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Options Industry SnapshotNovember 15, 2018 SIFMA Options Symposium
Henry Schwartz
Supporting data available from [email protected] or 212-372-8020
Themes
• Volume
• Volatility
• Participation
• Market Quality
• Current Issues
PCX
EDGX
-0.4
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
1.0B
2.0B
3.0B
4.0B
5.0B
6.0B
19
73
19
74
19
75
19
76
19
77
19
78
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79
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81
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01
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18
An
nu
al G
row
th
Co
ntr
act
Vo
lum
e
ETF & Equity Index yr/yr chg
Data: Nov 1 2018 Options Clearing Corp and Trade Alert LLC
2018 EST
5.1BVolume
Modern Era
Data: Nov 1 2018 Options Clearing Corp and Trade Alert LLC
290M243M
287M335M 320M
384M 419M 412M 434M499M
554M
1.1B 1.0B1.1B
1.7B
1.4B 1.4B1.5B 1.5B
1.6B1.6B
1.9B
1.8B
2.0B
2.3B2.4B
2.2B 2.2B2.3B
2.1B
1.9B
2.0B
2.6B
0.0B
0.5B
1.0B
1.5B
2.0B
2.5B
3.0B
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
INDEX
ETF
EQUITY
Alternative ETFs
Data: Nov 1 2018 Options Clearing Corp and Trade Alert LLC
M
50 M
100 M
150 M
200 M
250 M
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
CURRENCY (UUP, FXE, FXY, EUO, FXB)
RATES (HYG, TLT, EMB, TBT, LQD...)
COMMODITY (USO, GLD, SLV, UNG, UCO…)
GLOBAL EQUITIES (EWZ, FXI, EFA, EWW, FEZ…)
VOLATILITY (VXX, UVXY, SVYX, VIXY, VXXB…)
Volatility
Data: Nov 2018 Trade Alert LLC
Data: Nov 1 2018 Options Clearing Corp and Trade Alert LLC
0m
50m
100m
150m
200m
250m
300m
350m
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Total Open Interest by Underlying Type
STOCK
INDEX
ETF
Data: Nov 1 2018 Options Clearing Corp and Trade Alert LLC
Jan 21st, 359M ALL TIME RECORD OI
170m
190m
210m
230m
250m
270m
290m
310m
330m
350m
370m
Jan 2nd Feb 9th Mar 17th Apr 22nd May 28th Jul 2nd Aug 7th Sep 14th Oct 19th Nov 23rd Dec 30th
TOTA
L O
I
Open Interest Seasonality2014-2018
2014 OI 2015 OI 2016 OI 2017 OI 2018 OI
Underlyings
Data: Nov 1 2018 Options Clearing Corp and Trade Alert LLC
0
200
400
600
800
January-09 January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17 January-18
Total ETF Listings308
698
0
20
40
60
80
100
January-09 January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17 January-18
Total Index Listings84
30
0
1000
2000
3000
4000
5000
January-09 January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17 January-18
Total Equity Listings2881
3624
3,457
4,347
0
500
1000
1500
2000
2500
3000
3500
4000
4500
5000
0
200000
400000
600000
800000
1000000
1200000
Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov
Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4
2011 2012 2013 2014 2015 2016 2017 2018
UN
DER
LYIN
GS
LIST
ED
CO
NTR
AC
TS L
ISTE
D
Average of STOCK
Average of INDEX
Average of ETF
Average of Products
Contracts Listed11/18 953K
Product Concentration
Data: Nov 1 2018 SEC Edgar and Trade Alert LLC
SPY, 17%
.SPX, 8%
QQQ, 6%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
SPY
.SP
XQ
.VIX
IWM
AA
PL
BA
CG
EEE
MV
XX
AM
DEW
ZFB
TSLA
BA
BA
PB
RN
FLX
AM
ZN XLF
HYG
MSF
TM
UFX
IN
VD
ASN
AP
INTC
XO
PEF
AG
LD SQU
SOTW
TRT
GD
XTL
T F.R
UT C
KR
ESM
HU
VX
Y JDJP
M XB
ID
IAW
FCP
YPL
XLU
AA
LB
A VA
MR
NTL
RY
CSC
OC
AT
FCX
XLE
IBM
GM
SLV
WM
TM
SC
HK
CG
CX
OM VZ
XLI
VA
LE XQ
CO
M DIS
GO
OG
L MP
FESB
UX
CM
CSA G
SC
ZR PG
AM
AT
HD
BID
UR
OK
UC
LFA
BX
CR
ON
CR
MEB
AY
XLK
AD
BE
NU
GT
BM
YO
RC
LX
RT
TQQ
QN
XP
IJN
JTE
VA
ATV
I
Cu
mu
lati
ve %
AD
V
%A
DV
SPY17%
.SPX8%
QQQ6%
.VIX3%
IWM3%
AAPL2%
BAC2%
GE2% EEM
2%
VXX2%
AMD2%
EWZ1%
FB1%
TSLA1%
BABA1%
PBR1%
NFLX1%
AMZN1%
XLF1%
HYG1%
MSFT1%
MU1%
FXI1%
NVDA1%
SNAP1%
Others38%
Premium Concentration
Data: Nov 1 2018 SEC Edgar and Trade Alert LLC
.SPX, 43%
AMZN, 9%
SPY, 9%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
Cu
mu
lati
ve %
AD
V
%A
DV
.SPX, $4.8B
AMZN, $989.3M
SPY, $969.2M
QQQ, $323.9M
TSLA, $257.4M
AAPL, $216.5M
NFLX, $201.2M
.RUT, $190.1M
.NDX, $161.3M
BABA, $153.3M
IWM, $150.8M
FB, $149.4M
NVDA, $129.5M
.VIX, $104.3M
GOOGL, $75.5MVXX, $63.9M
GOOG, $52.6M
MSFT, $51.5M
EWZ, $37.9MUVXY, $37.7M
MU, $37.4M
Others, $1.8B
Alternative Expirations
Data: Nov 1 2018 SEC Edgar and Trade Alert LLC
0%
5%
10%
15%
20%
25%
30%
35%
40%
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
Jun
Au
g
Oct
Dec
Feb
Ap
r
Jun
Au
g
Oct
Dec
Feb
Ap
r
Jun
Au
g
Oct
Dec
Feb
Ap
r
Jun
Au
g
Oct
Dec
Feb
Ap
r
Jun
Au
g
Oct
Dec
Feb
Ap
r
Jun
Au
g
Oct
Dec
Feb
Ap
r
Jun
Au
g
Oct
Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1Qtr2Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3Qtr4
2010 2011 2012 2013 2014 2015 2016 2017 2018
Average of %QTRLY
Average of %WKLY
Short-Dated Shift
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
Jan
Ap
r
Jul
Oct
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
>360DTX
181-360DTX
91-180DTX
31-90DTX
11-30DTX
0-10DTX
Data: Nov 1 2018 Trade Alert LLC
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18
Index Spread Share
NonIndex Spread Share
Complex Orders
Data: Nov 1 2018 Trade Alert LLC
51%38%
46%
72%42%
5M
10M
15M
20M
25M
30M
35M
AM
EX
AR
CA
BO
X
BX
O
BZX C
2
CB
OE
EDG
X
GEM IS
E
MER
C
MIA
X
NO
M
PEA
RL
PH
LX
OCT 2017
NONSPREAD SPREAD
53%
36%
18% 11%
50%
34%
67%
19%
47%
5M
10M
15M
20M
25M
30M
35M
40M
45M
50M
AM
EX
AR
CA
BO
X
BX
O
BZX C
2
CB
OE
EDG
X
GEM IS
E
MER
C
MIA
X
NO
M
PEA
RL
PH
LX
Complex Order VolumeOct 2018, Combined Floor+Electronic
NONSPREAD SPREAD
Complex Orders
ICE
AMEX
ARCA
CBOE
CBOE
C2
BZX
EDGX
NASDAQ
PHLX
NOM
BXO
GEMINI
ISE
MERCURY
BOX
BOX
BOX Floor
MIAX
MIAX
PEARL
Emerald 2019
PFOF or Rebate
Maker Taker
Hybrid
Exchange Landscape
MakeTake45%
PFOF53%
Hybrid2%
FEE TYPE MARKET SHARE 2018 YTD
Data: Nov 1 2018 Trade Alert LLC
Data: Nov 1 2018 Trade Alert LLC
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Exchange Market Share
PEARL
MIAX
BOX
ARCA
AMEX
PHLX
NOM
BXO
GEMINI
ISE
MERCURY
CBOE
C2
EDGX
BZX
Data: Nov 1 2018 Trade Alert LLC
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
Qtr
1
Qtr
2
Qtr
3
Qtr
4
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Exchange Operator Market Share
MIAX
BOX
ICE
NASDAQ
CBOE
Data: Nov 1 2018 Trade Alert LLC
AMEX 7.0%
ARCA 8.1%
BOX 1.8%
BXO 0.4%
C2 3.4%
CBOE 26.5%
EDGX 1.6%
GEMINI 4.3%
ISE 8.3%
MERCURY 0.1%
MIAX 3.9%
NOM 7.8%
PHLX 16.6%
BZX 8.6%
PEARL 1.5%
Nov 2017
ICE 14.6%
BOX 1.8%
BATS/CBOE
38.8%
MIAX 5.2%
NASDAQ 39.6%
Nov 2017
AMEX 7.3%
ARCA 9.2%
BOX 2.3%
BXO 0.3%
C2 2.7%
CBOE 23.7%
EDGX 2.8%
GEMINI 4.4%
ISE 8.2%
MIAX 4.1%
NOM 7.8%
PHLX 14.8%
BZX 7.6%
PEARL 4.7%
Exchange Market ShareQ3 2018
ICE 15.9% BOX
2.2%
CBOE GLOBAL
MARKETS 35.5%MIAX
8.5%
NASDAQ 37.9%
Operator Market Share Q3 2018
Institutional Users
-200
-100
0
100
200
300
400
500
600
700
800
Institutional Option HoldersQuarterly 13F Filings
New
Repeat
Dead
Data: Nov 1 2018 SEC Edgar and Trade Alert LLC
Top Participants
Data: Nov 1 2018 SEC Edgar and Trade Alert LLC
5M
10M
15M
20M
25M
30M
35M
2011 2012 2013 2014 2015 2016 2017 2018
Lon
g O
pti
on
Co
ntr
acts
Rep
ort
ed
BARCLAYS
CITIGROUP
PARALLAX
CITADEL
SUSQUEHANNA
Data: Nov 1 2018 SEC Edgar and Trade Alert LLC
Data: Nov 1 2018 Trade Alert LLC
0
5
10
15
20
25
30
$0.00
$0.01
$0.02
$0.03
$0.04
$0.05
$0.06
$0.07
$0.08
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
2012 2013 2014 2015 2016 2017 2018
CB
OE
VIX
SP
OT
$ S
PR
EAD
BID-ASK TRENDTOP25 Single Stocks
Average of quotedhalfspread
Average of effectivespread
Average of VIX
Data: Nov 1 2018 Trade Alert LLC
0
5
10
15
20
25
30
$0.00
$0.02
$0.04
$0.06
$0.08
$0.10
$0.12
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
Jan
Mar
May Ju
l
Sep
No
v
2012 2013 2014 2015 2016 2017 2018
CB
OE
VIX
SP
OT
$ S
PR
EAD
BID-ASK TRENDMid-tier stocks
Average of quotedhalfspread
Average of effectivespread
Average of VIX
Issues
• Hedge Fund Health
• OTC threat
• Cost vs opportunity
• Lit Size/Auctions/Liquidity
• Market Maker Capital
• Soft Dollar/Regs
Takeaway
• Record Option Volume
• Volatility Regime Changed
• Limited Participation
• Market Quality/Market Structure Concerns
• Current Issues
Thank you!
