Just a few weeks in the past, we lined new Reg NMS spherical heaps, and hypothesized that the change would assist decrease spreads for high-priced shares.
Because the new spherical heaps went into impact on Nov. 3, 2025, over 250 symbols have been buying and selling with a brand new spherical lot for just a little over a month. Immediately, we dive into the universe of symbols with a brand new spherical lot and what the influence on buying and selling has been.
Solely 3% of listings have a brand new spherical lot
Any inventory or exchange-traded product (ETP) priced over $250 in September 2025 acquired a brand new spherical lot in November.
Nonetheless, it turned out to solely have an effect on round 250 symbols — in all probability lower than you might need thought given the work that went into this alteration. Total, that’s solely 3% of listings, made up of 1% of ETPs and 4% of company equities.
Regardless of that, the influence of this alteration is extra vital than it sounds. Because of the forms of shares which have excessive costs, this represents:
- 23% of the S&P 500 constituents and 40% of the shares within the Dow.
- 38% of all worth traded within the Nasdaq-100® (though solely 17% of the shares traded).
- 36% of all worth traded within the S&P 500.
Chart 1: Main indexes noticed 25%-40% of constituents get new spherical heaps
The big influence throughout these benchmark indexes is as a result of most of the largest corporations nonetheless have comparatively excessive share costs. Notably:
- For the 40-share spherical lot, 197 corporations have been affected, together with META, TSLA, ULTA, and ADBE.
- For the 10-share spherical lot, 14 corporations have been affected, together with BKNG and MELI.
- For ETPs, 39 have a 40-share spherical lot, together with QQQ and SOXX.
Due to that, the shares with smaller spherical heaps really characterize a a lot bigger proportion of worth traded. Actually, the shares with new spherical heaps add to 27% of common day by day worth traded (ADVT).
Meaning, for merchants, these modifications are extra impactful than they could first appear.
Spreads and depth each lower for the chosen high-priced shares
All of the work we (and others) have executed on ticks and depth indicated that smaller spherical heaps would cut back depth but additionally tighten spreads.
Not surprisingly, that was precisely what we discovered:
- Shares with a 10-share spherical lot noticed a median unfold decline of fifty% (from 61 foundation factors (bps) to 30bps).
- Shares with a 40-share spherical lot common spreads compressed 34% (from 42bps to 25bps).
- ETP spreads (all affected ETPs obtained a 40-share spherical lot) fell by 8% (from 4.3bps to three.6bps).
Chart 2: Spreads decreased considerably, and virtually instantly, for affected shares
Not surprisingly, with much less depth required to qualify for an NBBO leading to tighter spreads, we additionally noticed depth scale back.
Chart 3: Depth additionally decreased considerably for affected shares
Though do not forget that these totally different spherical heaps have been particularly chosen to retain an NBBO depth price not less than $10,000. That was executed so the brand new NBBO nonetheless represents an inexpensive quantity of liquidity for institutional buyers to commerce towards, and retail buyers to be benchmarked towards.
The U-shape for spreads virtually disappeared
Regardless of smaller spreads, Chart 2 reveals that these high-priced shares nonetheless have spreads which are a number of ticks large. Meaning there are nonetheless “too many ticks” inside these new spreads. Consequently, we anticipated to see market spreads nonetheless forming the acquainted U-shape primarily based on inventory worth.
Actually, what early knowledge reveals (purple line) is that though these shares will not be at their “optimum” unfold – the U-shape is unquestionably flattened for increased priced shares. Meaning shares above $250 (with smaller spherical heaps) appear to be buying and selling extra like shares within the $150-$250 (and 100-share spherical lot) group now.
Chart 4: New NBBO spreads nonetheless wider than odd lot spreads
We additionally see that these new spreads do stay effectively above the “odd lot” spreads out there – that will even seemingly be quickly added to Rule 605 studies.
Crossing the Nasdaq-100® basket is 1 basis-point cheaper now
If we think about how the totally different spreads of every inventory within the Nasdaq-100® add to the price of crossing the portfolio unfold, we discover that the basket unfold has fallen from 5.5bps to 4.5ps – making it 1bps cheaper.
That’s as a result of quite a few the biggest shares within the Nasdaq-100® acquired new spherical heaps. Within the chart beneath, we rank shares by index weight and present shares with new spherical heaps in pink and blue. The circle dimension reveals every inventory’s relative liquidity. The curve of circles reveals the incremental price that every inventory provides to the portfolio’s unfold price; the curve of gray bars reveals the incremental portfolio weight every inventory provides.
Chart 5: Buying and selling prices in Nasdaq-100® basket declined virtually 20% with many shares seeing smaller spherical heaps
New spherical heaps labored as anticipated
Trying on the knowledge, these new spherical heaps labored as anticipated. The market tailored to them and their new economics immediately – depth and unfold prices each fell.
Though comparatively few shares modified, the influence on buying and selling, particularly for institutional buyers, is bigger – due to the focus of enormous and liquid shares with increased share costs.
New, tighter spreads defend retail and institutional buyers crossing spreads off change in these shares. For a basket just like the Nasdaq-100®, that would have decreased their buying and selling prices by round 18%.
