QQM-Methodology (Quotes Quality Metrics)
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1 QQM-Methodology (Quotes Quality Metrics) The Quotes Quality Metrics (QQM) methodology is designed for measuring the quality of quotes and is applicable to all securities traded on SIX Structured Products. Methodological Rules Securities classification Securities types: Swiss Derivative Map: Aggregation Level The QQM metrics are generated for each individual security and not for aggregated classes of securities. TheSVSP classification only supports the convenient sorting and filtering of individual securities, but does not trigger any aggregation of results. Rule 1 QQM Metrics are generated for individual securities and aggregated for each trading day (one row of data per security per day). Dimensions applied to quantify the quoting quality Posting firm quotes on the SIX Structured Products Quote book means putting market makers capital at risk in order to provide ongoing liquidity for potential buyers/sellers of own listed structured products. The quality of market making activity is consequently described by the following dimensions: Daily average spread (in %) of posted quotes Daily average size (in units and monetary value) of quotes Daily availability of double-sided quotes during official trading hours (as % of official trading hours; alternatively as % of effective tradable window on expiry day) Daily availability of quotes (including one-sided ones) during official trading hours (as % of official trading hours; alternatively as % of effective tradable window on expiry day) Daily Last Buy Quote Price & Size (units) Daily Last Sell Quote Price & Size (units)
2 Rule 2 Computation of daily average spread All double-sided quotes generated by the Market Maker are used to calculate the daily average spread value. The daily average spread value is the time weighted average of all intraday spread records. Only two sided quotes during official trading hours are taken into consideration. The duration of quotes is measured in seconds. Where AP = Ask Price (Sell Quote) und BP = Bid Price (Buy Quote) The weighting factor is the duration of individual quotes during official trading hours. The spread value is denominated in %. Example for Rule 2
3 Rule 3 Computation of the daily quote size All quotes posted by the Market Maker are used to calculate the average daily quote size (units and monetary value). This dimension is the time weighted average of all intraday quotes updates. Buy and sell sizes (units and monetary value) are computed and displayed separately. Only two sided quotes during official trading hours are taken into consideration. The duration of quotes is measured in seconds. 3.1 Average Quote Size (Unit = number of securities) Example for rule Average Quote Size (Monetary value)* *The monetary value is expressed in the corresponding trading currency of the security Example for rule 3.2
4 Rule 4 Availability of quotes during trading hours The maximum time span for posting quotes encompasses the entire daily trading window for warrants and structured products (09:15-17:15 for most of them). Interest rates warrants might have a slightly different daily trading window. Please refer to the SIX Swiss Exchange guides for details on trading hours. SIX Swiss Exchange - Trading Guides Should the market maker post quotes on the Market Maker Book without interruption for a single securitiy during trading hours, the availability ratio is 100%. Considering the official trading hours, this represents a maximum of seconds every day for most of the tradable securities. As an exception the effective trading window is taken into consideration on the day of expiry. 4.1 Double sided quotes availability ratio (excluding one-sided quotes) Only two sided quotes during official trading hours are taken into consideration in that dimension. The duration of quotes is measured in seconds. The availability rate of quotes is expressed in % of the maximum possible trading window for this security. Example for rule Availability ratio for quotes (incl. one-sided quotes) Prices for deeply out-of-the money securities often tend towards 0. In such cases market makers tend to post only one sided-quotes displaying for example 0.00 (bid) vs (ask). We consequently introduce an additional quote availability indicator encompassing one-sided quotes as well. The duration of quotes is measured in seconds. The availability rate of quotes is expressed in % of the maximum possible trading window for this security. The Quotes Availability Ratio is always either equal to or greater than the Double Sided Quotes Availability Ratio.
5 Example Rule 4.2 T Example for rule 4.2 Stop Trading/suspension events are ignored by QQM computation algorithm; the limited frequency of such events has a neglectable impact on overall QQM results.. Rule 5 Last Best Buy + Last Best Sell Quote Price + Last Best Buy + Last Best Sell Quote Size (units) A security displaying 6.00 (bid) vs (ask) has a spread of 66.6% according to Rule 2. Another security displaying 0.01 (bid) vs (ask) will have the same spread of 66.6%. We understand that in the case where securities display quotes with market value nearby zero, the spread size provides limited value-adding information, being mainly driven by the minimum possible tick size. In order to make QQM data set more meaningful at first glance, we also display information about the current quote value of the security. Last Best Buy Quote Price/Last Best Sell Quote Price fields only have indicative character. QQM metrics do not provide any official end-of-day security valuation. Example for rule 5
6 None of the information contained herein constitutes an offer to purchase or sell a financial instrument traded on SIX Swiss Exchange Ltd and/or SIX Structured Products Exchange Ltd. SIX Swiss Exchange Ltd and SIX Structured Products Exchange Ltd assume no liability for the accuracy and/or completeness of said information or for any damages arising from actions taken on the basis of information contained in this or any other of its publications. None of the information contained herein constitutes an investment advice or guidance for investment or other decisions. Liability claims against SIX Swiss Exchange Ltd and/or SIX Structured Products Exchange Ltd are expressly excluded for any damages of a tangible or intangible nature that arise directly or indirectly from the use of QQM data or the QQM method. Copyright SIX Swiss Exchange Ltd and/or SIX Structured Products Exchange Ltd, All rights reserved.
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