A new metric for liquidity add-ons: easy as ADV, but better

Ravi K Jain
03 Sep 2021

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It’s a rock and a hard place. When a firm like Archegos collapses, brokers and clearing firms are squeezed by volatile prices and vanishing liquidity.

Liquidity of single stocks is of particular concern when a client defaults: a lack of liquidity amplifies the cost of liquidating large positions – and the broker or clearer often bears the brunt.

To mitigate their losses, these firms assess an additional liquidity charge, or add-on, for positions that could result in large cost or slippage on

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