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  • 2010/10/22
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Crédit Agricole Cheuvreux publishes its September Market Indicators produced in conjunction with TAG.

Volatility continues to decrease Trading volumes increase by 15% since August
Crédit Agricole Cheuvreux publishes its September Market Indicators produced in conjunction with TAG.
Key findings for September:

  • Trading volumes increased slightly in September, up 15% compared to August. This is due to an increase in both the number of trades and in average trade size. Two days showed abnormal flow: on the US Labour Day holiday on 6 September, volumes dropped to 50% of their normal levels, while Quadruple Witching on 17 September led to volumes peaking to twice their usual levels, with the primary markets being the major beneficiaries.
  • Chi-X failed to attract this flow and its market share decreased by one point on every index except the SLI. For the FTSE 100, the missed flow benefited the LSE, whereas for Euronext segments, Turquoise was the main beneficiary. Concerning the DAX, Chi-X's missed flow was attracted by XETRA and Turquoise. Lastly, the market share on the SLI showed a very different trend in which BATS was the only platform to improve its market share, with a significant one-point gain.
  • Volatility continues to decrease, spreads continue to tighten and every venue is increasing the percentage of time at which orders match the EBBO. The trend in % time at the EBBO with greatest size confirms the conclusions made on market share: XETRA and the LSE enjoyed significant improvement, while Chi-X's figures decreased, especially with regard to German and UK stocks.
  • Future Trends: The LSE group will be rolling out Millennium technology for the main UK order book. It will be interesting to see if this process runs more smoothly than the recent migration of Turquoise, during which its market share saw a marked decline.

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Please see attached document Read the press release (PDF - 0 o) for more details.

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