Nanex ~ 16-Apr-2013 ~ Quote Spreads in NMS Stocks
According to Elliott Holley writing for Banking Technology, at
TradeTech's HFT Focus Day conference today:
A shouting match then ensued between Saluzzi and Narang, with Saluzzi contending that liquidity in small cap stocks is usually found in dime increments at best, and Narang insisting that there are 3,000 US stocks that trade at penny increments.
Manoj Narang is dead wrong. The number of stocks that trade in penny increments averages
700 over the entire trading day, and varies greatly: from just 200 at the open to about 2000 during the last few minutes of trading. The chart below shows the number of stocks
over the course of one trading day (9:30 - 16:00 ET) that have quote spreads (ask-bid)
of 1 to 24 cents, and 25 cents and higher, color coded according to the legend on the
right. Dark purple corresponds to stocks with quote spreads of 1 cent, and stocks with
spreads 25 cents or higher are colored red.
Note that many stocks have extremely wide spreads near the open. This is a new phenomenon
brought by HFT that we
documented here (a subject of a Financial Times article).
1. Count of NMS Stocks with Quote Spreads from 1-25+ for April 15, 2013.