GLOSSARY

Volatility

Volatility is essentially the rapid oscillation above and below a certain mean. When there is a great deal of variation in the price of a security, particularly over short periods of time, it is considered to be experiencing volatility.

Velocity

Velocity is a measure of the rate at which an asset’s price changes. It is useful for analysts looking for potential points of reversal.

VWAP Execution

Volume weighted average price (VWAP) is the weighted average execution price for a given trade based upon multi-tiered levels of liquidity, with each tier having a corresponding price and volume.

This method of execution allows the user trading larger trade sizes to sweep through the tiers and execute with all available prices throughout the various tiers until the order is filled or until all liquidity has been exhausted.

Example

Tier Size Bid Price Offer Price
1 500,000 1.32335 1.32350
2 1,000,000 1.32340 1.32370
3 2,000,000 1.32345 1.32375
4 3,000,000 1.32350 1.32380
5 5,000,000 1.32355 1.32385

Given the above ladder a buy trade of 3.5 million would execute through the top 3 price levels (starting at Tier 1) as follows:

  • 500,000 at 1.3235
  • 1,000,000 at 1.3237
  • 2,000,000 at 1.32375

The average price for the total amount is calculated at an average price of 1.3237.

Calculation: ((500,000/3,500,000)*1.3235) + ((1,000,000/3,500,000)*1.3237) + ((2,000,000/3,500,000)*1.32375) = 1.3237