July 2012 Chartbook The Halftime Report
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1 Average Daily $VA LUE Traded ($Billions ) $Billions (212 ( US China Japan CHI-X London Hong Kong Germany France Canada Korea Australia Brazil Taiwan Spain India Italy $billions Switzerland Sweden Amsterdam Russia Singapore Thailand Mexico Norway Ireland Finland Malaysia Indonesia Denmark Belgium Austria July 2012 Chartbook The Halftime Report Ana Avramovic Market Commentary July 2012 Despite the obvious summer slowdown (we re getting more out-of-office replies than requests for new data), we do showcase a few new charts this month to keep things exciting: Our look at year-over-year trading by region extends back to 2007 (below right). The downward trend is very apparent in both Europe and Asia, but less so for the Americas. On page 2, we compare US monthly ADV to each year s average so we can see seasonal changes. Our section on mutual funds (p. 3) includes our regular fund flows coverage, but this time we also include a ranking of the top 1 monthly outflows (surprise: the tech bubble crash tops the list). Page 3 also has a section on hedge funds, including data on leverage over time courtesy of our Prime Services team. By popular demand, we ve created a new chart to compare total asset balances in mutual funds (bonds/equities), money market funds, hedge funds, and ETFs. Enjoy! Global Trading Average Daily $VALUE Traded ($Billions) Asia Europe Americas US US Stocks ETFs 2011-H1 $7 $ $2 $17 $ H1 $ $2 $233 $19 $ -2% -2% -9% -9% -11% $30 $300 $20 $200 $ Average Daily $Value Traded H1 Average Daily VOLUME Traded (Billion shares) Asia Europe All US US Stocks US ETFs 2011-H H % +% -9% -% -8% $0 $0 Americas Europe Asia $20 $18 $1 $1 $12 Average Daily $Value Traded - H Americas Asia Europe $ $8 $ $ $2
2 -Feb 20-Feb -Mar 19-Mar 2-Apr 1-Apr 30-Apr 1-May 28-May Feb Jun 2-Jun Shares (Billions) S&P Price Level Daily $Value Traded ($Bn) ADV relative to year's average Avg Daily Volume (billion shares) Jul- Oct- Change relative to 2 years ago... 1 Global $Value Traded Relative to 2 Years Ago (rolling -day average) 0% 80% 0% 0% 0% - -0% -0% -80% Americas Europe Asia US Volumes Monthly Average Monthly Daily Average Volume Daily Volume Relative to to Year's Year s Average Average Average Daily Volum e 3.2 Average Daily Volume Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year's average H1 Daily US Volum e vs S&P Index 12 $20 Bn Daily $Value $Value Traded Traded of Equities & ETFs US Stocks $200 Bn ETFs $ Bn 132 $0 Bn 1300 $0 Bn 127 Bn Volume S&P 00 2
3 Jan-09 Apr-09 Jul-09 Oct-09 Jan- Apr- Jul- Oct Number of Hedge Funds Jun- Sep- Dec- Mar-11 $Billions 7-Jul- -Aug- 1-Sep- 29-Sep- 27-Oct- 23-Nov- 21-Dec Feb-11 1-Mar May Aug Aug Nov Feb $Billions S&P Mutual Fund Flows Weekly Mutual Fund Flows $ $8 $ ($) ($8) 120 ($12) 110 ($1) ($20) Bond Global Equity US Equity 80 ($2) S&P 00 Week Ending Source: ICI Monthly Mutual Fund Flows Top Monthly US Equity Mutual Fund Outflows $0 Monthly Mutual Fund Flows Jul-02 Oct-08 Jan-08 $30 Sep-08 $20 $ Sep-01 Aug-11 ($) ($20) ($30) Bond World Equity US Equity Jul-08 Jun-02 May- Aug-07 Mar-09 Flash Crash Quant Fund Crash Market Bottom Tech bubble (2001/2002) other Source: ICI -$ -$20 $billions -$30 -$0 -$0 Source: ICI Hedge Funds 2.9x 2.7x 2.x Average Hedge Fund Leverage Number of Number Hedge of Funds Hedge Funds Launched and Liquidated 200 Launched 2000 Liquidated Net 0 2.3x x x x x -0 Source: Credit Suisse Prime Services 3 Note: 2012 data are annualized based on Q1 numbers Source: Hedge Fund Research
4 India United States Russia Netherlands Germany Canada France UK Belgium Spain Finland Sweden Norway Denmark Mexico Israel Switzerland Australia Italy China South Africa Portugal Hungary Brazil Hong Kong Poland Korea Japan Taiwan Austria Singapore Malaysia Ireland Turkey New Zealand Greece Thailand Chile Philippines Czech Columbia Indonesia Peru Avg S&P Spread (bps) Avg R2K Spread (bps) & VIX Level Avg Spread (bps) Jun-99 Jun-00 Jun-01 Jun-02 Jun-03 Jun-0 Jun-0 Jun-0 Jun-07 Jun-08 Jun-09 Jun- Total assets ($Bn) Fund Assets $,000 Total Assets Total Assets by Fund Type $,000 $,000 $3,000 $2,000 $1,000 Money Market Mutual Funds US Equity Mutual Funds Global Equity Mutual Funds Bond Mutual Funds Hedge Funds all ETFs Source: ICI, HFR, Credit Suisse Trading Strategy Bid-Ask Spreads Average Bid-Ask Spreads vs VIX Avg Bid-Ask Spreads vs VIX Developed Emerging Global Bid-Ask Spreads Global Bid-Ask Spreads VIX SPX Spreads (left axis) R2K Spreads (right axis) Data as of July 2012
5 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan- Apr- Jul- Oct- Feb-11 Mar-11 May-11 Aug-11 Nov-11 Feb-12 VIX Index Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan- May- Sep- May-11 Share of All US Volume 9:30 :00 :30 11:00 11:30 12:00 12:30 13:00 13:30 1:00 1:30 1:00 1: Jul-08 Sep-08 Nov-08 Jan-09 Mar-09 May-09 Jul-09 Sep-09 Nov-09 Jan- Mar- May- Jul- Sep- Nov- Mar-11 May-11 Nov-11 Price Change in 30 min Interval... Intraday Trading 1.0% Intraday Volatility S&P 00 Intraday Volatility - S&P 00 22% % of Day s % of Day's Volume in First/Last 30 Minutes 30 Minutes last 30 min 0.8% Feb-12 18% 0.% 0.% 1% 1% 12% 0.2% % 0.0% 8% % first 30 min US Market Share US Equity Market Share Over Tim e 0% Other 90% 80% FINRA TRF 70% DirectEdge 0% Nasdaq BX 0% BATS 0% 30% NYSE NYSE ARCA % NASDAQ 0% Volatility & Correlation VIX Index Lehman bankruptcy 0 0% 90% 80% 70% 0% 0% 0% 30% % 0% Russell: Last 30 min S&P: Last 30 min Russell: First 30 min S&P: First 30 min US Equity Market Share Breakdown H Other TRF 1.9% Dark Pools 1.% Other Exchanges.3% DirectEdge 9.3% Nobe: excludes option expiry days and annual Russell Rebalance Nasdaq BX 2.7% BATS BYX 2.7% Nasdaq 18.0% BATS 8.% NYSE Arca 11.9% NYSE 11.9% Nasdaq NYSE Arca NYSE BATS BATS BYX Nasdaq BX DirectEdge Other Exchanges Other TRF Dark Pools "Other TRF" includes broker capital commitments and internalizations "Other Exchanges" includes NYSE Amex, CBSX, Chicago, National and PSX Data for 2012-H1 Implied Implied vs vs Realized Correlation 1M Realized Correlation 1M Implied Correlation Source: Credit Suisse Derivatives Strategy
6 Disclaimer: Please follow the attached hyperlink to an important disclosure: Structured securities, derivatives and options are complex instruments that are not suitable for every investor, may involve a high degree of risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. Supporting documentation for any claims, comparisons, recommendations, statistics or other technical data will be supplied upon request. Any trade information is preliminary and not intended as an official transaction confirmation. Use the following links to read the Options Clearing Corporation s disclosure document: Because of the importance of tax considerations to many option transactions, the investor considering options should consult with his/her tax advisor as to how taxes affect the outcome of contemplated options transactions. This material has been prepared by individual traders or sales personnel of Credit Suisse Securities Limited and not by the Credit Suisse research department. It is provided for informational purposes, is intended for your use only and does not constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. The information provided is not intended to provide a sufficient basis on which to make an investment decision. It is intended only to provide observations and views of individual traders or sales personnel, which may be different from, or inconsistent with, the observations and views of Credit Suisse research department analysts, other Credit Suisse traders or sales personnel, or the proprietary positions of Credit Suisse. Observations and views expressed herein may be changed by the trader or sales personnel at any time without notice. Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, expressed or implied is made regarding future performance. The information set forth above has been obtained from or based upon sources believed by the trader or sales personnel to be reliable, but each of the trader or sales personnel and Credit Suisse does not represent or warrant its accuracy or completeness and is not responsible for losses or damages arising out of errors, omissions or changes in market factors. This material does not purport to contain all of the information that an interested party may desire and, in fact, provides only a limited view of a particular market. Credit Suisse may, from time to time, participate or invest in transactions with issuers of securities that participate in the markets referred to herein, perform services for or solicit business from such issuers, and/or have a position or effect transactions in the securities or derivatives thereof. The most recent Credit Suisse research on any company mentioned is at , CREDIT SUISSE
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