Cboe Periodic Auction sets periodic auction record as dark caps arrive

New one-day record was set on Cboe Periodic Auction on the day MiFID II’s dark pool double volume caps came into force.

Exchange operator Cboe Global Markets set a new one-day record of €582.8 million traded on its periodic auction book, on the same day MiFID II’s double volume caps were implemented.

The new record was set on 12 March and was 20% higher than the previous record of €488 million seen on 6 February.

“With the double-volume caps now in effect, the Cboe Periodic Auctions book is well-poised for continued growth as market participants seek to trade in venues that provide minimal market impact,” said Mark Hemsley, president of Europe for Cboe.

“Additionally, the Periodic Auctions book is a good solution for firms looking to meet their best execution requirements under MiFID II as all orders submitted to the book execute at or within the European Best Bid or Offer.”  

MiFID II’s restrictions on trading in dark pools and the banning of broker crossing networks has seen the rise of venues like periodic auctions and systematic internalisers since the rules came into force on 3 January.

The rules around dark trading were implemented on 12 March following an initial delay due to incomplete and inefficient data to calculate double volume caps to restrict dark pool trading. The EU financial watchdog published data on securities which would be affected by the caps earlier this month.

The Cboe Periodic Auctions book was first launched in 2015 and is a separate lit book that operates randomised intra-day auctions throughout the day. Due to the nature of the auctions, information leakage is minimised and large orders prioritised as part of the process.

In March, the venue recorded average daily notional value (ADNV) traded of €435.4 million, up 23% compared to February’s €353 million ADNV, and a 19% increase on January’s €296 million value traded.