Takeaway: The Brexit explosion pushed volume to extreme highs making the last week of the quarter the biggest for options and cash equity all quarter.

Weekly Activity Wrap Up

The breaking Brexit pushed exchange traded volumes to extreme highs this week with futures traded through CME Group and ICE topping 24.7 million contracts per day, pushing 2Q16 average daily volume in the futures industry to 19.8 million, +12% higher than the year-ago quarter. Open interest at CME has grown by +16% year-to-date in 2016, a widening gap to the more energy (and European) exposure at ICE which has zero YTD growth in open interest. 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.

Options volume came in at 20.8 million contracts per day, the highest level all quarter, bringing the 2Q16 ADV to 15.8 million, +3% higher than 2Q15. Finally, cash equity volume came in at 10.3 billion share per day this week, the highest level all quarter, bringing the 2Q16 ADV to 7.3 billion, +14% higher than one year ago.

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U.S. Cash Equity Detail

U.S. cash equities trading came in at 10.3 billion shares per day this week, bringing the 2Q16 ADV to 7.3 billion. That marks +14% Y/Y growth. The market share battle for volume is mixed. The New York Stock Exchange/ICE took a 25% share of second-quarter volume, which is +115 bps higher Y/Y, while NASDAQ took a 17% share, -115 bps lower than one year ago.

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U.S. Options Detail

U.S. options activity came in at a 20.8 million ADV this week, bringing the 2Q16 average to 15.8 million, +3% higher than the year-ago quarter. In the market share battle amongst venues, NYSE/ICE's 17% share of 2Q16 volume is +17 bps higher than one year ago. BATS has also been taking share from the competing exchanges, up to a 12% share from 10% a year ago. NASDAQ's 22% share is consistent with 2Q15. Meanwhile, CBOE's 27% market share of 2Q16 is down -19 bps Y/Y, although it has been rising in recent weeks. Finally, ISE/Deutsche's 14% share is -183 bps lower than 2Q15.

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U.S. Futures Detail

18.7 million futures contracts per day traded through CME Group this week, bringing the 2Q16 ADV to 15.1 million, +13% higher Y/Y. Additionally, CME open interest, the most important beacon of forward activity, currently sits at 105.7 million CME contracts pending, good for +16% growth over the 91.3 million pending at the end of 4Q15, although a contraction from the previous week's +19%.

Contracts traded through ICE came in at 6.0 million per day this week, the exchange's highest volume all quarter, bringing the 2Q16 ADV to 4.7 million, a +10% Y/Y expansion. ICE open interest this week tallied 63.8 million contracts, about in line with the 63.7 million contracts open at the end of 4Q15 but a contraction from the previous week's +1%.

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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.

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Please let us know of any questions,

Jonathan Casteleyn, CFA, CMT 

  

  

 Joshua Steiner, CFA

 

 

Patrick Staudt, CFA