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Takeaway: Futures ramped W/W while cash equities and options contracted. 1Q16TD ADVs remain well above their year-ago levels in all three categories.

Weekly Activity Wrap Up

Futures put up healthy activity this week, rising week over week and coming in just below the already elevated 1Q16TD average daily volume (ADV). Meanwhile, cash equity and options volumes eased week over week, decreasing 1Q16TD ADVs. 1Q16TD ADVs remain well above their year-ago levels in all three categories. Cash equity volume for the week came in at 7.5 billion shares traded per day, bringing the 1Q16TD ADV to 9.1 billion, up +31% Y/Y. Futures activity at CME and ICE came in at 24.0 million contracts traded per day this week, bringing the 1Q16TD ADV to 24.4 million, up +22% Y/Y. Additionally, CME's open interest currently tallies 110.9 million contracts, 21% higher than the 91.3 million pending at the end of 2015, which will drag trading volume higher going forward. Options came in at 15.0 million contracts traded per day this week, bringing the 1Q16TD ADV to 18.0 million, up +16% Y/Y. 

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon1

U.S. Cash Equity Detail

U.S. cash equities trading came in at 7.5 billion shares per day this week, bringing the 1Q16TD average to 9.1 billion shares per day. That marks +31% Y/Y and +29% Q/Q growth. The market share battle for volume is mixed. The New York Stock Exchange/ICE is taking a 24% share of first-quarter volume, which is consistent with the prior quarter and year-ago quarter, while NASDAQ is taking an 18% share, +27 bps higher Q/Q but -122 bps lower than one year ago.

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon2

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon3

U.S. Options Detail

U.S. options activity came in at a 15.0 million ADV this week, bringing the 1Q16TD average to 18.0 million, a +16% Y/Y and +13% Q/Q expansion. In the market share battle amongst venues, NYSE/ICE has been trending downward at a moderate pace, but at an 18% share it is +56 bps higher than the year-ago quarter. Meanwhile, NASDAQ's recent declines bring it -392 bps lower than 1Q15. CBOE's market share is down -135 bps Y/Y but has improved recently; its 27% share of 1Q16TD volume is up +143 bps from 4Q15. BATS and ISE/Deutsche have been taking share from the competing exchanges, with BATS up to a 10% share from 9% a year ago and ISE/Deutsche taking 16%, up from 13% a year ago.

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon4

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon5

U.S. Futures Detail

18.4 million futures contracts traded through CME Group this week, bringing the 1Q16TD average to 18.5 million, a +24% Y/Y and +41% Q/Q expansion. Additionally, CME open interest, the most important beacon of forward activity, currently sits at 110.9 million CME contracts pending, good for +21% growth over the 91.3 million pending at the end of 4Q15, although that is lower than last week's +25%.

Contracts traded through ICE came in at 5.7 million per day this week, bringing the 1Q16TD ADV to 5.9 million, +17% Y/Y and +23% Q/Q growth. ICE open interest this week tallied 69.3 million contracts, a +9% expansion versus the 63.7 million contracts open at the end of 4Q15, consistent with last week.

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon6

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon8

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon7

HEDGEYE Exchange Tracker | Futures Lead the Week - 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 | Futures Lead the Week - XMon10

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon11

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon12

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon13

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon14

HEDGEYE Exchange Tracker | Futures Lead the Week - XMon15

Please let us know of any questions,

Jonathan Casteleyn, CFA, CMT 

  

  

 Joshua Steiner, CFA