Weekly Highlights

  • Last Friday’s end of summer “Fed-Ache,” with the S&P 500 tumbling over 3% in a day, probably increased trading costs more than what a first glance would suggest.

  • While volumes and spreads were elevated, they remained within the norms we have seen over the year, but also within norms for the calmer months of July and August. What was elevated, however, was the day-over-day snap. Here we see a jump in volume of over 15% for the 3000 most active names and a whopping ~60% change in the average range within which those names were moving.

  • The snap contributed to a statistically significant decrease in post-trade quote stability across the market.

  • IntelligentCross maintained its relative stability advantage versus the exchange average, showing 1.5x better quote stability at 20ms after a trade. Our high-quality post-trade performance encourages unique liquidity. Friday was our best day since the beginning of August for the number of round lot and larger orders displayed on our free market data feed, IQX, improving the NBBO on arrival.

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

Displayed Quote Stats

5-days through 08/26/22

Unique Names Per Day

Displayed Order Better Than NBBO %

Avg Spread Improvement %

Total

7291

29%

37%

ETF

1414

28%

44%

LARGE CAP

801

30%

33%

MID CAP

1200

31%

32%

OTHER

110

33%

43%

SMALL CAP

3768

31%

26%

Top Symbols

shares matched on the week

ADR

NIO1,404,017
VALE1,367,612
NOK1,271,621

ETF

TQQQ1,434,601
SPY1,114,298
XLF1,032,605

Large Cap

NVDA2,106,588
GRAB2,061,927
F2,009,329

Smid Cap

AMC2,618,845
SOFI2,235,973
PTON2,216,858

Trading Information

5-days through 08/26/22

5-days through 08/26/22

Quote Stability @ 20ms

Quote Stability @ 500ms

Average Trade Size

Average Order Size

Active Traded Names

Total

92.6

81.1

100

240

6144

Smid Cap

93.9

86.9

90

230

4239

Large Cap

90.4

73.4

80

130

695

ETF

94.9

82.8

180

370

694

ADR

95.1

86

140

320

343

Percent Names Traded by Share Group

SMID_CAP 45.5%LARGE_CAP 38.5%ADR 7.4%OTHER 4.3%ETF 4.2%

SMID_CAP

LARGE_CAP

ADR

OTHER

ETF