LIQUIDMETRIX VOLATILITY INDICATOR
The LiquidMetrix Volatility Indicator provides a
measure of high-frequency market volatility based
upon 30 second price movements.
Volatility (BPS/ 30sec)
Q1 2017 1.19
Q2 2017 1.05
High frequency price volatility, which is often a significant determinant for spreads and resting liquidity, has
continued its decrease and the average for the latest
quarter is the lowest level we have seen for the past five
The sharp decreases in market price volatility in the last
three quarters have coincided with a strong shift of trading activity from MTF platforms to primary venues. MTF
peak market shares were seen at the start of 2016 when
market volatility was much higher.
Based on European fragmented stocks
LiquidMetrix analyses consolidated performance figures for stocks on major European indices and the changes from
the previous quarter.
The charts and figures above are based upon LiquidMetrix’s unique benchmarking methodology that provides accurate measurements of trends in market movements. Trading Volumes on Lit markets including auctions are taken
into account, as well as dark trading on the major MTFs.