Weekly Activity Wrap Up
Volume in the holiday shortened week was lower than the 2Q16TD quarterly average, however cash equities and futures maintained good year-over-year volume growth. Cash equities came in at 6.7 billion shares per day, bringing the 2Q16TD average daily volume (ADV) to 7.0 billion, +11% higher year-over-year. Futures came in at 18.3 million contracts per day this week, bringing the quarter's ADV to 18.8 million, +6% higher than the year-ago quarter. Additionally, CME's open interest currently tallies 114.1 million contracts, +25% higher than the 91.3 million pending at the end of 2015. This compares to ICE's OI growth of just +5% YTD. Meanwhile, options volume of 12.8 million was low enough that it dragged down the 2Q16TD ADV to 15.2 million, -1% lower than the 2Q15 ADV.
U.S. Cash Equity Detail
U.S. cash equities trading came in at 6.7 billion shares per day this week, bringing the 2Q16TD ADV to 7.0 billion. That marks +11% Y/Y growth. The market share battle for volume is mixed. The New York Stock Exchange/ICE is taking a 25% share of second-quarter volume, which is +95 bps higher Y/Y, while NASDAQ is taking a 17% share, -132 bps lower than one year ago.
U.S. Options Detail
U.S. options activity came in at a 12.8 million ADV this week, bringing the 2Q16TD average to 15.2 million, a -1% Y/Y contraction. In the market share battle amongst venues, NYSE/ICE's 17% share of 2Q16TD volume is +41 bps higher than one year ago. Additionally, NASDAQ's 22% share is +27 bps higher year over year. BATS has also been taking share from the competing exchanges, up to an 11% share from 10% a year ago. Meanwhile, CBOE's 26% market share of 2Q16TD is down -123 bps Y/Y. Finally, ISE/Deutsche's 14% share is -153 bps lower than 2Q15.
U.S. Futures Detail
14.7 million futures contracts per day traded through CME Group this week, bringing the 2Q16TD ADV to 14.4 million, +8% higher Y/Y. Additionally, CME open interest, the most important beacon of forward activity, currently sits at 114.1 million CME contracts pending, good for +25% growth over the 91.3 million pending at the end of 4Q15, an expansion from the previous week's +24%.
Contracts traded through ICE came in at 3.6 million per day this week, bringing the 2Q16TD ADV to 4.4 million, a +3% Y/Y expansion. ICE open interest this week tallied 66.9 million contracts, a +5% expansion versus the 63.7 million contracts open at the end of 4Q15, consistent with the previous week.
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.
Please let us know of any questions,
Jonathan Casteleyn, CFA, CMT
Joshua Steiner, CFA