Weekly Activity Wrap Up
Volume was low around the 4th of July holiday. In the first week of 3Q16, futures are the only exchange traded category showing positive year-over-year growth. Contracts traded through CME Group and ICE came in at 19.1 million, +3% higher than the year-ago quarter. Additionally, open interest at CME has grown by +18% year-to-date in 2016, a widening gap to the more energy (and European) exposure at ICE which has only +1% 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. Cash equity volume came in at 7.0 billion shares per day, -4% lower than the 3Q15 average daily volume. Additionally, options volume came in at 14.9 million contracts per day, -18% lower than the year-ago quarter.
U.S. Cash Equity Detail
U.S. cash equities trading came in at 7.0 billion shares per day this week, -4% lower than the year-ago quarter. The market share battle for volume is mixed. The New York Stock Exchange/ICE is taking a 25% share of third-quarter volume, which is +71 bps higher Y/Y, while NASDAQ is taking a 17% share, -191 bps lower than one year ago.
U.S. Options Detail
U.S. options activity came in at a 14.9 million ADV this week, -18% lower than the year-ago quarter. In the market share battle amongst venues, NYSE/ICE's 14% share of 2Q16 volume is -394 bps lower than one year ago. BATS has been taking share from the competing exchanges, up +58 bps from one year ago to an 11% share. NASDAQ's 23% share is +196 bps higher than in 3Q15. CBOE's 30% market share of 3Q16 is up +220 bps Y/Y. Finally, ISE/Deutsche's 13% share is -200 bps lower than 3Q15.
U.S. Futures Detail
14.8 million futures contracts per day traded through CME Group this week, +3% higher Y/Y. Additionally, CME open interest, the most important beacon of forward activity, currently sits at 108.2 million CME contracts pending, good for +18% growth over the 91.3 million pending at the end of 4Q15, an expansion from the previous week's +16%.
Contracts traded through ICE came in at 4.3 million per day this week, a +2% Y/Y expansion. ICE open interest this week tallied 64.0 million contracts, +1% higher than the 63.7 million contracts open at the end of 4Q15 and an expansion from the previous week's 0%.
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