Table V-6B

Average Effective Spreads in 1/4 Point Markets by Exchange and Order Size for Market and Marketable Limit Orders in NYSE-Listed Issues

Table V-6B: Average Effective Spreads in 1/4 Point Markets by Exchange and Order Size for
Market and Marketable Limit Orders in NYSE-Listed Issues
Cents Per Share
Order SizeOrder TypeNYSEBSECHXCSEPHLXPSE
100 SharesMarket Orders8.813.413.87.817.515.4
Marketable Limits12.515.025.011.321.219.2
Both9.013.614.58.017.715.7
101-200 SharesMarket Orders9.213.613.68.317.915.7
Marketable Limits14.216.524.912.919.720.7
Both9.613.914.58.718.016.1
201-300 SharesMarket Orders10.314.115.99.418.316.7
Marketable Limits15.416.324.98.420.420.3
Both10.714.316.79.418.417.0
301-400 SharesMarket Orders10.914.015.58.817.916.7
Marketable Limits16.815.625.012.722.219.9
Both11.514.216.49.118.217.0
401-500 SharesMarket Orders12.913.615.210.219.617.2
Marketable Limits18.218.525.414.422.520.1
Both13.914.316.510.619.917.5
501-1,000 SharesMarket Orders14.115.317.411.619.317.8
Marketable Limits18.417.625.014.221.321.2
Both15.115.718.611.919.618.2
1,001-5,000 SharesMarket Orders18.616.516.513.621.421.3
Marketable Limits20.018.525.416.621.222.4
Both19.116.917.914.121.421.5
5,001 or More SharesMarket Orders20.416.39.323.622.222.7
Marketable Limits20.518.725.030.70.024.2
Both20.517.210.025.020.023.5
All OrdersMarket Orders12.214.114.69.118.216.5
Marketable Limits18.316.925.013.221.120.6
Both13.314.415.59.418.516.9

Last modified: 1/24/2001