December 4, 2018 - 7:30 AM EST
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CME Group Averaged 21.7 Million Contracts Per Day in November 2018, Up 21% from November 2017

- Record Energy futures and options monthly average daily volume of 3.1 million contracts - Record Energy options monthly average daily volume of 492,000 contracts

CHICAGO, Dec. 4, 2018 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 21.7 million contracts per day in November 2018, up 21 percent from November 2017. Open interest at the end of November was 128 million contracts, up 4 percent from November 2017 and up 19 percent from year-end 2017.

Equity Index volume averaged 3.7 million contracts per day in November 2018, up 35 percent from November 2017. Highlights include:

  • E-mini S&P 500 futures and options ADV increased 26 percent to 2.5 million contracts, including E-mini S&P 500 futures ADV, up 34 percent to 1.8 million contracts
  • E-mini Nasdaq-100 futures and options ADV, up 95 percent to 635,000 contracts
  • E-mini S&P 500 Weekly options ADV rose 5 percent to 317,000 contracts
  • E-mini Dow futures and options ADV rose 80 percent to 233,000 contracts
  • E-mini Russell 2000 futures and options ADV grew 38 percent to 151,000 contracts
  • E-mini S&P Select Sector Index futures and options ADV rose 258 percent to 13,000 contracts

Interest Rate volume averaged 12 million contracts per day in November 2018, up 27 percent from November 2017. Highlights include:

  • Record U.S. Treasury options daily open interest of 10.6 million contracts on November 21
  • Record Weekly Treasury options ADV, up 153 percent to 293,000 contracts
  • U.S. Treasury futures and options ADV increased 36 percent to 7.5 million contracts, including U.S. Treasury futures ADV, up 27 percent to 6.1 million contracts, and U.S. Treasury options ADV, up 104 percent to 1.4 million contracts
  • Eurodollar futures and options ADV grew 10 percent to 4.1 million contracts, including Eurodollar futures electronic ADV, up 20 percent to 2.7 million contracts
  • Ultra U.S. Treasury Bond futures and options ADV increased 28 percent to 305,000 contracts
  • Fed Fund futures ADV rose 102 percent to 268,000 contracts 
  • Ultra 10-year U.S. Treasury Note futures and options ADV grew 31 percent to 256,000 contracts

Options volume averaged 4.3 million contracts per day in November 2018, up 23 percent from November 2017. Highlights include:

  • Record Energy options ADV, up 31 percent to 492,000 contracts
  • Electronic options ADV grew 36 percent to 3 million contracts
  • Interest Rate options ADV increased 32 percent to 2.7 million contracts
  • Equity Index options ADV rose 6 percent to 801,000 contracts
  • Agricultural options ADV grew 3 percent to 207,000 contracts
  • Metals options ADV increased 30 percent to 55,000 contracts

Energy volume averaged a record 3.1 million contracts per day in November 2018, up 16 percent from November 2017. Highlights include:

  • Record Energy futures and options daily volume of 5.1 million contracts, including record 1.6 million Henry Hub Natural Gas futures and a record 1 million energy options on November 14
  • Record Henry Hub Natural Gas futures and options ADV, up 36 percent to 902,000 contracts
  • Record WTI Crude Oil options (LO) ADV, up 58 percent to 279,000 contracts
  • Record Heating Oil futures ADV, up 27 percent to 215,000 contracts
  • WTI Crude Oil futures and options ADV increased 6 percent to 1.7 million contracts
  • Gasoline futures and options ADV grew 6 percent to 192,000 contracts
  • Brent Crude Oil futures and options ADV, up 47 percent to 125,000 contracts

Foreign Exchange volume averaged 904,000 contracts per day in November 2018, down 1 percent from November 2017. Highlights include:

  • Australian dollar futures and options ADV rose 14 percent to 113,000 contracts
  • Canadian dollar futures and options ADV grew 7 percent to 79,000 contracts
  • Mexican peso futures and options ADV increased 27 percent to 62,000 contracts

Agricultural volume averaged 1.5 million contracts per day in November 2018, down 6 percent from November 2017. Highlights include:

  • Livestock futures ADV grew 4 percent to 141,000 contracts
  • Lean Hog futures and options ADV rose 14 percent to 71,000 contracts
  • Soybean options ADV grew 15 percent to 63,000 contracts
  • Wheat options ADV rose 12 percent to 26,000 contracts

Metals volume averaged 624,000 contracts per day in November 2018, down 17 percent from November 2017. Highlights include: 

  • Precious Metals options ADV increased 27 percent to 53,000 contracts
  • Gold options ADV grew 23 percent to 45,000 contracts
  • Silver options ADV rose 65 percent to 8,000 contracts

BrokerTec fixed income and EBS foreign exchange trading activity highlights, in terms of average daily notional value, include: 

  • U.S. Treasury average daily notional value increased 11 percent to $174.2 billion
  • European Repo average daily notional value increased 5 percent to €252.7 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)



Nov 2018

Nov 2017


Trading Days

21

21






PRODUCT LINE

Nov 2018

Nov 2017

Percent Change

Interest Rates

11,889

9,348

27%

Equity Indexes

3,679

2,725

36%

Foreign Exchange (FX)

904

915

-1%

Energy

3,128

2,691

16%

Agricultural Commodities

1,460

1,552

-6%

Metals

624

749

-17%

   Total

21,684

17,979

22%





VENUE

Nov 2018

Nov 2017

P Percent Change

Open outcry

1,059

1,078

-2%

CME Globex

19,909

16,268

22%

Privately negotiated

716

635

13%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands) 


3-Month Period Ending

PRODUCT LINE

Nov-18

Oct-18

Sep-18

Aug-18

Interest Rates

10,436

9,332

7,798

7,700

Equity Indexes

3,973

3,501

2,671

2,645

Foreign Exchange (FX)

972

963

944

961

Energy

2,723

2,318

2,199

2,229

Agricultural Commodities

1,314

1,306

1,348

1,584

Metals

597

598

623

644

   Total

20,014

18,018

15,584

15,762






VENUE

Nov-18

Oct-18

Sep-18

Aug-18

Open outcry

1,096

1,050

938

937

Electronic

18,240

16,356

14,082

14,270

Privately negotiated

678

612

564

555

Average Rate Per Contract (In dollars)


3-Month Period Ending

PRODUCT LINE

Oct-18

Sep-18

Aug-18

Jul-18

Interest Rates

0.480

0.493

0.491

0.487

Equity Indexes

0.731

0.761

0.780

0.799

Foreign Exchange (FX)

0.719

0.743

0.738

0.733

Energy

1.157

1.187

1.181

1.161

Agricultural Commodities

1.244

1.258

1.269

1.268

Metals

1.374

1.379

1.398

1.392

   Total

0.714

0.753

0.767

0.756

BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Value
(in billion USD unless otherwise stated, single count)

PRODUCT LINE

 Nov 2017

Nov 2018

YoY %
Change

Oct 2018

MoM %
Change
 

U.S. Treasury1

156.7

174.2

11%

201.3

-13%

U.S. Repo

252.6

230.8

-9%

229.1

1%

European Repo (in EUR billions)

240.4

252.7

5%

266.3

-5%

Spot FX

82.3

81.6

-1%

88.7

-8%

 


12 Month ended November 30

PRODUCT LINE

2017

2018

   % Change

U.S. Treasury

161.0

168.7

5%

U.S. Repo

226.7

238.6

5%

European Repo (in EUR billions)

222.3

257.4

16%

Spot FX

84.1

89.6

6%


[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.

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 ratesequity indexesforeign exchangeenergyagricultural 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


Source: PR Newswire (December 4, 2018 - 7:30 AM EST)

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