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.
Unique Names Per Day
Displayed Order Better Than NBBO %
Avg Spread Improvement %
5-days through 08/26/22
Quote Stability @ 20ms
Quote Stability @ 500ms
Average Trade Size
Average Order Size
Active Traded Names