Weekly Highlights

• Since the market lows and VIX highs of mid-October, measures of trading execution, such as post-trade quote stability and markouts, have generally improved. So have market volumes (ex-Thanksgiving week). Quote stability is up around 6% vs Q3 through mid-October, and volumes in the most active names are almost 10% higher in aggregate.

• However, these changes don't mean that improvements have occurred uniformly. For example, while volumes are up in general, a larger share of that is coming earlier in the day. And while quote stability has improved, other measures like spreads have remained stubbornly elevated, on average 9% wider.

• Overall liquidity has shifted slightly toward the midpoint and away from the touch and intraspread—possibly in response to these wider spreads. We see this affecting the overall improvements in stability, limiting gains for maker-taker venues at the touch and inverted venues in the mid.

• IntelligentCross remains a market leader in post-trade quote stability, whether in Midpoint or ASPEN fee-fee. And while intraspread liquidity has become slightly tougher to source overall, ASPEN fee-fee continues to see more than 11 million orders per day priced better than the NBBO on arrival, for average spread savings close to 30% for orders displayed on our free market data feed, IQX.

• For other insights on how liquidity changes with market conditions, check out our latest post: After the Fall - Timing Trading in Battered Stocks. And if you’re not using our platform to fully unlock trading performance, get in touch. 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.