The TRADE 56 | Page 96

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Spreads at touch Q2 2018 (change on Q1 2018)
FTSE
CAC
DAX
SMI
Primary 1 4.19 -0.06 1 3.56 0.25 1 3.2 -0.14
CHIX 2 4.7 0.00 2 4.04 0.12 2 4.1 6.53 -0.21 5.27 0.17 5.34 5.69 -0.09 4.6 0.07 5.13 0.37
BATE
TRQX
3
3
3
MIB
OMX-S
1 3.62 -1.04 1 4.59 -1.98
0.01 2 4.23 -1.09 2 5.37 0.39 3 4.46 -1.14 7.22 4.76 -0.94 6.94 -2.60
3
1 4.05 -0.97
-1.48 2 4.90 -1.36
-0.85 3 5.67 -1.24
6.43 -1.15
The exception to the trend was again CAC where
spreads widened on all venues, and DAX where
spreads widened on all MTFs, matching characteristics
seen in Q1.
The trend on spreads continues to narrow on most
markets, including FTSE, DAX, SMI, MIB and
OMX-S.
Spreads at €25,000 Q2 2018 (change on Q1 2018)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 5.62 0.02 1 4.16 0.21 1 3.7 -0.18 1 3.85 -0.96 1 5.20 -1.87 1 5.41 -0.71
CHIX 2 9.51 0.03 2 6.17 -0.11 2 6.07 -0.07 2 5.27 -0.88 2 8.36 -1.96 2 8.18 -1.76
14.09 0.25 8.76 0.01 8.97 0.74 3 5.58 -0.86 11.08 -1.28 3 10.58 -0.48
12.38 -0.46 7.19 -0.10 8.04 0.55 6.14 -0.54 10.88 -4.54 12.40 -0.90
BATE
TRQX
3
3
3
The trend for depth weighted spreads in Q2 2018 dif-
fered from those at touch. Spreads widened on FTSE
and CAC on the primary venues and narrowed on DAX,
SMI, MID and OMX-S.
3
The largest change on a primary in the period was on
MIB, narrowing by 1.87 bps, with similar figures on the
MTFs.
10BPS Liquidity in €000’s Q2 2018 (change on Q1 2018)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 € 339.40 -19.20 1 € 765.90 -0.30 1 € 1,337.40 95.20 1 € 1,548.20 -149.80 1 € 697.50 210.50 1 € 350.60 -53.70
CHIX 2 € 87.60 1.10 2 € 175.00 0.98 2 € 224.50 9.80 2 € 311.60 -78.60 2 € 101.00 12.40 2 € 125.00 2.00
€ 136.00 -25.20 3 € 315.20 -59.70 3 € 109.50 33.00 3 € 81.80 -16.30
€ 159.00 -1.40 € 216.30 -40.70
BATE
TRQX
€ 58.30 -0.10
3
€ 66.50 3.40
€ 123.30 -4.00
3
€ 155.40 2.90
3
In Q2, there is a very different view from that seen in Q1
in that liquidity increased on several markets, including
all venues for MIB, with primary and CHI-X on DAX.
96 // TheTrade // Summer 2018
€ 75.20 23.40
€ 59.00 -13.70
CHI-X and Turquoise also increased liquidity on FTSE
and CAC.