Equity trading ‘Made in Italy’: From migration to price formation

27/09/2023 - 14:04PM CEST

How market quality has evolved since the migration of Borsa Italiana equity markets onto Euronext Optiq^®

After publishing studies on (#1) the evolution of market quality during Covid volatility peaks and (#2) metrics on the resilience of equities during the Ukraine-Russia geopolitical crisis, the Euronext Equities Team now provides (#3) an analysis of Milan equity markets, highlighting the market quality impact of the successful migration onto the Euronext Optiq® platform.

Euronext is the venue for price formation for Milan stocks, as it sets and improves the EBBO prices over 74% of the time, and captures 80.5% share of Lit trading.
There is healthy competition across other metrics such as Spread, Liquidity at Touch, Time Presence at EBBO. Since the migration of Borsa Italiana equity markets onto Optiq®, all such KPIs have improved for Euronext Milan, leading to 80.5% share of Lit trading.
This outcome is thanks to the adoption of Euronext’s Supplemental Liquidity Provision scheme by market makers in Italy, the ramp up of activity in Milan by global banks, and the crucial role of local brokers and the retail community.

Scope: market quality metrics and volumes are analysed for FTSE MIB constituents, which are the most traded securities of Milan equity markets.
Date range: from 3 January to 22 September 2023, with a focus on the evolution of key metrics since the migration of Borsa Italiana equity markets onto Euronext Optiq®, which was completed on 27 March 2023.
Data source: BMLL Technologies – Vantage dashboard.
Key metrics: EBBO Setting, Spread, Liquidity at Touch, Time Presence at EBBO, Lit Market Share of Trading. Weekly or Monthly data.
Trading venues: Euronext Milan, Cboe Europe, Aquis Europe, Turquoise Europe.
Equiduct market quality metrics are not accounted for because they are not available on BMLL Vantage dashboard and only Central Limit Order Book volumes are taken into consideration. Note that a comparison between Euronext Milan and Equiduct APEX was presented in March 2023.

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