The latest thought-leadership article by the Equity experts of the Swiss Stock Exchange explores the interconnectedness
of cash and futures markets.
The new Trading InfoSnack article Back to the Future(s)[pdf] points out how a dislocation between cash and futures markets demonstrates how a market structure
change such as an outage in one market can have wider ramifications in the securities trading ecosystem.
The article looks at the significant distortion caused by an outage in the market for Swiss Equity Futures on 14 April 2020 to probe
the interdependencies between cash and futures markets in equities and delta-one securities. Comparing the average spreads and depth
at BBO for SMI equities and for two highly liquid SMI ETFs for which there are corresponding futures contracts allows for several
A previous Trading InfoSnack, Whats in a Liquidity Smile?[pdf], used that same event to provide insight into how the shape of the liquidity smile evolves
over time and is influenced by different trading models and market events.
Insights on Relevant Trading and Market Structure Topics
The Trading InfoSnack articles are brief but insightful research features that provide commentary on market relevant trends, models
and microstructure that influence the trading of Swiss securities, underpinned by in-depth analysis from the Equities team of the
Swiss Stock Exchange.
Whilst the specific focus of Trading InfoSnacks is on the trading of Swiss securities, the approaches and perspectives constructed
also have more broad application across the EU securities trading landscape. The articles are therefore of interest to trading and
market structure professionals with a focus on the EMEA region.
All Trading InfoSnacks are available on our
Where Quality Comes as Standard
At the Swiss Stock Exchange, quality comes as standard. This applies to the performance and stability of our trading infrastructure,
the liquidity, prices and spreads in our order books and our services in the listing, trading and post-trading space. As the clear
reference market for all SMI shares, the Swiss Stock Exchange gives you the highest liquidity, the best prices and the tightest spreads.
Find out more.