August 18, 2020

Where the Blocks Are

By Henry Yegerman, ISS LiquidMetrix

Here we examine the liquidity landscape for Block Trading since the beginning of the year. Generally, Block Trades are considered the most preferable type of liquidity. The large size of a block allows the trader to complete orders faster than otherwise. This means that there is less potential information leakage to potentially cause price impact (and increase trading costs). Also, there is less market risk of the price moving away from you if you can complete a trade faster by accessing some block liquidity. What changes have we seen in block liquidity over 2020?

Our focus is on what types of venues have blocks been executed and which types of venues are most likely to provide block liquidity for different industry sectors. For this analysis, we look at only at blocks executed in EMEA. The LiquidMetrix Venue Statistics database which stores trades on all trading venues globally and is the source of our data on block trading.

This week’s highlights:

  • Stocks from different industry sectors may find Block liquidity in different types of trading venues.
  • There have been recent large shifts in block executions in some industry sectors.

Before looking at potential changes in block liquidity, we need to define what we mean by a block. In the U.S., neither Congress nor the SEC has ever issued a legal definition of a block trade. The traditional…

Read more here.

Share this
Share on twitter
Share on linkedin
Share on email
Get WEEKLY email ALERTS ON THE LATEST ISS INSIGHTS.