CME Group Averaged 17 Million Contracts Per Day in October 2019
CHICAGO, Nov. 4, 2019 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 17 million contracts during October 2019, down 17% from October 2018. Open interest (OI) at the end of October was 132 million contracts, up 3% from October 2018, and up 14% from year-end 2018.
Metals volume averaged 633,000 contracts per day in October 2019, up 11% from October 2018. Highlights include:
-- Record Gold futures OI of 659,371 contracts on October 25
-- Gold futures and options ADV increased 29% to 445,000 contracts
-- Silver futures and options ADV rose 4% to 88,000 contracts
-- Copper options ADV grew 23% to 2,500 contracts
Agricultural volume averaged 1.3 million contracts per day in October 2019, up 3% from October 2018. Highlights include:
-- Record Hog options OI of 478,737 contracts on October 15
-- Grain and Oilseeds futures and options ADV rose 4% to 1.1 million
contracts
-- Corn futures and options ADV increased 3% to 357,000 contracts
-- Soybean futures ADV grew 19% to 301,000 contracts
-- Hard Red Winter Wheat futures and options ADV increased 16% to 53,000
contracts
Energy volume averaged 2.3 million contracts per day in October 2019, down 9% from October 2018. Highlights include:
-- Refined products futures and options ADV grew 2% to 398,000 contracts
-- Heating Oil futures and options ADV grew 28% to 223,000 contracts
-- Brent Crude Oil futures ADV rose 2% to 103,000 contracts
Foreign Exchange volume averaged 804,000 contracts per day in October 2019, down 11% from October 2018. Highlights include:
-- British pound futures and options ADV increased 33% to 159,000 contracts
-- Canadian dollar futures and options ADV rose 9% to 87,000 contracts
Options volume averaged 3.8 million contracts per day in October 2019, down 15% from October 2018. Highlights include:
-- Agricultural options ADV grew 14% to 219,000 contracts
-- Metals options ADV increased 12% to 70,000 contracts
Interest Rate volume averaged 8.6 million contracts per day in October 2019, down 19% from October 2018. Highlights include:
-- 2-Year U.S. Treasury Note futures and options ADV increased 30% to
599,000 contracts
-- Electronic Eurodollar options ADV grew 3% to 557,000 contracts
-- Fed Fund futures ADV rose 28% to 358,000 contracts
-- 5-Year U.S. Treasury Note options ADV increased 55% to 217,000 contracts
Equity Index volume averaged 3.4 million contracts per day in October 2019, down 29% from October 2018. Highlights include:
-- Micro E-mini Equity futures ADV increased 9%, sequentially, to 574,000
contracts
-- E-mini Russell 2000 options ADV increased 16% to 3,200 contracts
BrokerTec fixed income trading activity highlights include:
-- U.S. Repo average daily notional volume increased 3% to $236 billion
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)
Oct 2019 Oct 2018
Trading Days 23 23
PRODUCT LINE Oct 2019 Oct 2018 Percent Change
---
Interest Rates 8,645 10,628 -19%
Equity Indexes 3,380 4,733 -29%
Foreign Exchange
(FX) 804 903 -11%
Energy 2,289 2,524 -9%
Agricultural
Commodities 1,267 1,229 3%
Metals 633 571 11%
Total 17,018 20,589 -17%
VEN
UE Oct 2019 Oct 2018 P Percent Change
Open outcry 1,003 1,169 -14%
CME Globex 15,355 18,790 -18%
Privately negotiated 659 630 5%
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Oct-19 Sep-19 Aug-19 Jul-19
Interest Rates 10,771 10,868 11,776 11,804
Equity Indexes 4,102 3,931 3,896 3,645
Foreign Exchange (FX) 889 850 852 852
Energy 2,490 2,456 2,363 2,394
Agricultural
Commodities 1,307 1,320 1,589 1,732
Metals 775 821 816 711
Total 20,334 20,247 21,292 21,138
VEN
UE Oct-19 Sep-19 Aug-19 Jul-19
Open outcry 1,147 1,177 1,391 1,488
Electronic 18,393 18,282 18,963 18,735
Privately negotiated 795 788 938 914
Average Rate Per Contract (In dollars)
3-Month
Period
Ending
PRODUCT LINE Sep-19 Aug-19 Jul-19 Jun-19
Interest Rates 0.500 0.488 0.481 0.476
Equity Indexes 0.612 0.627 0.650 0.676
Foreign Exchange (FX) 0.720 0.724 0.721 0.713
Energy 1.137 1.145 1.152 1.139
Agricultural Commodities 1.234 1.232 1.202 1.222
Metals 1.414 1.445 1.459 1.455
Total 0.693 0.688 0.688 0.693
BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Volume
(in billion USD unless otherwise stated, single count)
PRODUCT LINE Oct 2019 Oct 2018 Percent Change
U.S. Treasury(1) 154.5 201.3 -23%
U.S. Repo 235.8 229.1 3%
European Repo (in EUR
billions) 257.8 266.3 -3%
Spot FX 68.9 88.7 -22%
[1] Volume information includes
UST Benchmarks and Agencies.
Off-the-Run securities,
including T-Bills, are
provided pursuant to an
agreement with ICAP Securities
USA LLC.
BrokerTec Fixed Income and EBS Foreign Exchange 3-Month Trailing Average Revenue (U.S. dollars in millions)(2)
3-Month Period Ending
BUSINESS LINE Sep-19 Aug-19 Jul-19 Jun-19
BrokerTec 51.1 49.4 48.9 48.5
EBS 49.6 49.7 48.7 48.6
[2] This data is representative of
the subset of legacy NEX Group plc
business revenue that flows into
the Clearing and Transaction Fees
line of the CME Group Income
Statement along with revenue
generated by CME Group futures and
options volume, as well as over-
the-counter swaps cleared.
As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) enables clients to trade futures, options, cash and OTC markets, optimize portfolios, and analyze data - empowering market participants worldwide to efficiently manage risk and capture opportunities. CME Group exchanges offer the widest range of global benchmark products across all major asset classes based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals. The company offers futures and options on futures trading through the CME Globex® platform, fixed income trading via BrokerTec and foreign exchange trading on the EBS platform. In addition, it operates one of the world's leading central counterparty clearing providers, CME Clearing. With a range of pre- and post-trade products and services underpinning the entire lifecycle of a trade, CME Group also offers optimization and reconciliation services through TriOptima, and trade processing services through Traiana.
CME Group, the Globe logo, CME, Chicago Mercantile Exchange, Globex, 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 ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. BrokerTec, EBS, TriOptima, and Traiana are trademarks of BrokerTec Europe LTD, EBS Group LTD, TriOptima AB, and Traiana, Inc., respectively. 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, as the case may be, and have been licensed for use by Chicago Mercantile Exchange Inc. All other trademarks are the property of their respective owners.
CME-G
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SOURCE CME Group
