Australian Block Market Share report – November
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.
The ASX200 returned 3.38% in November in largely a one way move to hit record highs, on fairly average block and total turnover metrics, but with a large tailwind from the Trump victory, associated appointments and the fall in bond yields. As to be expected, the ASX200 volatility index (av daily value) fell - to 11.2 from 12.6 in October
A more subdued month on average although some transition activity around the middle of the month saw block activity finish:
$574m blocks/day vs 12mth average of $605m
Blocks were 7.5% of total turnover, inline with the 12mth average
The month saw BJ on top again while the transition flow saw MQG in number 2. Jefferies reverted somewhat (back to fourth) while BAML found a vein in ALL - saw them really jump the ranks to number 5 as a result (number one in large caps). Another very strong month for agency venues with $926m trading (2nd highest on a rolling 24 months) - with LN having a strong month
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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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