autobahn Equity Market Insight 1,200 4,500 Volume (MM) 3,500 2,500 1,500 1, Dec Volume (MM) Price VIX Close 30-Dec 31-Dec

Size: px

Start display at page:

Download "autobahn Equity Market Insight 1,200 4,500 Volume (MM) 3,500 2,500 1,500 1, Dec Volume (MM) Price VIX Close 30-Dec 31-Dec"

Geraldine Austin
5 years ago
Views:

autobahn Equity Market Insight MARKET MICROSTRUCTURE STATISTICS NOVEMBER & DECEMBER 29 Europe US 26 STOXX 6 Index 5,5 1,2 S&P 5 Index 3, 24 22 2 Volume 4,5 3,5 1,5 5 Volume (MM) 1,1 1, Volume 2, 1,5

2 2 2 3 1 1 1 2 1 56 42 28 14 < < The STOXX 6 index closed 6% higher for the month of December. Average daily volumes were 15.7% lower than the prior month.

1 autobahn Equity Market Insight MARKET MICROSTRUCTURE STATISTICS NOVEMBER & DECEMBER 29 Europe US 26 STOXX 6 Index 5,5 1,2 S&P 5 Index 3, Volume 4,5 3,5 1,5 5 Volume (MM) 1,1 1, Volume 2, 1,5 1, 5 Volume (MM) 35 VSTOXX Index 35 CBOE VIX Index 3 3 VSTOXX Close 25 2 VIX Close Spread in bps Median Bid-Offer Spread (bps) Spread in bps Median Bid-Offer Spread (bps) < < The STOXX 6 index closed 6% higher for the month of December. Average daily volumes were 15.7% lower than the prior month. < < On an average the VSTOXX closed the month 8.9% lower than November, reflecting higher levels of market volatility in EU for the month of November. < < Median spread costs for December were.1% lower than the prior month. < < The S&P 5 index closed the month 1.8% higher. Average daily volumes remained the same when compared with the prior month. < < On an average the VIX closed the month 1.7% lower, reflecting lower levels of market volatility in US for the month of December. < < Median spread costs were 6.3% lower than the prior month. 1

2 MARKET MICROSTRUCTURE STATISTICS II NOVEMBER & DECEMBER 29 Europe US Top of Book Quote Size 3, 2, 1,5 1, 5 Median Top of Book Quote Size Bid Size Bid Size Bid Size Ask Size Ask Size Ask Size Top of Book Quote Size 1,35 1,2 1, Median Top of Book Quote Size Bid Size Bid Size Bid Size Ask Size Ask Size Ask Size , Velocity of Fills 1, 7,5 Velocity of Fills Fills per minute 1,5 1, Fills per minute 5, 1 < < Average Trade size in December decreased by 4% across large cap, 2.8% across midcap and 4.8% across the smallcap names when compared to the prior month. < < Median top of book quote size in December decreased by 1.4% each across the largecap and mid cap bands respectively. However, smallcaps recorded an increase of.3% when compared to the prior month. < < fills per minute in December decreased by 6.3%, 6.7% and 11% across largecap, midcap and smallcap names when compared to the prior month. < < Average Trade size in December increased by 2.3% across the large cap, 1.7% across the midcap and and 1.3% across the smallcap names when compared to the prior month. < < Median top of book quote size in December increased by 12.7% and 1.9% across the largecap and mid cap bands respectively. However smallcaps recorded a decrease of 4.1% when compared to the prior month. < < fills per minute in December decreased between 12% and 17% across market capitalization bands when compared to the prior month. 2

KEY NEWS Europe -9 SmartPool, the pan-european non-displayed trading venue operated by NYSE Euronext, has started integrating the dark trading assets acquired as part of its parent s takeover of

Source: Reuters -9 BATS Europe said it will adjust its pricing for all market participants trading on its integrated order book. From 4 January, aggressive orders will be charged at.

3 KEY NEWS Europe -9 SmartPool, the pan-european non-displayed trading venue operated by NYSE Euronext, has started integrating the dark trading assets acquired as part of its parent s takeover of NYFIX, as it bids to make its mark in the dark pool arena. It will also replace NYFIX as the partner of SIX Exchange for Swiss Block, a dark pool for Swiss blue-chip equities. Source: Reuters -9 BATS Europe said it will adjust its pricing for all market participants trading on its integrated order book. From 4 January, aggressive orders will be charged at.28 basis points, down from the current.3 bps; posters of passive orders will be awarded a rebate of.18 bps instead of.2 bps. Source: The LSE is set to reach an agreement to acquire rival trading platform Turquoise, in a move that will for the first time pitch the UK market into direct competition with its largest competitors. Source: Chi-Tech, the technology services unit of trading venue operator Chi-X Global, said Dutch investment firm ABR Financial will use its MarketPrizm infrastructure to power its automated trading strategies. Source: Reuters Nasdaq OMX Group reached a pact with BM&F Bovespa for the mutual distribution of market data and provision of NASDAQ products and services to quoted Brazilian firms. Source: Americas -9-9 NYSE Euronext said its European dark pool, SmartPool, will provide the technology for Swiss Block, a system launched by SIX. Source: The SEC staff is expected to make recommendations early next year for banning flash orders on stock exchanges. Source: Asia Pacific -9-9 The Tokyo Stock Exchange has reaffirmed plans to launch its Arrowhead trading system for stocks and corporate bonds in January and has provided additional details about the system s speed, performance and data distribution capabilities. Source: Reuters Singapore Exchange Limited and the Monetary Authority of Singapore have together proposed to make the declaration of all short-selling orders compulsory in a bid to improve market transparency. The measures will come into place in 1H1 and will require buy-side firms to inform their brokers whether a sell order is a short sale at the point of placing the order. Source: 3

4 VOLUME INFORMATION FOR DECEMBER 29 EMEA Daily London Stock Exchange , , % 24,175.3 Madrid SE C.A.T.S , , % 13,328.3 Chi-X Amsterdam SE , , % 111,78. XETRA , , % 11,919.8 Paris Stock Exchange , , % 96,88.2 Milan Stock Exchange , , % 61, Virt-x , , % 57,28.7 Euronext Amsterdam NV , ,6.62-3% 46, Stockholm Stock Exchange , , % 35, Istanbul Stock Exchange , , % 32, BATS Europe , , % 29, Johannesburg Stock Exchange , , % 26,59.78 Turquiose Trading Platform , , % 24, Oslo Stock Exchange , , % 2, Saudi Stock Exchange , , % 15,412.5 Helsinki Exchange , % 11, Copenhagen Stock Exchange , % 11,232.5 Tel Aviv Stock Exchange ,9.2 41, % 1, Brussels Stock Exchange , % 7, NASDAQ-OMX , % 7,857.9 Athens Stock Exchange , % 6,89.4 Frankfurt Stock Exchange.33 1, , % 6, Warsaw Stock Exchange.9 1, , % 4, Vienna Stock Exchange , % 3, Cairo Stock Exchange.8 1, , % 3,648.9 PLUS Exchange.36 4, , % 3, Lisbon Stock Exchange , % 3, Budapest Stock Exchange , % 1, Amman Stock Exchange % Amman Stock Exchange %

5 VOLUME INFORMATION FOR DECEMBER 29 (continued) US Daily Volume NASDAQ Alt Display Facility , ,398, % 1,398,737. NASDAQ , ,11, % 1,11,516. NYSE Arca , ,34.5-1% 697,34.5 New York Stock Exchange 6. 24, , % 69,961.3 BATS , ,213. % 44,213. NASDAQ OMX Boston , ,42.7 2% 11,42.7 ISE , , % 56, Chicago SE , % 33,55.21 CBOE , % 12,547.8 NYSE AMEX Equities , % 1,61.97 Canada Daily Volume Toronto SE , , % 141,414.2 Canadian Venture Ex.61 4, ,333.1 % 2, Latin America Daily Sao Paulo Stock Exchange , , % 73, Mexico Stock Exchange.7 5, , % 14, Santiago Stock Exchange.8 11, ,889, % 3,725.5 Chile Electronic Exchange. 2, , % 1, Lima Stock Exchange , % Buenos Aires Stock Exchange %

6 VOLUME INFORMATION FOR DECEMBER 29 (continued) Asia Pacific Daily Shanghai Stock Exchange , ,251, % 476,48.5 Tokyo Stock Exchange , ,698, % 319,581.7 Shenzhen Stock Exchange , ,45, % 299,736.8 Hong Kong Stock Exchange , ,41, % 134,282.1 Taiwan Stock Exchange , ,913, % 91, Korea Stock Exchange , ,378, % 85,353.1 Australia Stock Exchange , ,2.4-18% 81, National Stock Exchange of India , ,895, % 62,58.67 Korea Securities Dlrs Autom , ,419, % 35, Stock Exchange of Singapore.84 27, , % 21,52.84 Bombay Stock Exchange , , % 2,811.1 Osaka Stock Exchange ,6.5 13% 1,75.89 Stock Exchange of Thailand.93 41, , % 9, Kuala Lumpur Stock Exchange.9 9, , % 4, Japan OTC Market (JASDAQ) , % 3,25.83 Philippine Stock Exchange.14 4,4.9 62, % 1, New Zealand Stock Exchange , % 1,143.7 Colombo Stock Exchange , % DEFINITIONS Europe: The top 2 components of the STOXX 6 North America: The constituents of S&P 5 Europe: The mid 2 components of the STOXX 6 North America: The constituents of S&P 4 Europe: The bottom 2 components of the STOXX 6 North America: The constituents of S&P 6 Daily Volatility VSTOXX: Volatility index as calculated for the DJ Eurostoxx 5 CBOE-VIX: Volatility index as calculated for the S&P 5 Median Bid-Ask Spread bps Median Top of Book Quote Size On a per stock per day basis we calculate the mean bid-ask spread on a minute basis expressed in basis points. For a given day we then select the median value over all stocks in the capitalization group. Spread = 2,*(Ask - Bid)/(Ask + Bid). On a per stock per day basis we calculate the mean quote size at the top of the book, including both bid sizes and ask sizes. For a given day we then select the median value over all stocks in the capitalization group. 6

7 DEFINITIONS (continued) Median Average Trade Size On a per stock per day basis we calculate the mean trade size. For a given day we then select the median value over all stocks in the capitalization group. Velocity of Fills Trades* Volume* (local)* Daily and Volume On a per stock per day basis we calculate total number of trades. For a given day we then select the median value over all stocks in the capitalization group. Now this value is divided by total duration (51 mins. for Europe and 39 mins. for North America) to arrive at daily trades per minute in the capitalization group. Total number of trades executed on the exchange in a given month. Total shares traded on the exchange in a given month. Sum ( of shares in local currency * shares traded). This metrics is computed on a monthly basis and is in local currency. This is computed as the change from prior month. Daily averages are based on an assumption that every week day is a trading day. For the US markets this is based on actual trading days. * For each exchange the universe comprises of Equities Cash Instrument, Equities Fund Instrument, Equity Linked Cash Intrument and Equity Linked Fund Instrument. All trades are from midnight to midnight without any filtering. Contacts: US: Europe: + 44 () Asia Pacific: Japan: + 81 (3) Australia: The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively Deutsche Bank ) for its clients. The information herein is believed by Deutsche Bank to be reliable and has been obtained from public sources believed to be reliable. With the exception of information about Deutsche Bank, Deutsche Bank makes no representation as to the accuracy or completeness of such information. This published report may be considered by Deutsche Bank when Deutsche Bank is deciding to buy or sell proprietary positions in the securities mentioned in this report. For select companies, Deutsche Bank equity research analysts may identify shorter-term opportunities that are consistent or inconsistent with Deutsche Bank s existing, longer-term Buy or Sell recommendations. This information is made available on the SOLAR stock list, which can be found at Deutsche Bank may trade for its own account as a result of the short term trading suggestions of analysts and may also engage in securities transactions in a manner inconsistent with this report and with respect to securities covered by this newsletter will sell to or buy from customers on a principal basis. Disclosures of conflicts of interest, if any, are discussed at the end of the text of this report or on the Deutsche Bank website at Opinions, estimates and projections in this report constitute the current judgement of the author as of the date of this report. They do not necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank has no obligation to update, modify or amend this report or to otherwise notify a reader thereof in the event that any matter stated herein, or any opinion, projection, forecast or estimate set forth herein, changes or subsequently becomes inaccurate, except if research on the subject company is withdrawn. s and availability of financial instruments also are subject to change without notice. This report is provided for informational purposes only. It is not to be construed as an offer to buy or sell or a solicitation of an offer to buy or sell any financial instruments or to participate in any particular trading strategy in any jurisdiction or as an advertisement of any financial instruments. Derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk. The appropriateness or otherwise of these products for use by investors is dependent on the investors own circumstances including their tax position, their regulatory environment and the nature of their other assets and liabilities and as such investors should take expert legal and financial advice before entering into any transaction similar to or inspired by the contents of this publication. Trading in options involves risk and is not suitable for all investors. Prior to buying or selling an option investors must review the Characteristics and Risks of Standardized Options, at If you are unable to access the website please contact Deutsche Bank AG at +1 (212) , for a copy of this important document. Furthermore, past performance is not necessarily indicative of future results. Please note that multi-leg options strategies will incur multiple commissions. The financial instruments discussed in this report may not be suitable for all investors and investors must make their own investment decisions using their own independent advisors as they believe necessary and based upon their specific financial situations and investment objectives. If a financial instrument is denominated in a currency other than an investor s currency, a change in exchange rates may adversely affect the price or value of, or the income derived from, the financial instrument, and such investor effectively assumes currency risk. In addition, income from an investment may fluctuate and the price or value of financial instruments described in this report, either directly or indirectly, may rise or fall. Furthermore, past performance is not necessarily indicative of future results. Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity in the investor s home jurisdiction. In the U.S. this report is approved and/or distributed by Deutsche Bank Securities Inc., a member of the NYSE, the NASD, NFA and SIPC. In Germany this report is approved and/or communicated by Deutsche Bank AG Frankfurt authorised by Bundesanstalt für Finanzdienstleistungsaufsicht. In the United Kingdom this report is approved and/or communicated by Deutsche Bank AG London, a member of the London Stock Exchange and regulated by the Financial Services Authority for the conduct of investment business in the UK and authorised by Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin). This report is distributed in Hong Kong by Deutsche Bank AG, Hong Kong Branch, in Korea by Deutsche Securities Korea Co. and in Singapore by Deutsche Bank AG, Singapore Branch. In Japan this report is approved and/or distributed by Deutsche Securities Inc. The information contained in this report does not constitute the provision of investment advice. In Australia, retail clients should obtain a copy of a Product Disclosure Statement (PDS) relating to any financial product referred to in this report and consider the PDS before making any decision about whether to acquire the product. Deutsche Bank AG Johannesburg is incorporated in the Federal Republic of Germany (Branch Register Number in South Africa: 1998/3298/1) Additional information relative to securities, other financial products or issuers discussed in this report is available upon request. This report may not be reproduced, distributed or published by any person for any purpose without Deutsche Bank s prior written consent. Please cite source when quoting. Copyright 29 Deutsche Bank AG Standard & Poor s, S&P, S&P 5, Standard & Poor s 5, and 5 are trademarks of Standard & Poor s, a division of The McGraw Companies, Inc. and VIX is a trademark of the Chicago Board Options Exchange, Incorporated ( CBOE ). These marks have been licensed for use by. The Product(s) is/are not sponsored, endorsed, sold or promoted by Standard & Poor s [ CBOE] and Standard & Poor s [ CBOE] make no representation regarding the advisability of investing in the Product. The STOXX 6 Index is proprietary and copyrighted material. The STOXX 6 Index and the related trademarks have been licensed for certain purposes by Deutsche Bank. Neither Stoxx Limited nor Dow Jones & Company Inc. sponsors, endorses or promotes this newsletter based on the STOXX 6 Index. S&P Disclaimer - Marketing Term Sheets S&P marks are trademarks of the McGraw-Hill Companies Inc. and have been licensed for use by Deutsche Bank AG. The product is not sponsored, endorsed, sold or promoted by Standard and Poor s and Standard and Poor s makes no representation regarding the advisability of investing in the product. 7

autobahn Equity Market Insight Volume (MM) 6,500 1,000 Volume (MM) 5,000 2,000 3,500 2,000 Volume 29-June Volume Price VIX Close 25-June 29-June

autobahn Equity Market Insight MARKET MICROSTRUCTURE STATISTICS MAY & JUNE 2009 Europe US 260 235 STOXX 600 Index Volume Price 6,500 5,000 950 Volume Price S&P 500 Index 2,500 2,000 1,500 Price 210 185