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Takeaway: The 4Q15TD options ADV rose to 16.9 million from 16.5 million in the previous week, making for a +200 bps improvement in the Y/Y rate.

Weekly Activity Wrap Up

The 4Q15TD average daily volume for cash equities and options rose this week with options having their strongest week of the 4th quarter to date. Cash equities averaged 7.21 billion shares per day, bringing the quarter's average to 7.16 billion marking +2% Y/Y growth from 4Q14. Options activity rocketed during the week putting up an average of 19.5 million contracts per day, blending the quarter-to-date average to a 16.9 million ADV, now only -2% lower Y/Y versus the -4% comp last week. Futures activity (both CME and ICE) continues to burn off the tough 4Q14 comp which included the Grexit, with the 17.8 million contracts per day this week blending to 18.0 million for 4Q15 to date. This Y/Y activity change remains at -6%. Most importantly Y/Y open interest is up +14% at CME and +17% at ICE which will drag trading volume through to higher levels into 2016.

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon1

U.S. Cash Equity Detail

U.S. cash equity trading came in at 7.2 billion shares traded per day this week. That brings the fourth quarter average to 7.2 billion shares traded per day, a +2% Y/Y expansion but -2% Q/Q contraction. The market share battle for volume is mixed. The New York Stock Exchange/ICE is taking a 24% share of fourth-quarter volume, a +2% year-over-year increase, while NASDAQ is taking an 18% share, a -10% year-over-year decline.

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon2

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon3

U.S. Options Detail

U.S. options had their best week of the quarter so far. Activity came in at a 19.5 million ADV this week, bringing the 4Q15TD average to 16.9 million, a -2% Y/Y and -7% Q/Q contraction. The market share battle amongst venues continues to be one of losses at the NYSE/ICE, which has lost -6% of its share year-over-year settling at just 19% of options trading currently. Additionally, CBOE's market share sits at 26%, -16% lower than 4Q14. NASDAQ, on the other hand, has increased its market share by +15% compared to 3Q15, bringing itself only -1% lower than the 24% share it held a year ago. Additionally, BATS' 8% share of 4Q15TD volume is +29% higher than in 4Q14. Finally ISE/Deutsche's 15% share in 4Q15TD remains consistent with 3Q15, which brings it to +6% Y/Y growth.

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon4

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon5

U.S. Futures Detail

CME Group activity came in at 13.2 million contracts traded per day, bringing the 4Q15TD average to 13.2 million, a -11% Y/Y and -8% Q/Q contraction. CME open interest, the most important beacon of forward activity, currently tallies 106.5 million CME contracts pending, good for +14% growth over the 93.7 million pending at the end of 4Q14, consistent with the prior week.

ICE saw volume of 4.6 million contracts traded per day this week, bringing 4Q15TD ADV to 4.9 million, +11% Y/Y and +14% Q/Q growth. ICE open interest this week tallied 69.4 million contracts, a +17% expansion versus the 59.4 million contracts open at the end of 4Q14, an improvement from last week's +15%.

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon6

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon8

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon7

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon9 

Monthly Historical View

Monthly activity levels give a broader perspective of exchange based trends. As volatility levels, measured by the VIX, MOVE, and FX Vol should rise to normal levels after the drastic compression this cycle, we expect all marketplaces to experience higher activity levels.

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon10

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon11

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon12

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon13

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon14

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon15

Sector Revenue Exposure

The exchange sector has broadly diversified its revenue exposure over 10 years as public entities with varying top line sensitivity to the enclosed trading volume data. The table below highlights how trading volumes will flow through the various operating models at NASDAQ, CME Group, ICE, and Virtu:

HEDGEYE Exchange Tracker | Options Have Their Most Active Week of the Quarter - XMon19 3

Please let us know of any questions,

Jonathan Casteleyn, CFA, CMT 

  

  

 Joshua Steiner, CFA