Weekly Activity Wrap Up
For the second week in a row, the 3Q16TD average daily volume (ADV) fell for all exchange categories. Futures put up 16.9 million contracts per day this week, bringing the 3Q16TD ADV to 18.3 million contracts, a -2% Y/Y contraction. Options activity slumped to 14.5 million contracts per day in the past 5 days, lowering the 3Q16TD ADV to 15.4 million, -15% lower Y/Y. Cash equities came in at 6.5 billion shares per day, bringing the quarter's ADV to 6.6 billion, -10% lower than 3Q15. What is showing less seasonality is the trajectory of CME Group volumes. The exchange reported earnings this week and that year-over-year volume growth expanded +13% exchange wide with all categories growing except for FX. Metals, energy, and equity activity lead the way for CME up +41%, +33%, and +25% in 2Q and the exchange set a new high water mark for open interest at 106 million contracts. The stock remains on our Best Ideas list as a long position.
The trading volume setup thus far in 3Q16:
U.S. Cash Equity Detail
U.S. cash equities trading came in at 6.5 billion shares per day this week, bringing the 3Q16TD ADV to 6.6 billion, -10% lower than the year-ago quarter. In the market share battle for volume, exchanges are losing share. The New York Stock Exchange/ICE is taking a 24% share of third-quarter volume, which -31 bps lower than the year-ago quarter. NASDAQ is taking a 17% share, -223 bps lower than one year ago. Finally, BATS' 20% share is -120 bps lower Y/Y.
U.S. Options Detail
U.S. options activity came in at a 14.5 million ADV this week, bringing the 3Q16TD ADV to 15.4 million, -15% lower than the year-ago quarter. In the market share battle amongst venues, NYSE/ICE's 15% share of 3Q16 volume is -280 bps lower than one year ago. Additionally, while BATS' share grew in the first half of 2016, growth has stalled somewhat in recent weeks, and the exchange's 11% share is -23 bps lower than the year-ago quarter. Meanwhile, NASDAQ's 22% share is +164 bps higher than in 3Q15, and CBOE's 29% market share of 3Q16 is up +162 bps Y/Y. Finally, ISE/Deutsche's 13% share is -155 bps lower than 3Q15.
U.S. Futures Detail
12.5 million futures contracts per day traded through CME Group this week. That puts the 3Q16TD ADV at 14.1 million, -2% lower Y/Y. Additionally, CME open interest, the most important beacon of forward activity, currently sits at 103.7 million CME contracts pending, good for +14% growth over the 91.3 million pending at the end of 4Q15, although a contraction from the previous week's +17%.
Contracts traded through ICE came in at 4.2 million per day this week, lowering the 3Q16TD ADV to 4.3 million, which is flat Y/Y. ICE open interest this week tallied 64.2 million contracts, +1% higher than the 63.7 million contracts open at the end of 4Q15, although a contraction from the previous week's +2%.
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
