Episode 15: How Spreads at Depth Metrics Help ETF Issuers Manage Liquidity In Volatile Markets
When markets opened on 7 April 2026, the first trading day after Easter, the At-Touch spread on Vanguard's S&P 500 UCITS ETF (‘VUSA’), reached 31 bps, 9x its 20-day average for the opening five minutes. The move was not specific to VUSA. It was visible across the 15 most traded European listed ETFs. Yet despite substantial volatility in the spreads for much of the session, the difference between the average At-Touch spread and the average spread for a simulated €100k trade was just 2.6bps for most of the day, illustrating how the structure of liquidity remained intact.
This was a macro shock triggered by sweeping tariff changes announced by the US administration before the holiday, and the market was repricing on the news. In this episode of Liquidity Matters, we highlight the behaviour of the ETF market during a stress event through the lens of some enhanced spread metrics, used throughout the industry as a measure of the cost of liquidity.
Why this matters to issuers and their investors
ETF Capital Markets teams spend significant effort in supporting investors through periods like April 7 to help optimise trade timing and limit execution costs. Their role is not just to monitor liquidity but to explain its structure, especially during stress events, and to engage with market makers to maintain market quality. In this episode we look deeper than the simple ‘At-Touch’ (top-of-book spread) by adding three additional ‘Spread-at-Depth’ metrics; Spread at €10k, Spread at €25k and Spread at €100k, calculated using simulated aggressive orders that cut through several price levels. As with At-Touch spreads, the metrics are time-weighted, with tick by tick precision. The gap between At-Touch spread and the spreads at depth metrics reveals order book depth, and crucially the ‘liquidity premium’ paid for immediate liquidity by investors at size, measured in spreads.
Capital markets teams can use these deeper insights to engage with their investors in explaining the liquidity premium, and to highlight structural strength in their products, whilst investors can make cross product comparisons.
Explore the data
The interactive chart demonstrates this well. It shows the intraday spread profile for all 15 ETFs on 7 April, defaulted to VUSA in 5 minute bins with all four spread measures shown. Use the filter to compare ETFs and toggle each spread measure individually by selecting from the legend.
VUSA on 7 April illustrates the point precisely. At the open, the At-Touch spread was 30.7 bps, 9x its 20-day average, and the €100k depth spread reached nearly 60 bps within the first 20 minutes. Investors trading in size faced not only wide spreads but a significant liquidity premium, reflecting a thin order book in the immediate aftermath of the macro shock at the Open. That premium persisted for approximately 70 minutes. After 10:10 CET, while spreads remained elevated relative to their 20-day average, the gap between At-Touch and €100k depth narrowed to average 2.6bps for the remainder of the session. While spreads at all levels of depth took to the end of the day to return to normal levels, the spread premium reverted much more quickly, indicating that while the market was still pricing the macro uncertainty through wider spreads, the structural liquidity of VUSA remained intact.
The takeaway
In Episode 14 we showed that a single daily average understates the true range of trading costs and that greater precision is obtained by incorporating intraday spread curves to reveal the structure of spreads and the variation in the range depending on time of day. Episode 15 takes that another step further, showing how that range looks on stress days, and introducing ‘spreads at depth’ to measure the liquidity premium. This kind of information relies on high quality, precision data and helps Capital Markets teams to guide investors on execution timing during stable and stressed markets, and the expected execution costs depending on the liquidity demand of their trades.
The spread as it applies to orders of different sizes. We will return to these topics in future episodes including a deep dive into spreads associated with stress days.