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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)
Q2 2018 1.17
Q3 2018 1.08
Q4 2018 1.29
Q1 2019 1.22
2.8
2.6
2.4
2.2
2
1.8
1.6
1.4
1.2
1
ul- 1
-O
01 ct
0.8
High frequency price volatility, which is often a signif-
icant determinant for spreads and resting liquidity,
reduced slightly in Q1, reversing the trend in the previous
quarter.
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.
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