering this service through Cboe BIDS Europe ? Offering the service through Cboe BIDS Europe , the region ’ s largest block trading platform , is important for a few reasons .
The first is utilisation of its proven conditional workflow . This helps to minimise the opportunity cost of using the service and allows participants to continue to work orders elsewhere whilst seeking matches in VWAP-X .
Participants can submit VWAP-X indications of interest ( V-IOIs ) to the system to identify potential matches . Once a match is found , the firms are invited to ‘ firm-up ’ their IOI within a specified time period and a matching cycle then begins to determine the interval- VWAP execution price ( see boxout for more information ).
The second is ease of accessibility . As Europe ’ s largest block trading platform , Cboe BIDS Europe already has wellestablished connectivity among Europe ’ s leading banks , brokers and its buy-side community . At launch , sell-side participants of Cboe Europe will be able to submit V-IOIs using their existing Cboe BIDS Europe connectivity .
The service will also utilise the unique BIDS Scorecards to promote positive interactions on the platform and provide protection against potential information leakage . Additional features will be added to monitor
32 // TheTRADE // Q3 2024