Market Execution Quality for VXX
The chart below illustrates the execution quality of VXX across the major U.S. stock exchanges and trade reporting venues by measuring its average effective spread for the previous month. For purposes of calculating the effective spread on executed marketable orders, Bats measures the execution price against the NBBO in effect at the millisecond in which the execution occurs. This methodology differs from Rule 605's calculation of effective spread, which measures the execution price against the NBBO at the time of receipt of the marketable order, as measured to the second.
Ideally, the effective spread of the stock will be low, meaning investors are able to buy for less and sell for more. This is illustrated by the rankings below, where a "1" ranking indicates the best effective spread. Those venues showing a lower effective spread execute more trades at or better than the best priced bids/offers, or NBBO (National Best Bid or Offer).
The statistics provided are designed to supplement our Rule 605 reports.
Market execution quality for BARCLAYS BK PLC IPATH S&P500 VIX
For definitions of terms and descriptions of metrics used to achieve these numbers, click here. Additional categories (columns) are available by clicking the column headers below.