Weekly Activity Wrap Up
With the VIX rising into the 20s this week, fear in the marketplace drove a wave of exchange traded volume particularly in derivatives. 24.9 million futures contracts per day traded through CME and ICE this week, the highest recorded weekly volume this quarter. That brings the 2Q16TD futures average daily volume (ADV) to 19.5 million, +11% higher than 2Q15. Options also saw their highest weekly volume so far this quarter, coming in at 17.9 million contracts per day, which brings the 2Q16TD ADV to 15.4 million, back in line with the year-ago quarter. Finally, cash equity volume grew week-over-week to 7.1 billion, bringing the 2Q16TD ADV to 7.0 billion, +10% higher than one year ago.
U.S. Cash Equity Detail
U.S. cash equities trading came in at 7.1 billion shares per day this week, bringing the 2Q16TD ADV to 7.0 billion. That marks +10% 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 +91 bps higher Y/Y, while NASDAQ is taking a 17% share, -134 bps lower than one year ago.
U.S. Options Detail
U.S. options activity came in at a 17.9 million ADV this week, bringing the 2Q16TD average to 15.4 million, in line with the year-ago quarter. In the market share battle amongst venues, NYSE/ICE's 17% share of 2Q16TD volume is +24 bps higher than one year ago. Additionally, NASDAQ's 22% share is +13 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 27% market share of 2Q16TD is down -62 bps Y/Y, although it has been rising in recent weeks. Finally, ISE/Deutsche's 14% share is -166 bps lower than 2Q15.
U.S. Futures Detail
19.4 million futures contracts per day traded through CME Group this week, the firm's highest level all quarter, bringing the 2Q16TD ADV to 14.9 million, +12% higher Y/Y. Additionally, CME open interest, the most important beacon of forward activity, currently sits at 109.7 million CME contracts pending, good for +20% growth over the 91.3 million pending at the end of 4Q15, although a contraction from the previous week's +27%.
Contracts traded through ICE came in at 5.5 million per day this week, breaking last week's record for the highest weekly volume all quarter and bringing the 2Q16TD ADV to 4.6 million, a +7% Y/Y expansion. ICE open interest this week tallied 64.8 million contracts, a +2% expansion versus the 63.7 million contracts open at the end of 4Q15, although a contraction from the previous week's +7%.
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
Patrick Staudt, CFA
