On 9 July 2019, the FCA published a new webpage on measuring market cleanliness following the introduction of an additional metric, the Abnormal Trading Volume ratio (ATV). The ATV ratio expands on the traditional market cleanliness metric of measuring solely large movements in share prices before a public announcement by encompassing over 1,000 events. The FCA defines an ‘event’ as an unexpected, potentially price sensitive announcement.
The new metric provides a broader scope for measuring market cleanliness by capturing products such as contracts for difference (CFDs) and spread bets where the underlying is a relevant equity. The FCA expects this new metric to present a better understanding of participant behaviour and market activity to further characterise the state of UK markets.