Australian Block Market Share report – August
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 (August 2024 versus 12-month rolling average)
Liquidnet internal data. As of August 2024. 12-month rolling average September 2023 – August 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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The ASX200 was unchanged in August. However, that masks the volatility over the systematic/leveraged unwind triggered by US recession fears and the Yen carry trade early in the month, before dip buyers emerged yet again, while earnings were the big feature of the 2H of August. The VIX actually hit a closing high of 59.5 (the highest since October 2020), while the ASX200 VIX (average daily value) pushed up to 13 vs 11.8 in July. The events and associated volatility saw muted (relative) block activity vs elevated total turnover.
Block activity was dictated by the volatility spike early in the month (and associated low block activity) and then earnings – both of which help explain lower relative but high absolute block values (third biggest month in rolling 12 months). Of note, however – was a quieter August and earnings period vs August 2023.
Blocks $644M/day vs $579M/day 12m average, although was -10.3% vs August 2023
Blocks as a percentage of notional traded at 7.3% vs 12m average of 7.4% and 8.8% in August 2023
Notional traded per day was the largest in 12 months - at a huge $8.8B vs 12mth average of $7.8B
Well diversified and plenty of shuffling in August. Barrenjoey just took the top spot after a very strong month in mid-caps but was very tight amongst the top three. Jeffries personnel changes took effect with a huge month finishing in 3rd and with 12.6% market share (vs 12mth average of 6.5%), while Morgans had a big month in small caps. Agency venue/ broker turnover of note with the 3rd best month on a rolling 24mth basis, at $674M.
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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