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%.
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5-days through 08/05/22
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Quote Stability @ 500ms
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