- More than €12.7 billion notional value traded on Cboe Periodic Auctions in April month-to-date
- Cboe’s MiFID II compliant Periodic Auctions provide pre-trade transparency, true price formation process
Cboe Global Markets, Inc. (Cboe: CBOE | Nasdaq: CBOE), one of the world’s largest exchange holding companies, today reported that Cboe Europe’s Periodic Auctions book set a new one-day record of €1.08 billion notional value traded yesterday, surpassing the €1 billion threshold in one day for the first time. The previous one-day record was €969.2 million set on 27 March 2018.
Cboe Europe’s Periodic Auctions book leverages basic auction functionality, which is a long-standing, well-known and trusted market mechanism used to form prices on stocks at exchanges. This auction functionality is utilised throughout the trading day through frequent, randomized auctions. A lit order book, Cboe’s Periodic Auctions book is MiFID II compliant, providing pre-trade transparency as stipulated by MiFID II regulation, by publishing indicative price and size prior to executing orders.
Mark Hemsley, President of Europe for Cboe, said: “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. 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.”
Each auction on the Cboe Periodic Auctions book institutes a true price formation process. All orders that are submitted to the auction by our participants are used to determine a single equilibrium match price. For added protection and orderly markets, orders only execute at or within the European Best Bid and Offer (EBBO).
In addition, earlier this week Cboe published statistics regarding the proportion of activity on its Periodic Auctions Book that is a result of broker priority compared to multi-lateral matching. Year-to-date, approximately 30% of activity represents broker priority allocations, demonstrating the significant level of multi-lateral matching taking place in this price-forming book.
Month-to-date in April, the Cboe Periodic Auctions book has recorded average daily notional value traded (ADNV) of €791.2 million with more than €12.7 billion traded. In March, the Cboe Periodic Auctions book recorded ADNV of €630 million and total notional value traded reached €13.2 billion.
The Cboe Europe Equities Market Volume Summary webpage provides market volume information for European equities venues. To view Cboe’s Periodic Auctions volume, website visitors should click the “Auctions Only” button at the top of the webpage.
