Weeden Market Structure Fact Book

Size: px

Start display at page:

Download "Weeden Market Structure Fact Book"

Carmel Waters
5 years ago
Views:

Weeden Market Structure Fact Book November 2018 Updates It was a volatile month in the energy markets as crude was down over 2 while natural gas was up over 4; the energy sector was down ~2%.

1 Weeden Market Structure Fact Book November 2018 Updates It was a volatile month in the energy markets as crude was down over 2 while natural gas was up over 4; the energy sector was down ~2%. The Russell 2000 was up 1.5% while the S&P 500 finished the month up 2%. The market was led by REITs and Health Care which finished up 5% and 7% respectively. The SEC adopted amendments to Rule 606, which will require broker dealers to be more transparent on their order routing practices as well as disclosing the rebates that the broker receives from various venues. On November 7th ITG agreed to be acquired by Virtu Financial for $30.30 in cash, a ~5 premium to pre-rumor prices. This publication is prepared by Weeden & Co.'s trading department. Weeden & Co. does not produce research, nor does it have a research department. This publication is for information purposes only and is based on information and data from sources considered to be reliable, but it is not guaranteed as to accuracy and does not purport to be complete and are subject to change without notice. This publication is neither intended nor should be considered as an offer or the solicitation of an offer to sell or buy any security or other financial product. Nothing contained herein is intended to be, nor shall it be construed as, investment advice. Information contained herein provides insufficient information upon which to base an investment decision. Any comments or statements made herein do not necessarily reflect those of Weeden & Co. LP or its affiliates Weeden & Co. LP. Sources: Weeden, Bloomberg, S&P, Russell, Finra, BATS Weeden Program Trading Group 2018 Weeden & Co. LP 1

2 Table of Contents Self-Traded Strategy Usage... 3 Correlations and Volumes Venue Market Share Statistics... 4 U.S. IPO Executions... 4 Equity Fund Flows... 4 ATS Market Share Statistics Non-ATS Market Share Statistics... 7 Market-On-Open Statistics... 8 Market-On-Close Statistics... 9 Market Structure Highlights Contacts Important 2018 Dates January 3, 2018 MiFID II to begin. Early 2018 Nasdaq plans to begin trading Bitcoin futures March 2018 ESMA to publish Double Volume Cap Data March 18, SIFMA Compliance and Legal Annual Seminar in Florida April 18, 2018 Equity Market Structure Conference in New York May 15, 2018 Consolidated Audit trail publishes specifications for submission of customer information May 21-23, 2018 FINRA s 2018 Annual Conference in Washington, DC. October 1, 2018 SIFMA annual meeting between policymakers, regulators and market experts October 3, 2018 Tick Size Pilot program ends November 15, 2018 Large broker-dealers required to report to CAT November 15, 2019 Small broker dealers must begin reporting to CAT Weeden Program Trading Group 2018 Weeden & Co. LP 2

3 CBOE Vol & Correlation % of Total Volume Self-Traded Strategy Usage November 2018 Strategy Breakdown Benchmark Strategies Liquidity Seeking Strategy Nov '18 Nov '17 CloseIQ 4.7% 4.9% POV 3.9% 3.9% TWAP 14.4% 3.5% VWAP 38.1% 36.9% Custom 1.2% 0.4% Bullseye 5.1% 13.9% Capture 7.2% 4.8% Ghost 8.3% 17.7% OnePipe 17.2% 14. VWAP, 38.1% TWAP, 14.4% Bullseye, 5.1% Capture, 7.2% CloseIQ, 4.7% Custom, 1.2% Ghost, 8.3% OnePipe, 17.2% POV, 3.9% Correlations and Volumes 25% 2 15% November ETF Volume% Flat MOM 23% 22% 22% 19% % 18% 18% 19% 18% 18% 16% 1 5% Nov Dec Jan Feb Mar Apr May June Jul Aug Sep Oct Nov US Implied Correlations and Volatility End of November U.S. Market Volumes ICJ Index VIX Index 14,000 12, ,000 8,000 6,000 4,000 2,000 0 Jan-17 Feb-17 Mar-17 May-17 Jun-17 Aug-17 Sep-17 Nov-17 Dec-17 Jan-18 Mar-18 Apr-18 Jun-18 Jul-18 Sep-18 Oct Weeden Program Trading Group 2018 Weeden & Co. LP 3

4 Flow in Billions Notional Value ($Bn) $Bln (USD) 2018 Venue Market Share Statistics Avg. Daily Notional Turnover (June excl. Russell Recon) Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Venue Breakdown - Nov 2018 TRFs 43.5 BATs BZX 5.13% NYSE 11.48% Boston 3.16% IEX 2.14% NASDAQ 12.91% BATs BYX ARCA4.46% 8.46% NYSE American 0.33% PSX 0.68% CHX 0.5 Edge A 1.28% Edge X 5.98% U.S. IPO Executions U.S. IPO Executions ($Bn) $12 $10 $9.72 $8 $7.00 $5.70 $6 $4.81 $4.87 $5.22 $4.52 $4 $3.56 $3.03 $1.34 $1.40 $1.65 $2 $0.35 $0 Nov'17 Dec' 17 Jan' 18 Feb' 18 Mar'18 Apr'18 May'18 Jun '18 Jul '18 Aug '18 Sep '18 Oct '18 Nov '18 Equity Fund Flows Domestic Equity Funds Experienced ~$14.1b of Outflows, Intl Funds Experienced Outflows of ~$800m- Nov Nov 17 Dec 17 Jan 18 Feb 18 Mar 18 Apr 18 May 18 Jun 18 Jul 18 Aug 18 Sep 18 Oct 18 Nov 18 Domestic Intl Weeden Program Trading Group 2018 Weeden & Co. LP 4

5 5/12/2014 6/12/2014 7/12/2014 8/12/2014 9/12/ /12/ /12/ /12/2014 1/12/2015 2/12/2015 3/12/2015 4/12/2015 5/12/2015 6/12/2015 7/12/2015 8/12/2015 9/12/ /12/ /12/ /12/2015 1/12/2016 2/12/2016 3/12/2016 4/12/2016 5/12/2016 6/12/2016 7/12/2016 8/12/2016 9/12/ /12/ /12/ /12/2016 1/12/2017 2/12/2017 3/12/2017 4/12/2017 5/12/2017 6/12/2017 7/12/2017 8/12/2017 9/12/ /12/ /12/ /12/2017 1/12/2018 2/12/2018 3/12/2018 4/12/2018 5/12/2018 6/12/2018 7/12/2018 8/12/2018 9/12/ /12/ /12/2018 5/12/2014 6/12/2014 7/12/2014 8/12/2014 9/12/ /12/ /12/ /12/2014 1/12/2015 2/12/2015 3/12/2015 4/12/2015 5/12/2015 6/12/2015 7/12/2015 8/12/2015 9/12/ /12/ /12/ /12/2015 1/12/2016 2/12/2016 3/12/2016 4/12/2016 5/12/2016 6/12/2016 7/12/2016 8/12/2016 9/12/ /12/ /12/ /12/2016 1/12/2017 2/12/2017 3/12/2017 4/12/2017 5/12/2017 6/12/2017 7/12/2017 8/12/2017 9/12/ /12/ /12/ /12/2017 1/12/2018 2/12/2018 3/12/2018 4/12/2018 5/12/2018 6/12/2018 7/12/2018 8/12/2018 9/12/ /12/ /12/2018 Percent of Tier1 Flow ATS Market Share Statistics 3 ATS Tier 1 Market Share (Total Tier 1 volume as denominator) 25% 2 15% 1 5% AQUA BIDS BLKX CBLC CROS CXCX DBAX DLTA EBXL IATS ICBX ITGP JPMX KCGM LATS LMNX LQNA LQNT MLIX MSPL MSRP MSTX UBSA USTK WDNX XIST XSTM SGMT JPBX PROS CODA ATS Tier 1 Total Market Share (Total U.S. Market Volumes as denominator) % % 0. AQUA BIDS BLKX CBLC CROS CXCX DBAX DLTA EBXL IATS ICBX ITGP JPMX KCGM LATS LMNX LQNA LQNT MLIX MSPL MSRP MSTX UBSA USTK WDNX XIST XSTM SGMT JPBX INCR CODA Weeden Program Trading Group 2018 Weeden & Co. LP 5

6 5/12/2014 6/12/2014 7/12/2014 8/12/2014 9/12/ /12/ /12/ /12/2014 1/12/2015 2/12/2015 3/12/2015 4/12/2015 5/12/2015 6/12/2015 7/12/2015 8/12/2015 9/12/ /12/ /12/ /12/2015 1/12/2016 2/12/2016 3/12/2016 4/12/2016 5/12/2016 6/12/2016 7/12/2016 8/12/2016 9/12/ /12/ /12/ /12/2016 1/12/2017 2/12/2017 3/12/2017 4/12/2017 5/12/2017 6/12/2017 7/12/2017 8/12/2017 9/12/ /12/ /12/ /12/2017 1/12/2018 2/12/2018 3/12/2018 4/12/2018 5/12/2018 6/12/2018 7/12/2018 8/12/2018 9/12/ /12/2018 5/12/2014 6/12/2014 7/12/2014 8/12/2014 9/12/ /12/ /12/ /12/2014 1/12/2015 2/12/2015 3/12/2015 4/12/2015 5/12/2015 6/12/2015 7/12/2015 8/12/2015 9/12/ /12/ /12/ /12/2015 1/12/2016 2/12/2016 3/12/2016 4/12/2016 5/12/2016 6/12/2016 7/12/2016 8/12/2016 9/12/ /12/ /12/ /12/2016 1/12/2017 2/12/2017 3/12/2017 4/12/2017 5/12/2017 6/12/2017 7/12/2017 8/12/2017 9/12/ /12/ /12/ /12/2017 1/12/2018 2/12/2018 3/12/2018 4/12/2018 5/12/2018 6/12/2018 7/12/2018 8/12/2018 9/12/ /12/2018 ATS Market Share Statistics 3 ATS Tier 2 Market Share (Total ATS Tier 2 volume as denominator) 25% 2 15% 1 5% AQUA BIDS BLKX CBLC CROS CXCX DBAX EBXL IATS ICBX ITGP JPMX KCGM LATS LMNX LQNA LQNT MLIX MSPL MSRP MSTX PDQX UBSA USTK WDNX XIST XSTM SGMT JPBX INCR CODA 1.4 ATS Tier 2 Total Market Share (Total U.S. Market Volumes as denominator) AQUA BIDS BLKX CBLC CROS CXCX DBAX EBXL IATS ICBX ITGP JPMX KCGM LATS LMNX LQNA LQNT MLIX MSPL MSRP MSTX PDQX UBSA USTK WDNX XIST XSTM SGMT JPBX INCR CODA Weeden Program Trading Group 2018 Weeden & Co. LP 6

7 Non-ATS Market Share Statistics 3 25% 2 15% 1 5% Tier 1 Non-ATS November Volume % (ATS volume in denominator) Weeden Program Trading Group 2018 Weeden & Co. LP 7

8 Market-On-Open Statistics Average Open Size as % of Daily Volume by Venue 1.8% 1.6% 1.4% 1.2% % 0.6% 0.4% 0.2% NASDAQ NYSE % 1.6% 1.4% 1.2% % 0.6% 0.4% 0.2% Average Open Size as % of Daily Volume by Market Cap S&P 500 S&P 400 S&P 600 Weeden Program Trading Group 2018 Weeden & Co. LP 8

9 Market-On-Close Statistics Average Close Size as % of Daily Volume by Venue 1 9% 8% 7% 6% 5% 4% 3% 2% 1% NASDAQ NYSE 12% Average Close Size as % of Daily Volume by Market Cap 1 8% 6% 4% 2% S&P 500 S&P 400 S&P 600 Weeden Program Trading Group 2018 Weeden & Co. LP 9

10 Market Structure Highlights The NYSE announced that the migration to the new Pillar technology will finally be completed in July As part of these changes, MOC imbalance information will begin to be disseminated at 3:50pm instead of 3:45pm. Link Virtu announced that they would acquire ITG for just shy of $1bn. On the same day, the SEC announced that they settled charges with ITG and affiliate AlterNet Securities regarding misstatements and omissions about the operation of POSIT. Link SIFMA Insights: US Equity Capital Formation Primer. An exploration of the IPO process and listings exchanges. SIFMA published a primer on capital formation in the US which has some interesting statistics as well as updates on the Tick Size Pilot and the roundtable on thinly traded names. Link The SEC adopted amendments to Rule 606, which will require broker dealers to be more transparent on their order routing practices as well as disclosing the rebates that the broker receives from various venues. The compliance date is set to be 180 days from when the filing was published in the Federal Register which would be mid May Link Weeden Program Trading Group 2018 Weeden & Co. LP 10

11 Contacts Bill Lenich Head of Program Trading Program Trading Group 145 Mason Street Greenwich, CT Office: Patrick J. O Donohue, CFA Head of Event Driven Strategy Program Trading Group 145 Mason Street Greenwich, CT Office: odonohue@weedenco.com Cash Trading Desk: Program Trading Desk: International Trading Desk: Derivatives Trading Desk: Algorithmic Trading Desk: This publication is prepared by Weeden & Co.'s trading department. Weeden & Co. does not produce research, nor does it have a research department. This publication is for information purposes only and is based on information and data from sources considered to be reliable, but it is not guaranteed as to accuracy and does not purport to be complete and are subject to change without notice. This publication is neither intended nor should be considered as an offer or the solicitation of an offer to sell or buy any security or other financial product. Nothing contained herein is intended to be, nor shall it be construed as, investment advice. Information contained herein provides insufficient information upon which to base an investment decision. Any comments or statements made herein do not necessarily reflect those of Weeden & Co. LP or its affiliates Weeden & Co. LP. Sources: Weeden, Bloomberg, S&P, Russell, Finra, BATS Weeden Program Trading Group 2018 Weeden & Co. LP 11

Weeden Market Structure Fact Book

Weeden Market Structure Fact Book June 2018 Updates The New York Stock Exchange criticized the SEC, claiming the proposed SEC fee plan would be too disruptive and could potentially cost investors $1 Billion.