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  • 2010/11/23
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Fragmentation gains significant ground in October

London – 23 November 2010 – Crédit Agricole Cheuvreux publishes its October Market Indicators produced in conjunction with TAG.
Key findings for October:
- Trading volumes decreased in October, down 5% compared to September. Despite a small improvement in indices, primary markets faced an unexpected decrease in Average Trade Size (ATS), whilst MTFs gained ground.
- Two days showed unusual behaviour in terms of flow. Due to Columbus Day on 11 October, which caused a lack of US order flow, volumes dropped to 70% of their normal levels. Indices recovered on 15 October, generating high volumes on the primary markets.
- Fragmentation has increased, with higher volumes on MTFs, reaching 26.7% of European flows this month.
- Without Quadruple Witching on 17 September, the decrease in the market share of primary markets would not have been so significant (on average 0.7pts less than the level we observed.) Normalising the figures (ie. excluding the Quadruple Witching effect), Xetra's market share was unchanged from September to October.
- Dark pool volumes maintained their momentum reaching EUR18.2 billion over the month, amounting to 2.6% of lit European volumes.
- Fact of the month: Two technical glitches were observed in October which questioned the quality of service provided by primary markets, which should, in theory, be superior to that of the other pools, as they mainly host the price formation process.
- Future Trends: The LSE migration to MillenniumIT technology for the main UK order book has been postponed until the beginning of 2011. We should also pay special attention to BATS' SOR extension to Euronext and Deutsche Börse stocks.
Please see attached document ‘Market Indicators October 2010’ for more details.

Please see attached document ‘Market Indicators October 2010’ for more details.