Market Structure Reports

Back to Reports

European Securities Volumes

July 15, 2021
  • Average daily value traded dropped 2.50% m/m (-14.50 y/y), to €68.21 billion.
  • Volatility fell, with the VSTOXX average daily close down 14.41% m/m (-46.92% y/y), to 17.53, and the FTSE 100 IVI down 10.82% m/m (-46.53% y/y), to 16.25.
  • Dark MTFs (+90 bps m/m), closing auctions (+47 bps m/m), over-the-counter trading activity (+35 bps m/m), systematic internalizers (+26 bps m/m), opening auctions (+15 bps m/m) and periodic auctions (+2 bps m/m) gained market share. Closing auction market share (14.44%) was the second highest we have on record, just 25 bps shy of the high attained in September 2019. Lit books sank -214 bps m/m, to the second-lowest market share we have on record (38.5%).
  • SIX Swiss Exchange (+120 bps m/m), Turquoise Plato EU (+81 bps m/m) and the London Stock Exchange (+64 bps m/m) posted the largest m/m gains in pan-European on-venue market share.
  • Deutsche Börse (-106 bps m/m), Nasdaq Stockholm (-67 bps m/m) and Borsa Italiana (-53 bps m/m) lost the most.
  • Euronext Brussels (+182 bps m/m, BEL 20) gained the most market share in its home index. Euronext Lisbon (-770 bps m/m, PSI 20), Nasdaq Stockholm (-347 bps m/m, SE 30) and Bolsas y Mercados Españoles (-323 bps m/m, IBEX 35) saw the steepest declines.
  • Our report now includes EBBO presence time for three major indices, based on BMLL data.

Continue Reading

Recent Posts