Cboe Periodic Auction smashes €1 billion daily barrier

Cboe European Periodic Auction book exceeds €1 billion daily notional volume traded for the first time.

Exchange operator Cboe’s European Periodic Auction book has set a new one-day record of €1.08 billion notional value traded.

The new record was set on 24 April and surpasses the previous one-day record of €969.2 million set on 27 March this year.

“The rapid adoption of our Periodic Auctions book demonstrates that market participants are finding value in executing their trades in a venue that provides minimal market impact,” said Mark Hemsley, president of Europe for Cboe.

“With its true price formation process providing pre-trade transparency that adheres to MiFID II requirements, our Periodic Auctions book is groundbreaking in the marketplace.”

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 at the beginning of this year.

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.