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