The TRADE 59 - Q1 2019 | Page 96

[ D ATA ]
Spreads at touch Q1 2019 (change on Q4 2018)
FTSE
CAC
DAX
Primary 1 4.93 0.41 1 3.85 -0.87
CHIX 2 5.7 0.55 2 4.69 9.21 1.02 7.07 8.67 1.09 6.86 -0.72
BATE
TRQX
3
3
SMI
1 4.14 0.19
-1.70 2 5.54 -1.34 3 8.09 8.66 1.58
The trend on spreads was a mixed picture in Q1 2019,
with spreads widening on most markets including
FTSE, DAX,SMI and OMX-S. On the MIB, the primary
and Bats spreads narrowed slightly, but widened on
MIB
1 3.90 0.08
0.21 2 4.35 0.67 3 5.01 5.21 0.20
OMX-S
1 5.77 -0.04
1 4.73 0.06
0.11 2 7.35 0.10 3 9.81 0.41 2 5.27 0.11
-0.05 3 7.57 0.29
12.41 1.09
9.62 1.43
Turquoise and Chi-x.
The exception to the trend was CAC where spreads
narrowed on all markets.
Spreads at €25,000 Q1 2019 (change on Q4 2018)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 7.25 0.73 1 4.69 -2.05 1 4.89 0.29 1 4.27 0.17 1 7.02 0.18 1 6.71 0.21
CHIX 2 14.3 2.89 2 8.7 -1.01 2 8.85 0.94 2 6.06 0.20 2 12.89 1.13 2 10.08 0.41
25.88 6.73 3 13.39 -0.08 3 15.81 2.48 3 7.53 0.31 3 18.62 0.88 3 19.06 3.13
24.65 6.34 13.82 1.29 16.55 4.35 8.25 0.70 19.71 1.36 24.04 6.23
BATE
TRQX
3
The trend for depth weighted spreads in Q1 2019 was
similar to the touch spreads, where spreads widened
for the majority of markets.
The one exception was the CAC, where again they
narrowed on most venues apart from Turquoise, where
they widened.
10BPS Liquidity in €000’s Q1 2019 (change on Q4 2018)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 € 188.60 -108.90 1 € 618.10 -51.00 1 € 811.30 -99.80 1 € 1,238.20 -33.20 1 € 311.80 25.30 1 € 207.80 -26.60
CHIX 2 € 62.80 -26.10 2 € 133.70 -21.00 2 € 175.60 -13.70 2 € 231.10 -4.20 2 € 67.90 4.00 2 € 96.00 -15.10
€ 36.00 -16.40 3 € 85.40 -16.70 € 91.50 -3.30 3 € 161.20 -11.40 3 € 50.40 7.90 3 € 43.00 -15.80
€ 94.00 -11.20 € 137.50 -34.40
BATE
TRQX
3
€ 43.00 -14.00
€ 84.10 -21.70
3
In Q1, the view on liquidity is in stark contrast to
the other measures as we can see available liquidity
reduced significantly on most markets.
96 // TheTrade // Spring 2019
€ 38.10
1.30
€ 33.50 -17.00
The one exception was the MIB where liquidity in-
creased on all venues.