The TRADE 52 | Page 79

[ D ATA ] LIQUIDMETRIX VOLATILITY INDICATOR The LiquidMetrix Volatility Indicator provides a measure of high-frequency market volatility based upon 30 second price movements. Volatility (BPS/ 30sec) Q1 2017 1.19 Q2 2017 1.05 Change -0.14 2.8 2.6 2.4 2.2 2 1.8 1.6 1.4 1.2 1 0.8 High frequency price volatility, which is often a signifi- cant determinant for spreads and resting liquidity, has continued its decrease and the average for the latest quarter is the lowest level we have seen for the past five years. The sharp decreases in market price volatility in the last three quarters have coincided with a strong shift of trad- ing activity from MTF platforms to primary venues. MTF peak market shares were seen at the start of 2016 when market volatility was much higher. Based on European fragmented stocks LiquidMetrix analyses consolidated performance figures for stocks on major European indices and the changes from the previous quarter. The charts and figures above are based upon LiquidMetrix’s unique benchmarking methodology that provides accu- rate measurements of trends in market movements. Trading Volumes on Lit markets including auctions are taken into account, as well as dark trading on the major MTFs. Issue 52 TheTradeNews.com 79