The TRADE 56 - Page 97

[ D ATA ] LIQUIDMETRIX VOLATILITY INDICATOR The LiquidMetrix Volatility Indicator provides a measure of high-frequency market volatility based upon 30 second price movements. Based on fragmented European stocks Volatility (BPS/ 30sec) Q1 2018 1.10 Q2 2018 1.17 Change 0.7 2.8 2.6 2.4 2.2 2 1.8 1.6 1.4 1.2 1 -1 7 pr 01 0.8 High frequency price volatility, which is often a signif- icant determinant for spreads and resting liquidity, reversed the trend seen through the previous year and increased in Q2. There did not appear to be any significant shifts in liquid- ity away from MTFs as had been observed previously with the changes in volatility. 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 56 // // 97