Cboe MATCHNow’s Willing To Trade Enhances Investors Ability to Source Block-Sized Liquidity

Cboe MATCHNow operates Canada’s largest equity dark pool, accounting for 64.5% of total dark Canadian volume and over 3% of total Canadian volume traded. One of our primary goals is to provide price improvement compared to the protected National Best Bid or Offer (NBBO) for Canadian investors, and MATCHNow’s Conditional Book allows investors to do just that by sourcing block sized liquidity through Conditional Orders, Sponsored Access and Willing To Trade.

We’ll focus on Willing To Trade (WTT) in this piece. WTT is a feature that extends additional liquidity to MATCHNow Subscribers by enabling their block-sized Firm Order to interact with MATCHNow’s Conditional Book. In order to be eligible to match with Conditionals through the Opt-In Feature, a Firm Order is required to meet the UMIR 6.6 size threshold of greater than 50 standard trading units and $30,000 in notional value or greater than $100,000 in notional value.

With a fragmented Canadian equities marketplace, sourcing blocks of liquidity has become increasingly more difficult. Against this backdrop, WTT improves available liquidity for investors and provides greater opportunities for price improvement as all Conditionals trade on MATCHNow at midpoint. This has driven more investors to the platform, with MATCHNow’s Conditional volume growing from 2 million shares executed in January 2019 to 20 million shares executed in September 2022.

Since Conditionals execution is block-sized, the liquidity benefit is substantial compared to regular non-WTT Firm Orders. The average trade size of WTT transactions, including executions against Conditionals and Firm Orders, is approximately 378 shares compared to 178 shares of a regular non-WTT Firm Order, as shown below (Exhibit 1).

Exhibit 1 Source: Cboe Global Markets

Dissecting WTT transactions further, we observe that over 8% of those transactions are with Conditionals orders, representing approximately 10% notional value. However, because Conditionals executions are block-sized, there are significant liquidity benefits to those transactions. The average trade size of WTT transactions executed against Conditionals are 11,000 shares, equivalent to $306,000 average notional value, compared to executions against Firm Orders, which are at 335 shares, equivalent to $8,000 average notional value (Exhibit 2).

Exhibit 2 Source: Cboe Global Markets

The continued growth of Conditionals serves to further highlight the liquidity benefit, enhancing investors’ ability to source block-sized liquidity on the MATCHNow platform. Recognizing that the fragmented Canadian Equities marketplace makes sourcing block-size liquidity increasingly difficult, Cboe’s North American Equities team is committed to finding innovative opportunities and solutions that address institutional investors’ needs. MATCHNow’s trading mechanisms, such as Conditionals and WTT, improve block-sized liquidity and enhance our customers’ overall trading experience. WTT can help investors’ orders find a block-size liquidity at a price consistent with their order instruction. Please reach out to our coverage team with any questions and to learn how we can help you add WTT to your trading strategy.

The new feature will complement the existing Willing to Trade offering by allowing Subscribers to opt-in to have their large * IOC orders interact with Cboe BIDS Canada liquidity as part of the MATCHNow IOC sweep. The IOC orders can trade with both firmed-up Conditional orders or any unfilled remainder of such firmed-up Conditional, and interact with Sell Side algo Conditional orders, as well.

*(a) greater than 50 standard trading units and greater than $30,000 in notional value; or (b) greater than $100,000 in notional value.

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