CME Group Reached Average Daily Volume of 18 Million Contracts in November 2017, up 21 Percent from October
CHICAGO, Dec. 4, 2017 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that November 2017 average daily volume (ADV) reached 18 million contracts, down 14 percent from the record November 2016 average daily volume, but up 21 percent compared with October 2017 and representing the second highest monthly average daily volume to date in 2017. CME Group November 2017 options volume averaged 3.5 million contracts per day, down 18 percent versus November 2016, with electronic options averaging 2.2 million contracts per day, down 6 percent from the same period last year. Open interest at the end of November was 123 million contracts, up 9 percent from the end of November 2016.
Agricultural volume averaged 1.6 million contracts per day in November 2017, up 14 percent from November 2016, and up 32 percent from October 2017. Highlights include:
-- Corn futures and options ADV was up 27 percent to 582,000 contracts
-- Electronic Agricultural options ADV increased 16 percent to 156,000
contracts
-- Livestock futures ADV grew 20 percent to 135,000 contracts
Metals volume averaged a record 749,000 contracts per day in November 2017, up 4 percent from November 2016, and up 33 percent from October 2017. Highlights include:
-- Gold futures and options ADV was up 11 percent to 453,000 contracts,
with record Gold futures ADV of 416,000 contracts
-- Silver futures and options ADV was up 13 percent to 126,000 contracts
-- Copper options ADV increased 158 percent
Energy volume averaged 2.7 million contracts per day in November 2017, down 3 percent from November 2016, but up 12 percent from October 2017. Highlights include:
-- WTI Crude Oil futures ADV was up 1 percent to 1.3 million contracts
-- Electronic Natural Gas futures and options ADV increased 18 percent to
566,000 contracts
-- Natural Gas options rose 18 percent in ADV to 151,000 contracts
-- Heating Oil futures ADV increased 1 percent to 169,000 contracts
Foreign exchange volume averaged 915,000 contracts per day in November 2017, down 7 percent from November 2016, but up 3 percent from October 2017. Highlights include:
-- British pound futures and options reached ADV of 159,000 contracts, up
16 percent
-- Emerging market currency pairs futures and options saw increased ADV,
with Indian rupee up 185 percent, Russian ruble up 70 percent, South
African rand up 37 percent and Brazilian real up 8 percent
Equity Index volume averaged 2.7 million contracts per day in November 2017, down 14 percent from November 2016, but up 22 percent from October 2017. Highlights include:
-- E-mini Nasdaq 100 futures and options ADV grew 22 percent to 325,000
contracts, including 28 percent growth in End of Month (EOM) E-mini
Nasdaq 100 options and 49 percent growth in Weekly E-mini Nasdaq 100
options
-- S&P 500 EOM options achieved 73 percent growth and E-mini S&P 500 EOM
options saw 5 percent growth
-- Following CME Group's launch of Russell 2000 futures in July, they
averaged 109,000 contracts per day in November
Interest rate volume averaged 9.3 million contracts per day in November 2017, down 21 percent from November 2016, but up 23 percent from October 2017. Highlights include:
-- Overall Interest Rate futures and options open interest hit a record 79
million contracts on November 22
-- Treasury futures reached record daily volume of 13.3 million contracts
on November 27
-- 2-Year Treasury futures and options ADV increased 28 percent to a record
701,000 contracts, including 95 percent growth in 2-Year Treasury
options ADV
-- Ultra-Treasury Bond futures and options ADV increased 21 percent to a
record 238,000 contracts and Ultra 10-Year Treasury Note futures and
options increased 32 percent to a record 195,000 contracts
Footnote: To see CME Group daily over-the-counter (OTC) notional cleared volumes and open interest, monthly OTC notional cleared volumes and monthly total trade count, go to http://www.cmegroup.com/education/cme-volume-oi-records.html
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
(in thousands)
Nov 2017 Nov 2016
-------- --------
Trading Days 21 21
PRODUCT LINE Nov 2017 Nov 2016 Percent
Change
-------- -------- --------
Interest Rates 9,348 11,848 -21%
Equity Indexes 2,725 3,179 -14%
Foreign Exchange
(FX) 915 987 -7%
Energy 2,691 2,772 -3%
Agricultural
Commodities 1,552 1,363 14%
Metals 749 718 4%
--- --- ---
Total 17,979 20,867 -14%
VENUE Nov 2017 Nov 2016 Percent
Change
-------- -------- --------
Open outcry 1,077 1,441 - 25%
CME Globe 16,268 18,378 -11%
Privately
negotiated 635 1,048 -39%
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT
LINE Nov-17 Oct-17 Sep-17 Aug-17
Interest
Rates 8,379 7,844 7,424 7,199
Equity
Indexes 2,667 2,658 2,624 2,665
Foreign
Exchange
(FX) 1,014 976 971 898
Energy 2,579 2,617 2,693 2,695
Agricultural
Commodities 1,284 1,231 1,381 1,580
Metals 657 615 611 563
--- --- --- ---
Total 16,580 15,942 15,704 15,600
VENUE Nov-17 Oct-17 Sep-17 Aug-17
Open
outcry 1,106 1,025 889 858
Electronic 14,872 14,349 14,264 14,139
Privately
negotiated 604 568 552 603
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT
LINE Oct-17 Sep-17 Aug-17 Jul-17
Interest
Rates 0.471 0.485 0.490 0.489
Equity
Indexes 0.732 0.738 0.734 0.740
Foreign
Exchange
(FX) 0.783 0.796 0.801 0.803
Energy 1.077 1.072 1.062 1.100
Agricultural
Commodities 1.257 1.251 1.269 1.275
Metals 1.319 1.376 1.420 1.459
----- ----- ----- -----
Total 0.726 0.749 0.761 0.759
As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk. Through its exchanges, CME Group offers the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals. CME Group provides electronic trading globally on its CME Globe platform. The company also offers clearing and settlement services across asset classes for exchange-traded and over-the-counter derivatives through CME Clearing. CME Group's products and services ensure that businesses around the world can effectively manage risk and achieve growth.
CME Group, the Globe logo, CME, Chicago Mercantile Exchange, Globe and E-mini are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago Board of Trade are trademarks of Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and Clear Port are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. Dow Jones, Dow Jones Industrial Average, S&P 500 and S&P are service and/or trademarks of Dow Jones Trademark Holdings LLC, Standard & Poor's Financial Services LLC and S&P/Dow Jones Indices LLC and have been licensed for use by Chicago Mercantile Exchange Inc. All other trademarks are the property of their respective owners.
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SOURCE CME Group
