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)
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.