Weekly Highlights

• The midweek surge in VIX rising above 18 between 7/24 and 7/25 likely kept execution conditions difficult last week. Spreads widened for large and smid-cap names, especially on Friday and especially during the early part of the trading day, while post-trade quote stability declined. The rotation out of tech has been well documented and certainly contributed to continued wider spreads and instability but energy and financials seemed to take the brunt of the increased trading frictions last week, even though both sectors generally outperformed the market. Average trade sizes declined early in the day, and the decline was more pronounced in smid-caps as the group mean-reverted from the prior week’s substantial relative out-performance.

• Thematically, last week continued the trend we saw emerge during the week of 7/15, specifically multiple cross currents putting pressure on execution and liquidity as participants maintained higher levels of ETF utilization, which was evidenced by an upward trend in market share, but came at a cost of a significant decrease in post-trade quote stability.

• The unique combination of scheduled matching and displayed liquidity at IntelligentCross helps our subscribers navigate this trickier environment. While we closed the week matching above 2% of total notional traded marketwide, we also had our best week of the year for average daily match quantities of demi-block and larger in large cap stocks. But perhaps more importantly, given the widening spreads, we had our best week of the year for daily order quantities displayed on our free market data feed IQX of round lot size and larger that arrived priced better than the NBBO. In fact, it was our best week ever for daily displayed order quantities in ETFs. Combined with our exchange beating post-trade performance in quote stability and lower markouts, IntelligentCross Midpoint and ASPEN remain high-value tools for performant liquidity.

• And the opportunity for more liquidity is even greater. For example, last week IntelligentCross ATS had a daily average of over 4.4 billion shares of marketable displayed order flow resting at least 10ms on IQX.

• 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, and ACTIV.