Volatility doubles European trading volumes in August

Europe's equity trading volumes in August 2011 were almost double the same period last year, according to figures provided by Thomson Reuters.
By None

Europe's equity trading volumes in August 2011 were almost double the same period last year, according to figures provided by Thomson Reuters.

Dramatic spikes in volatility during the first two weeks of August, fuelled by concerns over European and US debt levels, meant that total market activity in August was €1.126 trillion, compared with €668.544 billion this time last year. August's volumes were also steeply higher than those recorded in July (€828.655 billion), June (€799.289 billion) and May (€865.207 billion).

Most venues registered a rise in volumes, with pan-European multilateral trading facility (MTF) Chi-X Europe and German exchange Deutsche Borse's Xetra trading platform both reporting especially significant rises. Chi-X Europe traded €210.488 billion in August, up from €134.285 billion in June, while Xetra traded €172.583, up from €104.990 billion.

Chi-X Europe reported that it had traded €222.7 billion in August, according to its own figures. The venue also stated that this surpassed its previous record (€189 billion) achieved in May 2010. In addition, Chi-X Europe reported that it had seen record value traded on a single day on 5 August (€17.6 billion) as well as setting market share records for the London FTSE 100 (33%), Amsterdam's AEX 25 (30.3%), Milan's MIB 40 (18.8%) and several other indices.

Chi-X Europe accounted for 18.3% of Europe's equity trading in August, while the London Stock Exchange Group took 22.6%, including activity on its Turquoise (6.0%) and Borsa Italiana (6.0%) subsidiaries. Exchange group NYSE Euronext traded 15.6%, while Xetra took a 15.3% share. Pan-European MTF BATS Europe executed 5.2% of overall trading activity in August.

Despite the extreme volatility in index and stock values, market share levels among trading venues experienced milder changes. The venue grew from 18% to 20% in the first week, fluctuating between 18-20% for the rest of the month, dipping from 20% to 17% on the final day. The London Stock Exchange maintained a flat market share at 11% across the month. Likewise, MTF Turquoise's market share remained consistent at 6% across most of the month, ending at 5% on 31 August. Others, such as SIX Swiss Exchange, lost ground – falling from 9% to 7% – over the same period.

In addition, several non-lit trading venues suffered as market participants responded to the uncertainty by moving a higher proportion of their trading onto the lit markets, according to market data provided by BATS Europe.

Europe's dark MTFs – including those operated by Chi-X Europe, Turquoise and brokers UBS, Goldman Sachs and Nomura – averaged €1.6 billion per day in the first two weeks of August, representing 2.29% of European stock trading. This compares with 3.1% overall market share in the last week of July, just before volumes rose sharply.

Low volumes had previously presented a problem for European and US market participants, with several brokers cutting back staff and venues adjusting pricing strategies to encourage greater liquidity provision.

Volatility and volume levels tracked down in the second half of August. Daily European equity trading volumes stood at €44.034 billion on 31 August 2011. This compares with €83.394 billion, at the height of the volume spike on 5 August.