September 17, 2020

Record Market Share on SIGMA X Periodic Auction in Q3'20

SIGMA X Auction market share has continued to grow, reaching a new record of ~12% market share in Europe in Q3'20.



Key Statistics:

>   Uncrossing rate of 99%

>   3100 symbols in the universe across DM & EM

>   Average fill size EUR 6.9k vs Average across all Periodic Auctions EUR 4.1k (Rosenblatt Let There be Light Aug'20)

>   Average LIS fill size EUR 445.2k

Source: SIGMA X MTF Jul - 16th Sep'20


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July 27, 2020

New Markets Live on SIGMA X MTF: Czech Republic & Hungary

SIGMA X MTF has expanded its product universe to incorporate emerging markets, starting with the Czech Republic and Hungary. With 3100 instruments now listed across 16 European markets, SIGMA X anticipates that this addition will aid members in their ability to execute these typically more volatile instruments within the benign environments of SIGMA X Auction and Non-Displayed books.  


Since the launch of these markets late-May, there has been positive uptake. The average Auction size on Czech Republic and Hungary has been EUR 20.7k and EUR 8.8k respectively, surpassing the average auction size across all SIGMA X markets of EUR 7.5k.


Data Source: SIGMA X MTF 27th May - 24th July 2020


Members have continued to leverage the SIGMA X market data to facilitate LIS trading. On average, the Hungary and Czech Republic Auctions increase in size by 45% and 30% respectively as a result of new orders joining during the Auction Call, with the largest trades executed at EUR 49.2k and EUR 113.6k respectively.



Data Source: SIGMA X MTF 27th May - 24th July 2020



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June 04, 2020

Record Trade executed on SIGMA X MTF Periodic Auction

On 27th May 2020, a new record trade was executed of $24.1 million within a single Auction Call. Members utilised the market data feed to monitor for changes in the indicative volume, with the trade size increasing from $1.7 million at Auction initiation to $24.1 million at Auction uncross.


As members increasingly leverage the liquidity signals available in the market data feed, SIGMA X MTF continues to see the number Auctions resulting in an LIS trade increase.  Growing by approximately 37% between Auction Initiation and Uncross, the average LIS trade size on SIGMA X MTF is $374.2k (2020 YTD).

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Data Source: SIGMA X MTF October 2019 - May 2020

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