Markouts widen for European indexes' components as global spreads tighten in April 2026
April 2026 brought lower intraday volatility to worldwide equity indices, with time-weighted average spreads tightening on all markets but Japan. While they tightened as much as 20% in Germany, liquidity around BBO also jumped higher.
1-second markouts rose materially on continental European indices over the same period, reaching 0.3 basis points on average. They were up 72% and 79% respectively versus March on the DAX and MIB.
These metrics are built from BMLL's pre-calculated daily analytics, available via the BMLL Data Feed and can be delivered directly into your existing workflows.
Contact us to discuss how this can support your market microstructure research, TCA and liquidity provider analytics.
Scorecard
For each of ten global equity indices, the scorecard shows the current monthly value and month-on-month change for nine market quality metrics sourced from BMLL Data Feed: fill probability, quote-to-trade ratio, intraday volatility, time-weighted average spread, 1-minute auction dislocation, notional liquidity around the BBO, mean resting time, time at EBBO and 1-second markout.
Notional-weighted medians. Tile colour: blue = better than 6-month average, tangerine = worse, grey = within. Glyph + % shows month-on-month change.
1s Markout
The notional-weighted, signed 1-second markout in basis points, computed as (PostTradeMid1000ms - TradePrice) / TradePrice * 10000 with the sign flipped on aggressive sells.
9 indices, weighted by lit trade notional. Tile colour: blue = lower than 6-month average.
TWA Spread
Time-weighted average bid-ask spread, expressed in basis points of the mid-quote.
8 indices, weighted by lit trade notional. Tile colour: blue = lower than 6-month average.
Quote to Trade
The number of quote messages per executed trade.
8 indices, weighted by lit trade notional. Tile colour: blue = lower than 6-month average.
Volatility
Intraday volatility computed over the trading session.
10 indices, weighted by lit trade notional. Tile colour: blue = lower than 6-month average.
Mean Resting Time
The mean time, in seconds, that an order placed at the 1st level of the book will sit on the book before being totally or partially filled.
7 indices, weighted by lit trade notional. Tile colour: blue = lower than 6-month average.
Liquidity
The time-weighted average notional amount up to 30 basis points around the BBO, expressed in EUR.
10 indices, weighted by lit trade notional. Tile colour: blue = higher than 6-month average.
Fill Probability
The probability that an order placed at the 1st level of the book will be filled within 60 seconds.
8 indices, weighted by lit trade notional. Tile colour: blue = higher than 6-month average.
Auction Dislocation
Absolute price dislocation between the closing auction print and the continuous-session mid 1 minute before the auction, in basis points.
10 indices, weighted by lit trade notional. Tile colour: blue = lower than 6-month average.
Indices:
- Europe - Cboe UK100, Cboe CH20, Cboe DE40, Cboe FR40, Cboe IT40
- APAC - AU200, JP30, CN50, HK82
- Americas - US100
Across an index, the values are aggregated using a weighted mean of the considered metric with the lit trade notional of that listing and smoothed using a 10-day rolling average. The Notional Liquidity and Trade Notional has been converted to Euros from all other currencies. The conversion rate uses the daily rate published by the ECB. On each bar chart, the white whiskers span the 25th to the 75th percentile, also weighted by the lit trade notional, to show the distribution width.
These metrics are built from BMLL's pre-calculated daily analytics, available via the BMLL Data Feed and can be delivered directly into your existing workflows.
Contact us to discuss how this can support your market microstructure research, TCA and liquidity provider analytics.
Explore other Market Insights:
BMLL Market Lens: European Liquidity Maps
BMLL Market Lens: US Liquidity Maps
