autobahn® Equity · 2010-04-29 · 1 Monthly Newsletter g October 2009 Issue autobahn® Equity Market Insight Europe US STOXX 600 Index Price September-October, 2009 The STOXX 600

1

Monthly Newsletter g October 2009 Issue

autobahn® EquityMarket Insight

Europe US

STOXX 600 Index

Pri

ce

September-October, 2009

The STOXX 600 index closed 2.3% lower for the month of October. Average daily volumes were 4% higher than the

prior month

The VSTOXX closed the month 1.2% lower than September, reflecting lower levels of market volatility in EU for the

month of October.

Median Bid-Offer Spread (bps)

Source: Deutsche Bank using Reuters data

Market Microstructure Statistics

Europe

STOXX 600 Index

VSTOXX Index

15

20

25

30

35

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct V

ST

OX

X C

lo

se

Date

5

10

15

20

25

30

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Sp

read

in

b

ps

Date LargeCap MidCap SmallCap

500

1,500

2,500

3,500

4,500

5,500

175

200

225

250

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Vo

lu

me

(M

M)

Pric

e

Date Volume (MM)

Price VSTOXX Index

VS

TOX

X C

lose



prior month


month of October.




Europe

STOXX 600 Index

VSTOXX Index

15

20

25

30

35

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11

-S

ep

15

-S

ep

17

-S

ep

21

-S

ep

23

-S

ep

25

-S

ep

29

-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct V

ST

OX

X C

lo

se

Date

5

10

15

20

25

30

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11

-S

ep

15

-S

ep

17

-S

ep

21

-S

ep

23

-S

ep

25

-S

ep

29

-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

Sp

re

ad

in

b

ps


500

1,500

2,500

3,500

4,500

5,500

175

200

225

250

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11

-S

ep

15

-S

ep

17

-S

ep

21

-S

ep

23

-S

ep

25

-S

ep

29

-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

Vo

lu

me

(M

M)

Pric

e

Date Volume (MM)

Price


Sp

read

in b

ps



prior month


month of October.




Europe

STOXX 600 Index

VSTOXX Index

15

20

25

30

35

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct V

ST

OX

X C

lo

se

Date

5

10

15

20

25

30

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Sp

re

ad

in

b

ps


500

1,500

2,500

3,500

4,500

5,500

175

200

225

250

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Vo

lu

me (M

M)

Price

Date Volume (MM)

Price

Large CapMid CapSmall Cap


< The STOXX 600 index closed 2.3% lower for the month of October. Average daily volumes were 4% higher than the prior month

< The VSTOXX closed the month 1.2% lower than September, reflecting lower levels of market volatility in EU for the month of October

< Median spread costs for October were 0.5% lower than the prior month

S&P 500 Index

Pri

ce

The S&P 500 index closed the month 2% lower. Average daily volumes were 4% lower than the prior month.

Median spread costs for October were 0.5% lower than the prior month.

United States



S&P 500 Index

CBOE VIX Index

0

5

10

15

20

25

30

35

40

45

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Sp

re

ad

in

bp

s

Date Large Cap Mid Cap Small Cap

20

25

30

35

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

12-O

ct

14-O

ct

16-O

ct

20-O

ct

22-O

ct

26-O

ct

28-O

ct

30-O

ct

VIX

Clo

se

Date

0

500

1,000

1,500

2,000

2,500

900

1,000

1,100

1,200

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

12-O

ct

14-O

ct

16-O

ct

20-O

ct

22-O

ct

26-O

ct

28-O

ct

30-O

ct

Vo

lum

e (

MM

)

Millio

ns

Pric

e

Date Volume Price

MARKET MICROSTRUCTURE STATISTICS – SEPTEMBER & OCTOBER 2009

CBOE VIX Index

VIX

Clo

se



United States



S&P 500 Index

CBOE VIX Index

0

5

10

15

20

25

30

35

40

45

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Sp

re

ad

in

b

ps


20

25

30

35

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

12-O

ct

14-O

ct

16-O

ct

20-O

ct

22-O

ct

26-O

ct

28-O

ct

30-O

ct

VIX

C

lo

se

Date

0

500

1,000

1,500

2,000

2,500

900

1,000

1,100

1,200

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

12-O

ct

14-O

ct

16-O

ct

20-O

ct

22-O

ct

26-O

ct

28-O

ct

30-O

ct

Vo

lu

me

(M

M)

Millio

ns

Pric

e

Date Volume Price

VolumePrice


Sp

read

in b

ps



United States



S&P 500 Index

CBOE VIX Index

0

5

10

15

20

25

30

35

40

45

1-S

ep

3-S

ep

8-S

ep

10

-S

ep

14

-S

ep

16

-S

ep

18

-S

ep

22

-S

ep

24

-S

ep

28

-S

ep

30

-S

ep

2-O

ct

6-O

ct

8-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

Sp

read

in

b

ps


20

25

30

35

1-S

ep

3-S

ep

8-S

ep

10

-S

ep

14

-S

ep

16

-S

ep

18

-S

ep

22

-S

ep

24

-S

ep

28

-S

ep

30

-S

ep

2-O

ct

6-O

ct

8-O

ct

12

-O

ct

14

-O

ct

16

-O

ct

20

-O

ct

22

-O

ct

26

-O

ct

28

-O

ct

30

-O

ct

VIX

C

lo

se

Date

0

500

1,000

1,500

2,000

2,500

900

1,000

1,100

1,200

1-S

ep

3-S

ep

8-S

ep

10

-S

ep

14

-S

ep

16

-S

ep

18

-S

ep

22

-S

ep

24

-S

ep

28

-S

ep

30

-S

ep

2-O

ct

6-O

ct

8-O

ct

12

-O

ct

14

-O

ct

16

-O

ct

20

-O

ct

22

-O

ct

26

-O

ct

28

-O

ct

30

-O

ct

Vo

lu

me (M

M)

Millio

ns

Price

Date Volume Price



< The S&P 500 index closed the month 2% lower. Average daily volumes were 4% lower than the prior month.

< The VIX closed the month 2.7% lower, reflecting lower levels of market volatility in US for the month of October.

< Median spread costs were 2.6% lower than the prior month

Volume Price

35

30

25

20

15

Vo

lum

e (M

M)

5,500

4,500

3,500

2,500

1,500

500

35

30

25

20

1,200

1,100

1,000

900 Vo

lum

e (M

M)

2,500

2,000

1,500

1,000

500

0

30

25

20

15

10

5

250

225

200

175

Chart as of October 31, 2009 Chart as of October 31, 2009

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct


Chart as of October 31, 2009Chart as of October 31, 2009

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11

-Sep

15

-Sep

17

-Sep

21

-Sep

23-S

ep

25

-Sep

29

-Sep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15

-Oct

19

-Oct

21

-Oct

23-O

ct

27

-Oct

29

-Oct

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

12-O

ct

14-O

ct

16-O

ct

20-O

ct

22-O

ct

26-O

ct

28-O

ct

30-O

ct

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

12-O

ct

14-O

ct

16-O

ct

20-O

ct

22-O

ct

26-O

ct

28-O

ct

30-O

ct

1-S

ep

3-S

ep

8-S

ep

10

-Sep

14

-Sep

16

-Sep

18

-Sep

22

-Sep

24

-Sep

28

-Sep

30

-Sep

2-O

ct

6-O

ct

8-O

ct

12

-Oct

14

-Oct

16

-Oct

20

-Oct

22

-Oct

26

-Oct

28

-Oct

30

-Oct

45

40

35

30

25

20

15

10

5

0

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

2


Europe US

Average Trade Size

Ave

rag

e Tr

ade

Siz

e

Chart as of October 31, 2009


Velocity of Fills


Average Trade size in October decreased by 0.7% across the large cap, 1.5% across the midcap and 3.2% across

the smallcap names when compared to the prior month.

Median top of book quote size in October decreased by 3.4% and 0.5% across the largecap and small cap bands

respectively. However midcaps recorded 1.1% increase when compared to the prior month.

Market Microstructure Statistics- II

Europe

Average Trade Size

Median Top of Book Quote Size

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Fills

p

er m

in

ute

Date Large Cap

Mid Cap

Small Cap

300

400

500

600

700

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Av

era

ge

T

ra

de

S

ize

Date LargeCap

MidCap

SmallCap

1,000

1,500

2,000

2,500

3,000

3,500

4,000

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

To

p o

f B

oo

k Q

uo

te S

ize

Date Large-Cap Bid Size Small-Cap Bid Size

Mid-Cap Bid Size Large-Cap Ask Size

Small-Cap Ask Size Mid-Cap Ask Size


Top

of

Bo

ok

Qu

ote

Siz

e


Velocity of Fills







Europe

Average Trade Size


0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Fills

p

er m

in

ute

Date Large Cap

Mid Cap

Small Cap

300

400

500

600

700

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Av

era

ge

T

ra

de

S

ize

Date LargeCap

MidCap

SmallCap

1,000

1,500

2,000

2,500

3,000

3,500

4,000

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

To

p o

f B

oo

k Q

uo

te S

ize



Small-Cap Ask Size Mid-Cap Ask Size Velocity of Fills

Fills

per

min

ute


Velocity of Fills







Europe

Average Trade Size


0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11

-S

ep

15

-S

ep

17

-S

ep

21

-S

ep

23

-S

ep

25

-S

ep

29

-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

Fills p

er m

in

ute

Date Large Cap

Mid Cap

Small Cap

300

400

500

600

700

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11

-S

ep

15

-S

ep

17

-S

ep

21

-S

ep

23

-S

ep

25

-S

ep

29

-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

Av

era

ge

T

ra

de

S

ize

Date LargeCap

MidCap

SmallCap

1,000

1,500

2,000

2,500

3,000

3,500

4,000

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11

-S

ep

15

-S

ep

17

-S

ep

21

-S

ep

23

-S

ep

25

-S

ep

29

-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

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ct

To

p o

f B

oo

k Q

uo

te S

ize



Small-Cap Ask Size Mid-Cap Ask Size



< Average Trade size in October decreased by 0.7% across the large cap, 1.5% across the midcap and 3.2% across the smallcap names when compared to the prior month.

< Median top of book quote size in October decreased by 3.4% and 0.5% across the largecap and small cap bands respectively. However midcaps recorded 1.1% increase when compared to the prior month.

< Number of fills per minute in October increased by 12%, 3% and 7% across the largecap, midcap and smallcap names when compared to the prior month.

Average Trade Size

Ave

rag

e Tr

ade

Siz

e

Median top of book quote size in October decreased by 0.9%, 4.8% and 0.4% across the largecap, midcap and small

cap bands when compared to the prior month.


Velocity of Fills


Average Trade size in October increased by 2.1% in midcap and largecap while smallcaps recorded a 0.6% increase

when compared to the prior month.

United States

Average Trade Size

Number of fills per minute in October increased by 12%, 3% and 7% across the largecap, midcap and smallcap names

when compared to the prior month

0

3,000

6,000

9,000

12,000

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Fills

per m

inu

te

Date

Large Cap Mid Cap Small Cap

200

400

600

800

1,000

1,200

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

To

p o

f B

oo

k Q

uo

te S

ize

Date Large-Cap Bid Size Mid-Cap Bid Size

Small-Cap Bid Size Large-Cap Ask Size

Mid-Cap Ask Size Small-Cap Ask Size

120

140

160

180

200

220

240

260

280

300

320

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Av

era

ge

Tra

de

Siz

e

Date

Large Cap

Mid Cap

Small Cap

MARKET MICROSTRUCTURE STATISTICS II – SEPTEMBER & OCTOBER 2009


Top

of

Bo

ok

Qu

ote

Siz

e




Velocity of Fills




United States

Average Trade Size



0

3,000

6,000

9,000

12,000

1-S

ep

3-S

ep

8-S

ep

10

-S

ep

14

-S

ep

16

-S

ep

18

-S

ep

22

-S

ep

24

-S

ep

28

-S

ep

30

-S

ep

2-O

ct

6-O

ct

8-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

Fills p

er m

in

ute

Date


200

400

600

800

1,000

1,200

1-S

ep

3-S

ep

8-S

ep

10

-S

ep

14

-S

ep

16

-S

ep

18

-S

ep

22

-S

ep

24

-S

ep

28

-S

ep

30

-S

ep

2-O

ct

6-O

ct

8-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

To

p o

f B

oo

k Q

uo

te S

ize




120

140

160

180

200

220

240

260

280

300

320

1-S

ep

3-S

ep

8-S

ep

10

-S

ep

14

-S

ep

16

-S

ep

18

-S

ep

22

-S

ep

24

-S

ep

28

-S

ep

30

-S

ep

2-O

ct

6-O

ct

8-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

Averag

e T

rad

e S

ize

Date

Large Cap

Mid Cap

Small Cap

Velocity of Fills

Fills

per

min

ute




Velocity of Fills




United States

Average Trade Size



0

3,000

6,000

9,000

12,000

1-S

ep

3-S

ep

8-S

ep

10

-S

ep

14

-S

ep

16

-S

ep

18

-S

ep

22

-S

ep

24

-S

ep

28

-S

ep

30

-S

ep

2-O

ct

6-O

ct

8-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

Fills

per m

inu

te

Date


200

400

600

800

1,000

1,200

1-S

ep

3-S

ep

8-S

ep

10

-S

ep

14

-S

ep

16

-S

ep

18

-S

ep

22

-S

ep

24

-S

ep

28

-S

ep

30

-S

ep

2-O

ct

6-O

ct

8-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

To

p o

f B

oo

k Q

uo

te S

ize




120

140

160

180

200

220

240

260

280

300

320

1-S

ep

3-S

ep

8-S

ep

10

-S

ep

14

-S

ep

16

-S

ep

18

-S

ep

22

-S

ep

24

-S

ep

28

-S

ep

30

-S

ep

2-O

ct

6-O

ct

8-O

ct

13

-O

ct

15

-O

ct

19

-O

ct

21

-O

ct

23

-O

ct

27

-O

ct

29

-O

ct

Av

era

ge

Tra

de

Siz

e

Date

Large Cap

Mid Cap

Small Cap



< Average Trade size in October increased by 2.1% in midcap and largecap while smallcaps recorded a 0.6% increase when compared to the prior month.

< Median top of book quote size in October decreased by 0.9%, 4.8% and 0.4% across the largecap, midcap and small cap bands when compared to the prior month.

< Number of fills per minute in October increased between 4% and 14% across market capitalization bands when compared to the prior month.

Large CapMid CapSmall Cap Large Cap

Mid CapSmall Cap

Large Cap Bid SizeMid Cap Bid SizeSmall Cap Bid Size

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

Large Cap Ask SizeMid Cap Ask SizeSmall Cap Ask Size

Large Cap Ask SizeMid Cap Ask SizeSmall Cap Ask Size

Large Cap Bid SizeMid Cap Bid SizeSmall Cap Bid Size

700

600

500

400

300

4,000

3,500

3,000

2,500

2,000

1,500

1,000


1,200

1,000

800

600

400

200

320

300

280

260

240

220

200

180

160

140

120

4,000

3,500

3,000

2,500

2,000

1,500

1,000

500

0

12,000

9,000

6,000

3,000

0




1-S

ep

3-S

ep

7-S

ep

9-S

ep

11-S

ep

15-S

ep

17-S

ep

21-S

ep

23-S

ep

25-S

ep

29-S

ep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15-O

ct

19-O

ct

21-O

ct

23-O

ct

27-O

ct

29-O

ct

1-S

ep

3-S

ep

7-S

ep

9-S

ep

11

-Sep

15

-Sep

17

-Sep

21

-Sep

23-S

ep

25

-Sep

29

-Sep

1-O

ct

5-O

ct

7-O

ct

9-O

ct

13-O

ct

15

-Oct

19

-Oct

21

-Oct

23-O

ct

27

-Oct

29

-Oct

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

12-O

ct

14-O

ct

16-O

ct

20-O

ct

22-O

ct

26-O

ct

28-O

ct

30-O

ct

1-S

ep

3-S

ep

8-S

ep

10-S

ep

14-S

ep

16-S

ep

18-S

ep

22-S

ep

24-S

ep

28-S

ep

30-S

ep

2-O

ct

6-O

ct

8-O

ct

12-O

ct

14-O

ct

16-O

ct

20-O

ct

22-O

ct

26-O

ct

28-O

ct

30-O

ct

1-S

ep

3-S

ep

8-S

ep

10

-Sep

14

-Sep

16

-Sep

18

-Sep

22

-Sep

24

-Sep

28

-Sep

30

-Sep

2-O

ct

6-O

ct

8-O

ct

12

-Oct

14

-Oct

16

-Oct

20

-Oct

22

-Oct

26

-Oct

28

-Oct

30

-Oct

3


KEY NEWS

Europe

1-Oct-09 Turquoise has cut its fee for non-displayed trading to 0.30 basis points from 0.50 bps from 1 October until the end of this year. The price reduction applies to dark trades on Turquoise’s integrated and mid-point order books. In addition, Turquoise will offer a two-month fee waiver for new members executing on the integrated and mid-point books and new clients of TQ Lens, the MTF’s dark liquidity aggregation service. Source: Reuters

2-Oct-09 Chi-X Europe will charge users of its market data from the beginning of next year, but trading participants and their buy-side direct market access clients will be exempted from the levy. Source: Reuters

2-Oct-09 The LSE confirmed that it is holding exclusive talks to buy Turquoise. Source: www.efinancialnews.com

5-Oct-09 The London Investment Banking Association said it will defend dark pools against criticism from European stock exchanges, arguing these crossing networks offer a legitimate platform to institutional investors and promote market liquidity. Source: www.efinancialnews.com

8-Oct-09 Exchanges in Europe have recorded their highest cash equities turnover for 2009 in September, posting a 19.5% month-on-month increase, while MTFs’ market share dipped slowly as overall activity rebounded. Turnover across European trading venues are reported to have increased to €742bn in September, compared with €598bn in August 2009. Source: Reuters

9-Oct-09 The Chairman of the World Federation of Exchanges, urged a coordinated regulatory response to ‘dark pools’, claiming the technology underpinning these off-exchange trading platforms are way ahead of regulators’ ability to understand them. Source: www.efinancialnews.com

9-Oct-09 BATS Europe said it will drop maker-taker pricing for its dark pool platform in the coming week following client feedback. From 12 October, BATS will charge 0.15 bps for both sides of a transaction, mirroring the model used by many of its competitors. Source: www.thetradenews.com

16-Oct-09 The LSE has pulled out of the bidding for the Warsaw Stock Exchange, leaving Deutsche Börse, NYSE Euronext and Nasdaq OMX in the race. Source: Reuters

19-Oct-09 Chi-X Europe has launched Chi-Velocity, a solution that aims to combine the speed of sponsored access with the additional functionality and risk control of direct market access. Source: www.thetradenews.com

26-Oct-09 Turquoise CEO has become the most high-profile European trader to speak in defence of the new breed of high-frequency trading firms, claiming they helped equity markets weather the financial crisis. Source: www.efinancialnews.com

26-Oct-09 The order book segment of the London Stock Exchange’s Baikal non-displayed trading and liquidity aggregation service will be launched as expected in November, despite the exchange’s merger discussions with Turquoise. However, the deal will delay connectivity to the platform for firms that have existing connections to Turquoise. Source: Reuters

28-Oct-09 Deutsche Börse is leading the race to acquire Warsaw Stock Exchange, with rivals NASDAQ OMX Group and NYSE Euronext also in the race. Source: www.efinancialnews.com

28-Oct-09 Bats Europe has increased its share of UK equity trades to 7.3% this month, from 6.4% in September and 3.9% in August, overtaking Turquoise for the first time, due to an aggressive price promotion. Turquoise’s share of UK equity trades fell to 5.7% this month, from 7.4% in August, while LSE’s UK market share fell to 58.5%, from 63.9% over the period. Source: www.efinancialnews.com

29-Oct-09 The LSE is likely to clinch an agreement within the next fortnight to absorb Turquoise with Baikal in a non-cash deal. LSE will retain 51% controlling stake in the new venture. Source: www.efinancialnews.com

30-Oct-09 Chi-X Europe has reached the key milestone of executing over one million orders in a single day for the first time. The MTF yesterday traded 24.8% of FTSE 100 stocks, compared with the LSE’s 59.4%, and also had a record day in the value of its trading, when it matched €6.7bn, a 16% increase on the previous day’s high. Source: www.efinancialnews.com

30-Oct-09 Nasdaq OMX is moving to break out of its traditional Nordic heartland and push further into Europe, following the launch of a new high-speed trading platform and a UK power market. It has already hired staff in the UK this year to help develop its new power market, N2EX, a joint venture with Oslo-based power exchange Nord Pool.Source: www.efinancialnews.com

4


KEY NEWS (continued)

Americas

7-Oct-09 Nasdaq OMX has proposed changes to the pricing of its US exchange and BX trading platform, which will come into effect from 2 November. Source: www.thetradenews.com

14-Oct-09 US Federal securities regulators are examining whether ‘naked access’, an arrangement that lets high-speed traders rapidly buy and sell large chunks of stock anonymously, could go awry and threaten markets. Source: www.efinancialnews.com

15-Oct-09 Nasdaq OMX plans to launch a third US equity trading platform in 2H10 using the license obtained from its 2007 acquisition of the Philadelphia Stock Exchange. Source: Reuters

20-Oct-09 NYSE Euronext will allow US dark pools to print trades on the FINRA/NYSE Trade Reporting Facility and display their daily activity on the exchange website from next month. Source: www.thetradenews.com

21-Oct-09 The SEC may halt the expansion of the fastest-growing stock networks in the US with rules to improve transparency in dark pools. It plans to propose lowering the amount of daily volume in a company’s shares that can be executed on the systems before quotes must be made public to 0.25%, from 5% currently. Source: Reuters

22-Oct-09 Nasdaq OMX followed its counterpart NYSE Euronext by allowing dark alternative trading systems in the US to report their trading volumes through its FINRA/Nasdaq Trade Reporting Facility (TRF). Source: Reuters

28-Oct-09 The SEC plans to seek public input on the benefits and drawbacks of high frequency trading, possibly by issuing a concept release. Source: Reuters

30-Oct-09 The SEC wants to collect ‘baseline information’ about high-frequency traders and their activities, to help enhance its ability to identify large and high-frequency traders and their affiliates. Source: www.efinancialnews.com

30-Oct-09 Direct Edge will introduce a new maker-taker fee structure on its EDGA platform from November 1, mirroring the pricing model used by rival venue Nasdaq OMX BX. Source: Reuters

Asia Pacific

5-Oct-09 The Japan Securities Clearing Corporation’s plans, to start providing clearing services for Japan’s alternative share trading platforms from July 2010, is likely to result in greater competition for the Tokyo Stock Exchange. Source: www.efinancialnews.com

19-Oct-09 The six exchanges in Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam have spoken with NASDAQ and NYSE, as well as several smaller technology firms, about building cross-border links between their markets. Source: www.efinancialnews.com

Emerging Markets

12-Oct-09 Nasdaq OMX has agreed to provide trading technology and strategic advisory services to the Kuwait Stock Exchange as part of a joint venture between the two bourses to develop Kuwait’s capital market. Source: www.thetradenews.com

23-Oct-09 Nasdaq OMX and Brazil’s BM&F Bovespa have agreed to terms of a partnership for order routing and the distribution of products, services and data. Source: Reuters

5


VOLUME INFORMATION FOR OCTOBER 2009

EMEA

Venue Number of Trades (mn)

Volume (mn) Turnover (local mn)

% Change in Avg Daily Turnover

Turnover (USD mn)

London Stock Exchange 13.90 65,757.05 208,569.00 -31% 321,586.50

XETRA 5.07 5,151.33 117,099.36 -21% 159,902.10

Paris Stock Exchange 10.87 6,031.27 109,881.99 9% 150,046.60

Milan Stock Exchange 6.57 23,369.52 86,408.60 -11% 117,993.10

Chi-X Amsterdam SE 17.23 14,047.78 118,917.05 27% 162,384.20

Madrid SE C.A.T.S. 3.53 13,913.22 99,697.70 41% 136,139.70

Frankfurt Stock Exchange 0.41 1,686.74 5,372.90 -90% 7,336.82

Virt-x 2.13 1,716.06 56,098.26 12% 76,603.57

Euronext Amsterdam NV 4.10 3,326.74 46,335.68 19% 63,272.53

Stockholm Stock Exchange 3.06 6,678.49 394,388.03 10% 50,899.27

Turquiose Trading Platform 5.33 3,594.46 31,546.12 9% 43,077.02

BATS Europe 5.07 4,084.85 30,182.67 5% 41,215.18

Johannesburg Stock Exchange 2.06 6,409.99 320,135.48 12% 38,193.85

Istanbul Stock Exchange 3.37 18,454.87 53,681.91 16% 34,484.53

Oslo Stock Exchange 1.59 5,423.52 199,673.70 27% 30,978.49

Helsinki Exchange 1.19 1,320.86 13,916.85 -19% 19,003.81

Copenhagen Stock Exchange 0.85 646.76 84,910.75 -3% 15,570.30

Brussels Stock Exchange 1.33 956.93 10,172.13 -10% 13,890.30

Saudi Stock Exchange 2.76 4,712.57 113,920.33 113% 30,377.29

Athens Stock Exchange 1.05 1,165.75 6,894.54 0% 9,414.67

Tel Aviv Stock Exchange 1.35 7,934.92 36,811.58 8% 9,053.90

NASDAQ-OMX 1.49 905.67 9,881.95 38% 9,881.95

Warsaw Stock Exchange 1.05 2,282.97 4,207.37 -13% 5,745.27

Lisbon Stock Exchange 0.53 1,332.00 3,941.48 -16% 5,382.20

PLUS Exchange 0.59 10,445.49 3,586.85 -17% 4,897.94

Vienna Stock Exchange 0.34 341.34 4,618.83 19% 6,307.12

Kuwait Stock Exchange 0.07 5,574.58 1,134.09 -20% 3,916.91

Cairo Stock Exchange 1.17 2,305.57 25,056.49 14% 4,455.68

Budapest Stock Exchange 0.28 169.05 577,327.97 3% 2,794.92

Amman Stock Exchange 0.24 461.97 667.57 -5% 942.60


6


VOLUME INFORMATION FOR OCTOBER 2009 (continued)

US



% Change in Avg Daily Volume

Turnover (USD mn)

NASDAQ 184.32 44,853.04 1,648,601.00 10% 1,648,601.00

NASDAQ Alt Display Facility 155.72 72,026.22 1,657,394.00 -4% 1,657,394.00

NYSE Arca 121.45 27,895.73 850,032.50 4% 850,032.50

New York Stock Exchange 83.72 28,786.51 726,358.20 0% 726,358.20

BATS 99.61 19,248.85 529,170.30 2% 529,170.30

NASDAQ OMX Boston 41.46 7,506.86 155,378.30 13% 155,378.30

ISE 11.63 3,584.99 74,717.97 -14% 74,717.97

Chicago SE 0.44 843.50 41,762.85 5% 41,762.85

CBOE 0.47 233.37 9,501.60 -1% 9,501.60

NYSE AMEX Equities 0.84 496.64 2,008.91 -12% 2,008.91

NYSE AMEX Equities 0.58 427.79 1,524.53 34% 1,524.53

Canada



% Change in Avg Daily Volume

Turnover (USD mn)

Toronto SE 13.87 9,720.20 184,885.08 -13% 160,481.90

Canadian Venture Ex 0.62 4,839.80 2,354.59 -8% 2,043.80

Latin America




Turnover (USD mn)

Sao Paulo Stock Exchange 8.23 58,494.80 167,538.51 21% 80,991.53

Mexico Stock Exchange 0.85 5,442.34 176,533.82 5% 13,380.02

Santiago Stock Exchange 0.09 7,535.13 1,601,981.45 2% 2,833.44

Chile Electronic Exchange 0.00 1,430.51 226,150.39 13% 399.99

Buenos Aires Stock Exchange 0.09 374.33 1,380.94 13% 370.78

Lima Stock Exchange 0.02 189.86 1,274.84 39% 426.06


7


VOLUME INFORMATION FOR OCTOBER 2009 (continued)

Asia Pacific




Turnover (USD mn)

Shanghai Stock Exchange 114.67 200,666.12 2,045,015.93 -29% 299,198.10

Tokyo Stock Exchange 13.30 42,786.73 31,852,490.68 13% 329,662.80

Shenzhen Stock Exchange 16.76 117,360.18 1,263,890.75 -22% 184,914.80

Korea Stock Exchange 18.15 7,835.03 129,077,082.44 -25% 102,625.00

Hong Kong Stock Exchange 7.51 261,079.30 1,043,437.80 -1% 134,618.40

Australia Stock Exchange 11.75 65,889.87 141,290.37 -7% 108,053.70

Taiwan Stock Exchange 4.62 90,588.60 2,825,340.00 6% 85,994.03

National Stock Exchange of India 36.51 16,477.19 3,746,287.33 3% 77,097.51

Korea Securities Dlrs Autom 20.49 13,560.95 39,372,340.01 -27% 31,303.67

Stock Exchange of Singapore 1.03 41,375.90 43,703.96 -24% 29,930.66

Bombay Stock Exchange 20.65 8,756.18 1,170,732.67 -6% 24,093.34

Stock Exchange of Thailand 1.58 92,153.13 568,387.30 -2% 16,407.62

Osaka Stock Exchange 0.69 720.62 1,149,719.63 16% 11,899.22

Kuala Lumpur Stock Exchange 1.51 17,382.94 26,168.48 27% 7,427.95

Japan OTC Market (JASDAQ) 0.80 602.21 327,465.96 3% 3,389.17

New Zealand Stock Exchange 0.05 1,000.80 2,689.91 6% 1,617.40

Philippine Stock Exchange 0.20 31,840.66 91,237.13 56% 1,921.17

Colombo Stock Exchange 0.18 875.15 18,775.49 -1% 160.91


Large Cap Europe: The top 200 components of the STOXX 600North America: The constituents of S&P 500

Mid Cap Europe: The mid 200 components of the STOXX 600North America: The constituents of S&P 400

Small Cap Europe: The bottom 200 components of the STOXX 600North America: The constituents of S&P 600

Daily Volatility VSTOXX: Volatility index as calculated for the DJ Eurostoxx 50CBOE-VIX: Volatility index as calculated for the S&P 500

Median Bid-Ask Spread bps

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 = 20,000*(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.

DEFINITIONS

8


DEFINITIONS (continued)

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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 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 (510 mins. for Europe and 390 mins. for North America) to arrive at daily trades per minute in the capitalization group.

Number of Trades* Total number of trades executed on the exchange in a given month.

Volume* Total shares traded on the exchange in a given month.

Turnover (local)* Sum (Price of shares in local currency * Number of shares traded). This metrics is computed on a monthly basis and is in local currency.

% Change in Avg Daily Turnover and Volume

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.

Documents

autobahn® Equity · 2010-04-29 · 1 Monthly Newsletter g October 2009 Issue autobahn® Equity Market Insight Europe US STOXX 600 Index Price September-October, 2009 The STOXX 600