HEDGEYE Exchange Tracker | The Daily Double

06/27/16 07:32AM EDT

Weekly Activity Wrap Up

Friday's volume on CME Group topped 26.3 million contracts, over +75% higher than the running 2Q16 to date average of 14.7 million contracts. Most importantly, open interest at the big Financially oriented exchange has growth by 19% year-to-date in 2016, a vast expansion versus the just +1% growth YTD on the Intercontinental Exchange. As we head into the second part of the year, CME's variable dividend starts to be discounted by the market which we forecast at over $3 per share this year (to be announced in December) for a total yield of +5.5%. The stock remains on our Best Ideas list as a Long and is a defensive stock in volatile markets.

Optimism over the Brexit vote in the early part of this week drove exchange traded volume lower week-over-week, however, Britain's vote to leave the EU on Friday will move volume significantly higher in the coming week. In the 5 trading days ending Thursday, 18.9 million futures contracts per day traded through CME and ICE this week. That brings the 2Q16TD futures average daily volume (ADV) to 19.4 million, +10% higher than 2Q15. Options volume came in at 15.4 million contracts per day, which brings the 2Q16TD ADV to 15.4 million, in line with the year-ago quarter. Finally, cash equity volume came in at 7.0 billion, bringing the 2Q16TD ADV to 7.0 billion, +10% higher than one year ago.

HEDGEYE Exchange Tracker | The Daily Double - XMon16

U.S. Cash Equity Detail

U.S. cash equities trading came in at 7.0 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 +108 bps higher Y/Y, while NASDAQ is taking a 17% share, -127 bps lower than one year ago.

HEDGEYE Exchange Tracker | The Daily Double - XMon2

HEDGEYE Exchange Tracker | The Daily Double - XMon3

U.S. Options Detail

U.S. options activity came in at a 15.4 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 +26 bps higher than one year ago. Additionally, NASDAQ's 22% share is +9 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 -48 bps Y/Y, although it has been rising in recent weeks. Finally, ISE/Deutsche's 14% share is -175 bps lower than 2Q15.

HEDGEYE Exchange Tracker | The Daily Double - XMon4

HEDGEYE Exchange Tracker | The Daily Double - XMon5

U.S. Futures Detail

14.0 million futures contracts per day traded through CME Group this week, bringing the 2Q16TD ADV to 14.8 million, +11% higher Y/Y. Additionally, CME open interest, the most important beacon of forward activity, currently sits at 108.5 million CME contracts pending, good for +19% growth over the 91.3 million pending at the end of 4Q15, although a contraction from the previous week's +20%.

Contracts traded through ICE came in at 4.9 million per day this week, bringing the 2Q16TD ADV to 4.6 million, a +7% Y/Y expansion. ICE open interest this week tallied 64.5 million contracts, a +1% expansion versus the 63.7 million contracts open at the end of 4Q15, although a contraction from the previous week's +2%.

HEDGEYE Exchange Tracker | The Daily Double - XMon6

HEDGEYE Exchange Tracker | The Daily Double - XMon8

HEDGEYE Exchange Tracker | The Daily Double - XMon7

HEDGEYE Exchange Tracker | The Daily Double - 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 | The Daily Double - XMon10

HEDGEYE Exchange Tracker | The Daily Double - XMon11

HEDGEYE Exchange Tracker | The Daily Double - XMon12

HEDGEYE Exchange Tracker | The Daily Double - XMon13

HEDGEYE Exchange Tracker | The Daily Double - XMon14

HEDGEYE Exchange Tracker | The Daily Double - XMon15

Please let us know of any questions,

Jonathan Casteleyn, CFA, CMT 

  

  

 Joshua Steiner, CFA

 

 

Patrick Staudt, CFA

© 2024 Hedgeye Risk Management, LLC. The information contained herein is the property of Hedgeye, which reserves all rights thereto. Redistribution of any part of this information is prohibited without the express written consent of Hedgeye. Hedgeye is not responsible for any errors in or omissions to this information, or for any consequences that may result from the use of this information.