Weekly Highlights

• IntelligentCross would like to wish everyone a very enjoyable, healthy and peaceful holiday celebration.

• Last week, VIX reached its highest levels since August 5th as most US sectors and styles declined with some relative strength coming from beta-neutral and equity long/short ETFs as a proxy for defensive posturing. Unsurprisingly, execution conditions became more expensive as spreads widened and post-trade quote stability declined. Post-trade stability was particularly disrupted after the Fed announcement on Wednesday, and particularly among ETFs. While smid-caps are often less affected by Fed days than other security types, last week they saw heavier volumes and wider spreads in general, but less of a volume shift towards the later part of the day versus historical Fed days, which could have challenged some volume schedules.

• Subscribers to IntelligentCross were able to rely on our performant liquidity to help weather these challenging conditions. Last week was our best week ever for notional daily matched. This was driven by a record for daily shares matched in ASPEN Fee-Fee at over 11% higher than our previous peak. And given the strains in smid-cap and ETF trading, it’s no surprise that last week was the best of the year for hit rates in smid-cap names for orders displayed on our free market data feed, IQX, and the best week ever in ETFs across the board including daily shares matched, shares matched against IOC order types, and shares matched of demi-block and larger.

• 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.