Australian Block Market Share report – April
With the expertise of our Quantitative Analytics team, we compile a monthly report on Australian block market share – to give consistent and transparent data to share key insight in the Australian market.
Overall Block Market Share (April 2024 versus 12-month rolling average)
Liquidnet internal data. As of April 2024. 12-month rolling average May 2023 – April 2024, post new entrants launching. Source: Refinitiv, ASIC. Note: Only above ASIC tier blocks included. All blocks were traded between 10am and 4:11pm. Blocks at open/prev. close prices were excluded. ETF trades are excluded.
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ASX200 returned -2.95% in April on average turnover of $7.8B/day (12-month daily average of $7.6B) with a small pick up in volatility on the weakness (average daily value of the ASX200 VIX up to 11.7 from 11.1 in March). Ongoing transition activity the dominant feature of the month, as were multiple holidays/school holidays, geopolitical flare ups and stubborn inflation in focus.
An elevated month of blocks - although disparate depending on whether a transition was active or not, saw:
$685M/day of blocks or +22% versus 12-month average of $561M/day
Blocks as % of total turnover elevated at 8.8% versus 12-month average of 7.3% (+20.5%)
MQG taking out the top spot again with a very impressive 17.4%, highlighting just how beneficial the transition flow is, especially in an otherwise relatively subdued month. Bells had a strong month in small caps especially, after handling the DVP sell down by MinRes. Another feature in April was a lean month of block activity for the agency venues - lightest in a rolling 24 months, likely a case of bills/obligations getting paid and MQG getting the first call
Methodology
We have used ASIC definitions of a block (according to Tiers) instead of an arbitrary dollar value, and then cleaned the data by only incorporating blocks between 10:00 - 16:11. Any blocks done at PDC or open prices are also excluded. ETF trades are excluded.
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