BONUS: My Exchange Data Repository
Sharing the public data I collect about exchanges on a consistent basis
Hello friends. I hope everyone’s having a great start to the year. I want to share a bit about my vision for this newsletter in 2022 & some new features that will be slowly rolling out as I get them ready & collect feedback from readers over time.
Way back in July 2021, a former sell-side analyst with Twitter handle @FIGfluencer posted a really insightful thread about the value sell-side firms add to their clients.
In the thread, FIG talks about the secondary & tertiary value sell-side analysts provide to clients apart from their core industry forecasting & research. One of these value-adds comes in the form of raw industry data clients can use for their own models. Instead of spending time gathering & cleaning public information to project a company’s earnings or track performance, buy-side firms rely on their sell-side partners to do some or all of this for them. Even if an analyst’s stock ratings are inaccurate & their research reports verbose, the analyst’s access to deep datasets about an industry help them retain paying customers.
One of my 2022 goals for this newsletter is to begin providing most - if not all - of the same raw data a sell-side analyst would have for the exchange industry. I already collect & monitor plenty of exchange metrics to write my quarterly earnings updates and find candidates for deeper research & analysis - why not make this available to readers?
At the bottom of this post, you’ll find an Excel file that contains some of the core data I keep track of on a consistent basis. It includes:
US equities industry volumes, market share and estimated exchange revenue from 2010-2021
US options industry volumes, market share and estimated exchange revenue from 2011-2021
ICE, CME & CBOE futures volume, open interest & revenue figures from 2011-2021
Tradeweb, MarketAxes & BrokerTec volumes & market share from 2018-2021
I keep track of this data because it feeds directly into each exchange’s historical & projected earnings figures. Using this data, we can start to build a projected P&L for each exchange & understand why certain exchanges are valued above or below their peers.
I plan to publish updated metrics on a consistent basis (at least quarterly) and add to this public dataset over time. Some potential future additions:
Crypto industry volumes, exchange market share, and revenue capture over time
ETF industry volumes
Market data metrics (Annual subscription value by firm, index assets under management, etc…)
International exchange metrics
Exchange industry financials (revenue & EPS by quarter all the way to a full P&L)
My hope is that over time this newsletter will become a low-cost destination for readers looking for sell-side exchange research & market data. This is an ongoing experiment - I welcome reader feedback about the quality of data I’m providing & ideas for other datasets to add in the future.
Enjoy!