Last week’s volatility led to the second biggest daily moves of the quarter for both VIX and ETF market share. On Tuesday 9/13, VIX climbed over 3 points to 27.27 and the market share of the top 250 non-volatility specific ETFs hit 33% of trading in the top 3250 names overall.
While this is not surprising given the generally positive daily relationship between ETF market share and volatility, we see that this volatility-induced liquidity comes at a cost.
Despite overall volumes for ETFs being near quarterly highs, last week’s post-trade stability and average trade sizes remained near quarterly lows. Although much of the increased trading came later in the day, it wasn’t supported by the narrowing spreads one would expect in calmer markets during that period of the afternoon. Finally, this volume also came during a decline in the availability of intra-spread savings.
IntelligentCross remained an important source of safer ETF liquidity. Last week, we saw more than 5 million ETF orders per day priced better than the NBBO on arrival on our free market data feed IQX, with savings of approximately 30% of the spread. Displayed ETF order quantities on our platform averaged around 18x the median trade size in those names. This helped drive our ETF matching to a top 10 week for the number of shares traded as demi-block or larger, and a top 5 week for continuous ex-auction market share.
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 09/16/22
Quote Stability @ 20ms
Quote Stability @ 500ms
Average Trade Size
Average Order Size
Active Traded Names