Weekly Highlights

• At the close of trading on Friday, December 13, MSTZ executed a 1-for-20 reverse split, likely marking the end of yet another instance of a single name dominating market volumes—a recurring theme this year. On its peak days in November and December, MSTZ accounted for nearly 10% of total share volumes. This outsized activity single-handedly boosted the average trade size across active ETFs by more than 25%. It also masked what otherwise would have been flat to declining daily ETF volumes while obscuring a consistent feature of ETF trading this year: concentrated single-share prints around 10:30 AM. Additionally, MSTZ shifted the intraday volume curve slightly toward the open. Meanwhile, MSTR, the underlying stock for MSTZ, exhibited signs of trading frictions during this period, including declining trade sizes, shorter quote durations, and a shift in trading volumes toward the later part of the day. These dynamics led to higher markouts, particularly near the close, in contrast to end-of-day behavior seen before November.

• This is why understanding both the stock and the broader group is critical when implementing execution strategies. At IntelligentCross, we calibrate the discrete matching for our daily ASPEN and intraday Midpoint models on a per-symbol basis. This enables our subscribers to execute more efficiently and leverage our performant liquidity, even during times of market dislocation. Since October, IntelligentCross ATS subscribers have experienced consistently superior post-trade performance, as measured over 500ms by quote stability and absolute markouts, compared to traditional exchanges. More importantly, these performance savings extend to matches from orders displayed on our free market data feed, IQX.

• If you haven’t explored how our platform can enhance your trading, we invite you to connect with us. ASPEN displayed quotes are available via the IQX market data feed, accessible directly or through providers such as Exegy, MayStreet, and Option.