May market volumes and fragmentation return to normal, but that is not the full story.
by Richard Hills, big xyt
May could almost be described as uneventful in that volumes and market share seem to have reverted to business as usual. A quick look at some market quality metrics tells us that this is far from the case as uncertainty and volatility continue. The chart shows the weekly evolution of spreads since September 2019, both in absolute terms (in bps) and the %change since September for each index. For the most liquid, large cap names in Europe, spreads remain well above their pre crisis levels notably for the UK100.
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