Equity market trading volumes continued to decline in Europe in October, leaving the peak reached in August a distant memory, according to financial data provider Thomson Reuters, but dark trading activity rebounded.
Overall equity market turnover was down to €774 billion in October, representing a steep decline from September’s €899 billion and way below the peak of €1,148 billion traded in August.
In October 2010, European equity market turnover stood at €729 billion.
Despite the overall fall, some venues fared better than others. Pan-European multilateral trading facility (MTF) Chi-X Europe showed the most consistent market share gains, reaching 19.1% in October, up from 18.7% in September and 18.3% in August. The venue stood at 17.2% market share a year ago, in October 2010. By contrast, the pan-European market share of Deutsche Börse’s Xetra platform slipped to 13% in October, down from 14% in September and 15% in August. The fall brings the venue back to the market share it held a year ago.
The downturn in overall volumes coincided with a decrease in market volatility. While not yet subsiding to the levels seen before the summer, volatility decreased in October, with Europe’s VStoxx Index down 16% since August. The index measures and predicts volatility by tracking the value of the underlying securities behind Euro Stoxx 50 index options. For comparison, the US Chicago Board Options Exchange’s Volatility S&P 500 Index stood at 30 points on the last day of the month – down from 48 points on 8 August.
Yet while volatility decreased, Europe’s dark MTFs saw their volumes increase, reaching €25.450 billion in October, up from €23.968 billion September. Dark trading accounted for 3.29% of total European equity trading in October 2011, compared with just 2.38% in August. UBS MTF was the only major venue to see its volumes decline, falling slightly to €3.593 billion from €4.055 billion the previous month. However, the venue still increased compared to August, when it traded €2.149 billion.
The increase in the proportion of dark trading in Europe at a time of relatively calm market conditions represents the inverse of the reduction in non-displayed activity during the high levels of stock market volatility reported in August.
Among the primary exchanges, the London Stock Exchange saw its European market share stay relatively flat, with 10.7% in October (€83.07 billion) compared to 10.6% in September (€95.25 billion). However its Italian business Borsa Italiana saw a sustained increase, rising from 6% market share in August (€68.44 billion) to 6.8% in September (€61.41 billion) and 7.1% in October (€54.77 billion). Borsa Italiana is due to receive a major upgrade when its matching engine moves back from London to Milan in Q2 2012.