Take On Me

Doubling Our Time at the NBBO: What the Numbers Show

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As discussed in our recent blog, IEX has made material changes in recent months to enhance displayed trading experience, including Post-Only functionality and Signal improvements. Starting August 1st, IEX started offering a 20-mil rebate for displayed adding for firms trading at least 10MM in Average Daily Volume.

We’ve seen firms respond significantly to those updates in recent months. As shown in this month’s chart, IEX’s % of time of both sides of the NBBO in the Russell 3000 has nearly doubled. IEX went from being 9th to 3rd behind only NYSE and Nasdaq in this quoting metric. We believe this represents a compelling value proposition for liquidity takers: IEX’s fee to remove displayed liquidity is just 20 mils per share. In comparison, most other exchanges charge 30 mils for stocks priced at $1 or higher.

As we've written about in the past, IEX’s robust dark volume means that IEX offers a material amount of price improvement to spread-crossing orders. IEX is also the only exchange amongst the top five shown in the chart above which charges significantly less for dark removing (10 mils per share) than lit removing. This translates to even more explicit cost savings for firms targeting IEX’s displayed quote, on top of the implicit cost savings that average 20-25 mils per share. Our analysis shows that these savings, for clients removing lit liquidity on IEX instead of other major maker-taker venues, could add up to multiple seven figures annually -- in addition to the potential for better client performance.

For a closer look at our growth in display trading, read more here.

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