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HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed

Takeaway: Exchange activity spiked substantial higher across the board as the Fed adjusted rates for the first time in 7 years.

Weekly and Activity and Quarter-End Wrap Up

All three categories had their most active week of the quarter given trading around the Fed's rate hike and oil hitting new lows. Cash equity volume came in at 8.4 billion shares traded per day, bringing the 4Q15TD ADV up to 7.2 billion, which is +3% higher than 4Q14. Throughout 4Q15, equities' ADV growth over 4Q14 has, for the most part, stayed within a range of flat to +3%.  

 

Futures activity (both on CME and ICE) came in at 24.5 million contracts per day in the most recent 5 days, blending the 4Q15TD ADV to 19.2 million, now +3% higher than the previous quarter and in line with the year-ago quarter. Y/Y comps were difficult for futures this quarter given extraordinary activity levels in 4Q14 stimulated by the threat of a Grexit from the Eurozone. Futures' ADV growth over 4Q14 started the quarter out negative and hit a low of -12% in the period ending October 22. However, volume steadily rose over the course of 4Q15 to the point where it is now in line with 4Q14.

 

Options put up an average of 20.4 million contracts per day this week, blending the quarter-to-date daily average to 16.6 million, -4% lower Y/Y and -8% lower Q/Q. Options ADV growth over 4Q14 was consistently negative throughout 4Q15, usually maintaining a range between -2% and -6%.

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon1

  

U.S. Cash Equity Detail

U.S. cash equities trading came in at 8.4 billion shares per day this week. That brings the fourth quarter average to 7.2 billion shares traded per day, a +3% Y/Y growth and -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 +1% year-over-year increase, while NASDAQ is taking an 18% share, a -10% year-over-year decline.

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon2

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon3

 

U.S. Options Detail

U.S. options activity came in at a 20.4 million ADV this week, bringing the 4Q15TD average to 16.6 million, a -4% Y/Y and -8% Q/Q contraction. The market share battle amongst venues continues to be one of losses at the NYSE/ICE, which has lost -8% of its share year-over-year settling at 19% of options trading currently. Additionally, CBOE's market share sits at 25%, -16% lower than 4Q14. NASDAQ's share of 4Q15 volume has been falling slightly in the past few weeks, bringing it -2% lower than 4Q14. However, at 23%, the exchange's market share is still +13% higher than the previous quarter. Additionally, BATS' 9% share of 4Q15TD volume is +39% higher than in 4Q14. Finally ISE/Deutsche's 15% share in 4Q15TD remains consistent with 3Q15, which brings it to +8% Y/Y growth.

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon4

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon5

 

U.S. Futures Detail

CME Group activity came in at 18.0 million contracts traded per day, bringing the 4Q15TD average to 14.1 million, a -5% Y/Y and -2% Q/Q contraction. Y/Y comps were difficult this quarter with ADV growth over 4Q14 hitting a low of -17% in the period ending October 22. However, volume grew steadily thereafter to the point where CME's 4Q15TD ADV is now only -5% below that difficult 4Q14 comp. CME open interest fell to 95.7 million CME contracts pending this week as investors redeemed their December exposures to roll them into January.

 

ICE activity came in at 6.4 million contracts traded per day this week, bringing 4Q15TD ADV to 5.1 million, +17% Y/Y and +20% Q/Q growth. Over 4Q15, Similarly to CME, ICE's QTD ADV dipped down to a low in the week ending October 22. However, Y/Y growth at that point was still significantly positive at +7%. Since then, the QTD ADV has risen to it's current +17% Y/Y growth. Also similarly to CME, ICE open interest this week fell to 66.6 million contracts pending as investors rolled their exposures into January.

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon6

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon8

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon7

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - 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 | Activity HIKED This Week With The Fed - XMon10

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon11

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon12

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon13

 

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - XMon14

HEDGEYE Exchange Tracker | Activity HIKED This Week With The Fed - 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 | Activity HIKED This Week With The Fed - XMon19 3

 

 

Please let us know of any questions,

 

Jonathan Casteleyn, CFA, CMT 

  

  

 

 Joshua Steiner, CFA

 

 

 

 


Cartoon of the Day: The Naughty List

Cartoon of the Day: The Naughty List - Kinder Morgan lump of coal 12.18.2015

Why kids are really hoping they're not on Santa's "Naughty List" this Christmas...


McCullough: ‘Sharp and Ugly Reformation’ Headed for Wall Street

 

In this brief excerpt from The Macro Show this morning, Hedgeye CEO Keith McCullough delivers a fiery response to a subscriber’s question on the staggering level of “negligence and arrogance” from bankers, the Federal Reserve and financial media.

 

 

Subscribe to The Macro Show today for access to this and all other episodes. 

 

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Seriously... ANOTHER Themed Shopping Day?

Editor's Note: Below is a brief excerpt from an institutional research note written earlier today by our Retail team. For more information on how you can become a subscriber please send an email to sales@hedgeye.com.

 

* * *

Today is Free Shipping Friday.

 

For starters, did anyone know that this day even existed? It sounds more like an Instagram hash tag than a shopping promotion, but it’s simply another invented day along with the usual suspects (Black Friday, Cyber Monday, Small Business Saturday, Green Monday) intended to create a little extra buzz as we approach the end of the Holiday shopping season.

 

In fairness, the retailers need everything they can get. But on the flip side, if everybody is doing it, is it really a competitive advantage for anyone?

 

The day not only offers free shipping, but guaranteed delivery by Christmas eve. Of over 1064 participating merchants, one notable missing name from the list is KSS, which on its own lowered its free shipping threshold from $75 to $50 a few weeks back and introduced a whole host of Door Buster sales that will hit this Saturday.

 

Seriously... ANOTHER Themed Shopping Day? - mcgough 1

 

One day of free shipping isn't damning for margins by any means, but we think it’s indicative of the inevitable reality that US Retail is moving to 100% free shipping, 100% of the time.

 

It will be interesting to see how the carriers handle the capacity. We've seen the reports noting the higher volume, and the spread in on-time order rates has widened by 2 points vs. last year (see exhibit 2 below). With all the promises being made on delivery time, we could see a lot of disappointed parents on Christmas Day.

 

Seriously... ANOTHER Themed Shopping Day? - mcgough 2


McCullough's Take On Star Wars And Disney | $DIS

On Fox Business' Morning's with Maria, Hedgeye CEO Keith McCullough discusses why he's generally positive on shares of Disney (DIS) with FBN's Dagen McDowell and Barron's Jack Otter. As McDowell says, "this proves that Keith is no Grinch, he's no Scrooge."


RTA Live: December 18, 2015

replay  below

 

 


Hedgeye Statistics

The total percentage of successful long and short trading signals since the inception of Real-Time Alerts in August of 2008.

  • LONG SIGNALS 80.28%
  • SHORT SIGNALS 78.51%
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