Weekly Highlights

  • While some of the spotlight returned to meme stocks last week, with both AMC and GME posting double-digit returns, few stocks have ever had a week like the meme-adjacent HKD (AMTD Digital).

  • The stock closed last Friday more than 2x higher than where it opened for trading last Monday, but along the way reached a peak of over 7.5x that price. Its tightest daily range for the week was over 27% of the day’s opening price.

  • Volatility like this dramatically changes a stock’s trading behavior. As you’d expect, the increase in price decreased trade size. Odd-lot trading grew more than 50% by shares and accounted for almost 100% of trades. But with prices briefly above $2000, a single round-lot trade would be $200k–and, by this definition, block volumes grew to almost 10% of the total.

  • However, because volumes failed to keep up with price momentum, spreads dramatically widened to hover around 10% last week. This increased the opportunity for intraspread trading, which saw a 13% rise in market-share taken from volumes at the bid or offer. Interestingly, FINRA market-share dropped 18% as volumes shifted to unprotected odd-lot execution on the exchanges. IntelligentCross picked up almost 60bps of TCV market-share, as subscribers saved about 22% of the cost of crossing the full spread on the platform.

  • A drop in daily quote counts accompanied fading volumes and widening spreads. This had the unexpected effect of increasing post-trade quote stability despite the price volatility. Average exchange (ex-FINRA) stability for HKD grew from just under 50% in July to just over 70% at 500ms last week. Regardless, wider spreads meant that markouts in basis points increased by a factor of 1.6. Supporting our platform’s increase in market-share, our subscribers saw stability above 90% in both ASPEN and Midpoint and a reduction in markouts of around 50%.

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

Displayed Quote Stats

5-days through 08/05/22

Unique Names Per Day

Displayed Order Better Than NBBO %

Avg Spread Improvement %

Total

7290

29%

39%

ETF

1424

28%

46%

LARGE CAP

809

29%

36%

MID CAP

1196

30%

34%

OTHER

81

35%

29%

SMALL CAP

3781

31%

28%

Top Symbols

shares matched on the week

ADR

MF2,551,108
TEVA2,087,795
ITUB1,993,592

ETF

TQQQ2,237,941
XLF1,220,905
SQQQ1,149,980

Large Cap

F3,716,235
UBER2,998,617
AMD2,921,490

Smid Cap

OPEN2,471,854
AVYA2,184,994
SOFI2,110,247

Trading Information

5-days through 08/05/22

5-days through 08/05/22

Quote Stability @ 20ms

Quote Stability @ 500ms

Average Trade Size

Average Order Size

Active Traded Names

Total

92.5

80.4

100

230

6490

Smid Cap

93.8

86.3

100

240

4476

ETF

94.7

82.2

170

330

784

Large Cap

90.1

71.7

90

120

773

ADR

95.6

87.2

150

280

354

Percent Names Traded by Share Group

SMID_CAP 45.9%LARGE_CAP 38.0%ADR 7.0%OTHER 4.7%ETF 4.4%

SMID_CAP

LARGE_CAP

ADR

OTHER

ETF