Market Structure Reports

• Pan-European average daily turnover declined 8.5% m/m (+2.14% y/y), in November to €83.03bn.
• Volatility declined after October’s multi-month highs. The average daily closing value of the VSTOXX fell 3.96% m/m (+36.85% y/y) to 18.26, while the VFTSE slipped 0.98% m/m (+69.27% y/y) to 17.25.
• Lit markets (-244 bps), dark pools (-38 bps m/m) and opening/closing auctions (-16 bps m/m) all lost market share in November. Periodic auctions (+15 bps m/m) were the only venue type to add market share, while OTC volume grew 416 bps m/m. A spike in opening and closing auction volume on November 30 coincided with the MSCI index rebalancing.
• The London Stock Exchange (+113 bps) posted the largest m/m gain in pan-European on-venue market share; Euronext Paris (-56 bps) suffered the biggest loss. Aquis beat 3% market share for the first time.
• Euronext Lisbon (+596 bps, PSI 20) and the London Stock Exchange (+388 bps, FTSE 100) saw significant market share increases in their home indices; Euronext Paris (-961 bps, CAC 40) and Nasdaq Stockholm (-531 bps, OMXS) had the biggest losses.