Weekly Highlights

• Here are some potential lessons from trading in last week’s volatile markets.

• Typical of Fed Rate Days, volatility and trading spiked in the minutes following last Wednesday’s announcement. The jump was concentrated in rate-specific ETFs, US equity ETFs, and US large-caps. Smid-caps, ADRs, and international and commodity ETFs showed less sensitivity.

• Wider spreads and lower post-trade stability increased trading costs and remained elevated for the balance of that day. When costs increased, volumes shifted towards the touch on maker-taker venues and away from dark venues and midpoint in general. We estimate that both midpoint and FINRA market shares were cut almost in half during the minutes following the announcement for the top 2500 names by September ADV.

• However, during the same brief period, our ATS saw a sharp increase in the number of orders for that same universe – especially orders arriving with prices better than the NBBO on our free displayed market data feed IQX. For example, we saw average rates of over 50 displayed, spread improving orders per minute per name, saving an average of 30% of the spread.

• This suggests incorporating alternative liquidity sources–especially displayed– could be an important way to manage execution during known events.

• 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.