Weekly Highlights

• While last Friday’s Russell rebalance brought the expected high point of the year for auction volumes as a percent of total, in some ways the event was rather muted. In terms of overall volume, Friday was the fourth largest of the year, falling behind not only the inflation and regional banking events of March, but also the latest options and futures expiration day on June 16th. The fact that Russell on Friday fell behind the prior expiration is counter to the pattern we have observed since at least 2018.

• This meant that, all in all, last week (including Friday on its own), maintained the recent trend of lower spreads and post-trade instability, with muted average trade sizes across the different security types that we track: ETFs, Large-Cap, Smid-Cap, and ADRs.

• However, even in calmer markets, IntelligentCross subscribers achieved superior performance. Friday registered the highest gap of the year between ASPEN Fee/Fee and exchange average post-trade quote stability and it was also the lowest absolute value mark out day of the year.

• This continues to be driven by our unique liquidity of orders displayed on our free market data feed, IQX. Last week, we saw round lot or larger orders priced better than the NBBO over 4 million times per day pushing ASPEN Fee/Fee hit rates to their highs of the year.

• If you're not already using our platform to optimize your trading performance, we encourage you to get in touch. Our displayed quotes are available through our market data feed, IQX, which you can access directly, or through Exegy, MayStreet, Redline, and ACTIV.