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 1, 5 Volume (MM) 35 VSTOXX Index 35 CBOE VIX Index 3 3 VSTOXX Close 25 2 VIX Close 25 2 15 1 2 Spread in bps 45 35 25 15 5 Median Bid-Offer Spread (bps) Spread in bps Median Bid-Offer Spread (bps) 1 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. < < 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
MARKET MICROSTRUCTURE STATISTICS II NOVEMBER & DECEMBER 29 Europe US 8 6 4 2 36 32 28 24 2 16 12 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 1,5 9 75 6 45 3 15 Median Top of Book Quote Size Bid Size Bid Size Bid Size Ask Size Ask Size Ask Size 1 2 2 2 3 1 2 2 2 3 1 1 2, Velocity of Fills 1, 7,5 Velocity of Fills Fills per minute 1,5 1, 5 1 2 2 2 3 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 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: www.thetradenews.com -9-9 -9 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: www.efinancialnews.com 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: www.efinancialnews.com Americas -9-9 NYSE Euronext said its European dark pool, SmartPool, will provide the technology for Swiss Block, a system launched by SIX. Source: www.efinancialnews.com The SEC staff is expected to make recommendations early next year for banning flash orders on stock exchanges. Source: www.efinancialnews.com 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: www.thetradenews.com 3
VOLUME INFORMATION FOR DECEMBER 29 EMEA Daily London Stock Exchange 9.75 46,859.63 148,476.32-26% 24,175.3 Madrid SE C.A.T.S. 2.29 8,954.54 9,656.86 2% 13,328.3 Chi-X Amsterdam SE 13.24 9,65.57 77,754.59-18% 111,78. XETRA 3.48 3,475.99 77,156.23-18% 11,919.8 Paris Stock Exchange 7.12 3,542.1 66,839.19-19% 96,88.2 Milan Stock Exchange 3.81 12,53.4 42,691.53-41% 61,373.34 Virt-x 1.57 1,29.84 39,669.38-15% 57,28.7 Euronext Amsterdam NV 2.99 3,218.51 32,6.62-3% 46,866.65 Stockholm Stock Exchange 2.78 6,825.12 253,946.97-17% 35,817.95 Istanbul Stock Exchange 3.81 19,221.7 48,999.2 18% 32,888.75 BATS Europe 4.29 2,987.44 2,564.9-17% 29,562.94 Johannesburg Stock Exchange 1.61 4,547.89 195,226.17-24% 26,59.78 Turquiose Trading Platform 3.43 2,26.63 17,68.45-31% 24,537.61 Oslo Stock Exchange 1.19 4,354. 119,222.59-19% 2,744.73 Saudi Stock Exchange 1.54 2,42.97 57,681.51-26% 15,412.5 Helsinki Exchange.87 848.35 7,938.84-12% 11,412.87 Copenhagen Stock Exchange.64 633.62 58,136.9-8% 11,232.5 Tel Aviv Stock Exchange 1.57 18,9.2 41,254.86 1% 1,948.75 Brussels Stock Exchange.84 512.31 5,488.2-21% 7,889.57 NASDAQ-OMX 1.16 659.47 7,857.9-32% 7,857.9 Athens Stock Exchange.84 845.95 4,736.64-74% 6,89.4 Frankfurt Stock Exchange.33 1,247.66 4,273.88-19% 6,144.12 Warsaw Stock Exchange.9 1,572.81 3,294.89-2% 4,736.74 Vienna Stock Exchange.22 195.21 2,68.73-31% 3,853.82 Cairo Stock Exchange.8 1,894.63 19,983.3-38% 3,648.9 PLUS Exchange.36 4,517.48 2,51.75-18% 3,596.52 Lisbon Stock Exchange.37 877.73 2,237.35-5% 3,216.41 Budapest Stock Exchange.17 119.59 32,737.41-56% 1,617.53 Amman Stock Exchange.19 442.1 566.61 42% 85.72 Amman Stock Exchange.24 461.97 667.57-5% 942.6 4
VOLUME INFORMATION FOR DECEMBER 29 (continued) US Daily Volume NASDAQ Alt Display Facility 132.74 61,951.17 1,398,737. 12% 1,398,737. NASDAQ 124.5 32,495.2 1,11,516. -8% 1,11,516. NYSE Arca 8.71 21,43.14 697,34.5-1% 697,34.5 New York Stock Exchange 6. 24,325.58 69,961.3 1% 69,961.3 BATS 69.83 15,32.51 44,213. % 44,213. NASDAQ OMX Boston 25.25 5,398.2 11,42.7 2% 11,42.7 ISE 8.97 2,717.25 56,336.85 4% 56,336.85 Chicago SE.36 645.45 33,55.21-17% 33,55.21 CBOE.25 291.32 12,547.8 19% 12,547.8 NYSE AMEX Equities.56 367.96 1,61.97 17% 1,61.97 Canada Daily Volume Toronto SE 13.51 8,537.84 147,76.65 3% 141,414.2 Canadian Venture Ex.61 4,666.94 2,333.1 % 2,243.28 Latin America Daily Sao Paulo Stock Exchange 7.1 46,558.9 128,521.24 7% 73,745.49 Mexico Stock Exchange.7 5,672.77 188,663.26 42% 14,583.67 Santiago Stock Exchange.8 11,335.12 1,889,926.94 32% 3,725.5 Chile Electronic Exchange. 2,13.33 599,961.95 26% 1,182.53 Lima Stock Exchange.2 346.24 1,323.92 181% 458.26 Buenos Aires Stock Exchange.5 173.36 815.44-5% 214.62 5
VOLUME INFORMATION FOR DECEMBER 29 (continued) Asia Pacific Daily Shanghai Stock Exchange 179.33 32,674.49 3,251,935.15-18% 476,48.5 Tokyo Stock Exchange 11.95 44,381.74 29,698,141.44 15% 319,581.7 Shenzhen Stock Exchange 27.2 164,54.58 2,45,984.98-19% 299,736.8 Hong Kong Stock Exchange 8.4 325,599.47 1,41,673.26-11% 134,282.1 Taiwan Stock Exchange 5.1 92,532.15 2,913,139.75 3% 91,845.47 Korea Stock Exchange 16.86 7,47.83 98,378,296.45 11% 85,353.1 Australia Stock Exchange 9.33 42,928.92 9,2.4-18% 81,586.26 National Stock Exchange of India 37.3 14,976.6 2,895,26.31-1% 62,58.67 Korea Securities Dlrs Autom 22.57 15,526.1 41,419,767.17 23% 35,935.79 Stock Exchange of Singapore.84 27,775.47 3,65.49-19% 21,52.84 Bombay Stock Exchange 21.88 8,238.3 963,918.94-4% 2,811.1 Osaka Stock Exchange.6 736.37 999,6.5 13% 1,75.89 Stock Exchange of Thailand.93 41,679.62 38,35.34-2% 9,283.81 Kuala Lumpur Stock Exchange.9 9,629.4 16,45.29-35% 4,725.34 Japan OTC Market (JASDAQ).79 76.45 32,93.95 5% 3,25.83 Philippine Stock Exchange.14 4,4.9 62,674.41-15% 1,364.99 New Zealand Stock Exchange.4 755.24 1,571.66-17% 1,143.7 Colombo Stock Exchange.11 289.76 12,61.98 91% 11.18 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
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: + 1 8 553 1226 Europe: + 44 () 27 547 222 Asia Pacific: + 852 223 628 Japan: + 81 (3) 5156 6579 Australia: + 612 8258 2862 www.db.com www.autobahnequity.db.com 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. 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