Weekly Highlights

• Last week, spreads declined on average across the most active ADRs, ETFs, and large and smid-cap names as post-trade quote stability remained high. Smid-cap average daily volumes picked up, as did average trade sizes, improving liquidity measures in an already benign trading environment.

• However, last week was the first week of trading after the Nasdaq-100 special rebalance announcement on July 7th, which is effective July 24th. This event has the potential to change trading for a key subset of actively traded names and ETFs because of the different characteristics between names likely to lose weight (MSFT, AAPL, NVDA, AMZN, TSLA, META, GOOGL) versus those likely to increase (SBUX, MDLZ, BKNG, GILD, ISRG, ADI, ADP).

• The names that stand to increase weight in the index are marked by wider spreads, smaller trade size, and lighter trading near the beginning of the day versus those likely to lose. Capturing potential shifts in these characteristics in either group due to the re-weight will be critical for algorithmic trading.

• For example, we saw a shift toward continuous trading and away from the auctions in the ‘increase’ group last week, as well as some evidence that spreads were relatively higher vs the ‘lose’ group. But perhaps the most notable change was the near five-fold increase in daily volumes for QQQE, Nasdaq-100 equal weighted ETF.

• How to prepare for this potentially big event? Subscribers on IntelligentCross continue to access important spread saving liquidity in these names through orders displayed on our free market data feed IQX. Last week alone, we saw over 300k orders per day of round lot or larger arrive priced better than the NBBO in these names and over $1.6b per day in SIP trades that executed outside of our better prices.

• 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.