**Chart 1: Percent change in spreads and top of book depth across pre-pilot spread groups**

**Chart 2: Weekly trends in top of book depth (September 4 – December 2)**

**Chart 3: Weekly trends in spread (September 4 – December 2)**

- The much anticipated tick size pilot program is in progress and we will continue to provide observed statistical updates from time to time. This week’s topic provides a summary on spread and top of book depth changes since the pilot began for various pre-pilot spread groups. We also present an analysis of weekly trends for September 4 – December 2.
- We observe increases in average spreads and top of book depth in all groups. Securities with average pre-pilot spreads less than 5 cps have realized the largest increases. These spread increases are around 2x and top of book depth increases are at least 5.5x.
- We observe the weekly top of book depth and spread averages in all groups rising since the roll out. Chart 2 highlights that the most dramatic increases in average top of book depth are in pilot groups 2 and 3. It will be interesting to see if these trends continue into 2017.
- In chart 3, we observe that pilot groups 1 and 2 have displayed nearly identical average weekly spread patterns since September 4. We also observe pilot group 3 average weekly spreads rising during the week of October 9, prior to any group 3 securities being rolled out.

*Pre-pilot spreads were calculated for each security by averaging the 5-minute time weighted spread for the period between January 1, 2016 and the effective tick pilot date. The pre-pilot spread buckets reflect these calculated averages. *

*The annotations in Charts 2 and 3 reflect the percentage of each group’s total securities rolled out during that week. The dates in the charts reflect the first trading date of the week.*

Refer to Equity Related Analytics for information available on Equity Related Analytics.

*You may have a question or want to share your view with others in our community, please join the Incubator community and submit your entry or send us an email. *

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