TABB Forum featured IntelligentCross's analysis of recent market volatility. Director of Research Patrick Dote's key findings from reviewing the first six weeks of Q2 were:
- Heightened volatility in Q2 2022 has widened spreads and made quotes less stable, thereby increasing the implicit costs of trading.
- However, the availability and relative quality of intraspread liquidity—including midpoint—has remained consistent while savings in basis points has increased.
- Talk to your broker about how they configure their algos, and if they would consider overweighting intraspread order placement as a possible way to reduce trading costs.
Footnote 1: VIX and SPX data from Google Finance. Quote stability based on the percentage change in microsecond duration until next quote change after SIP trade.