September 06, 2021 12:00 AM
Tradewatch for Q2 2021
Ranked by difference in cost/savings against the Elkins/McSherry Arrival Price universe, based on the top 50 brokers in each category by U.S. dollar volume. Rolling four-quarter data are as of June 30, 2021. Source: Elkins/McSherry, a State Street company.
Trades by order size
Trades by liquidity
Trades by market cap
Commissions and implementation shortfall based on Virtu's Global Peer database. *Volatility annualized is the 60-day historical volatility for the S&P 500 index. Data are as of June 30, 2021. Source: Virtu Financial LLC
U.S. trading costs: Commissions and implementation shortfall
Average spread and annualized volatility of S&P 500 constituents
*Second-quarter 2021 peer data are preliminary.