Weekly Highlights

• Bucking recent trends, Friday’s 2024 Russell Reconstitution was not the largest auction volume day of the year. June 21st’s combination quad-witching and S&P rebalance take that title by a nose, for now.

• Nevertheless, Reconstitution Friday brings with it significant changes to the trading environment. Obviously, there is the heightened importance of the closing auctions, but there are a number of other shifts that can make the day tricky for algorithmic traders. For example, volumes shifted away from the dark and towards the bid-offer, but we also saw an uncharacteristically large spike near the auction cutoffs. On balance, median trade size increased throughout the day for adds, promotions, and demotions but not for deletes. Across all categories of Russell-affected names, spreads increased during the last half hour when on balance they usually narrow or remain stable. And with the increase in spreads, we saw a decrease in post-trade stability.

• Focusing in on the Russell names and the trickier-than-usual period around the close, subscribers to IntelligentCross experienced superior post-trade quote stability and lower absolute markouts to 500ms after match across all categories of rebalance names in both Midpoint and ASPEN, versus the exchange average. In fact, ASPEN saw almost twice the performance of exchange averages for non midpoint trades during this period. Add to that, orders in these names arrived priced better than the NBBO almost 500k times on our free market data feed, IQX. This is why IntelligentCross should be an integral part of your search for performant liquidity.

• If you haven't yet leveraged our platform to boost your trading outcomes, we encourage you to connect with us. Our displayed ASPEN quotes are available through our market data feed, IQX, which can be accessed directly or via providers such as Exegy, MayStreet, Redline, and ACTIV.