Weekly Highlights

• This week we will take a quick look at 2 of this summer’s notable microstructure events: the 20:1 stock splits of AMZN on 6/6 and GOOG on 7/18.

• Unsurprisingly, daily share volume has increased substantially for both names. However, while GOOG trades about the same notionally as it did prior to the split, AMZN is off about 20% after adjusting for the general decline in trading since June.

• Median trade size is an order of magnitude larger for both, from low single-digits to mid-double digits. But they both remain substantial odd-lot traders and their growth in trade size has not been sufficient to maintain pre-split traded notional levels. At roughly $4k per trade, both stocks are in-line with similar large-cap and spread-range names.

• However, the splits have been clear winners for trading cost as spreads have fallen from about 10bps to 2bps in both names, and post trade quote stability has increased slightly at 500ms street-wide.

• Orders displayed on our free market-data feed, IQX, that improve the NBBO on arrival save about 40% of the spread for each, post split, even as overall non-midpoint intraspread trading has declined.

• Please contact the desk for more information on our weekly data or to connect for free to IQX – it's available directly or through Exegy, MayStreet, Redline, and ACTIV.