CHICAGO, Oct. 2, 2019 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 20.2 million contracts during third-quarter 2019, up 30% from third-quarter 2018. September 2019 volume averaged 19.7 million contracts per day, up 13% from September 2018. Open interest (OI) at the end of September was 127 million contracts, up 10% from year-end 2018 and up 6% from September 2018.
Metals volume averaged 818,000 contracts per day in September 2019, up 37% from September 2018, and reached its second-highest monthly ADV on record. Highlights include:
- Record Gold futures OI of 659,000 contracts on September 24
- Record quarterly Gold futures ADV, up 51% to 469,000 contracts
- Record Platinum futures OI of 99,300 contracts on September 13
- Record Platinum futures ADV, up 21% to 37,000 contracts
- Record Silver options ADV, up 109% to 17,000 contracts
- Gold futures and options ADV increased 61% to 549,000 contracts
- Silver futures and options ADV rose 57% to 149,000 contracts
- Copper options ADV rose 45% to 3,000 contracts
Equity Index volume averaged 4 million contracts per day in September 2019, up 18% from September 2018. Highlights include:
- E-mini S&P 500 futures and options ADV grew 3% to 2.4 million contracts
- E-mini Russell 2000 futures and options ADV grew 14% to 214,000 contracts
- E-mini Dow futures and options ADV increased 4% to 194,000 contracts
Options volume averaged 4.1 million contracts per day in September 2019, up 16% from September 2018. Highlights include:
- Interest Rate options ADV grew 23% to 2.7 million contracts
- Equity Index options ADV rose 9% to 678,000 contracts
- Metals options ADV grew 96% to 102,000 contracts
Interest Rate volume averaged 9.9 million contracts per day in September 2019, up 16% from September 2018. Highlights include:
- Record quarterly 2-Year U.S. Treasury Note futures increased 81% to 762,000 contracts
- Record quarterly Ultra 10-Year U.S. Treasury Note futures, up 65% to 267,000 contracts
- Record 153,000 SOFR futures contracts traded on September 17
- Record SOFR futures ADV of 58,000 contracts
- U.S. Treasury futures and options ADV increased 26% to 5.2 million contracts
- Eurodollar options ADV grew 14% to 1.5 million contracts
- Fed Fund futures ADV rose 129% to 494,000 contracts
- Weekly Treasury options ADV increased 10% to 218,000 contracts
Energy volume averaged 2.8 million contracts per day in September 2019, up 10% from September 2018. Highlights include:
- Record 6.4 million Energy futures and options contracts traded on September 16, including a record 3.68 million WTI Crude Oil futures contracts and a record 464,000 NY Harbor ULSD futures contracts
- WTI Crude Oil futures and options ADV increased 19% to 1.6 million contracts
- Brent Crude Oil futures and options ADV rose 30% to 132,000 contracts
- Natural Gas options ADV grew 3% to 120,000 contracts
Foreign Exchange volume averaged 1.1 million contracts per day in September 2019, down 6% from September 2018. Highlights include:
- Record FX Link daily volume of 41,013 contracts, representing $4.27 billion in notional value, on September 18
- Japanese yen futures and options ADV rose 9% to 159,000 contracts
- Canadian dollar futures and options ADV increased 3% to 101,000 contracts
Agricultural volume averaged 1.2 million contracts per day in September 2019, down 8% from September 2018. Highlights include:
- Livestock futures and options ADV rose 7% to 191,000 contracts
- Soybean futures ADV grew 4% to 172,000 contracts
- Live Cattle futures and options ADV rose 3% to 88,000 contracts
- Hard Red Winter Wheat futures ADV increased 1% to 40,000 contracts
BrokerTec fixed income and EBS foreign exchange trading activity highlights include:
- U.S. Treasury average daily notional volume grew 17% to $172 billion
- U.S. Repo average daily notional volume increased 28% to $288 billion
- European Repo average daily notional volume increased 4% to €281 billion
- Spot FX average daily notional volume decreased 10% to $78 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) | |||||
Sep 2019 | Sep 2018 | ||||
Trading Days | 20 | 19 | |||
PRODUCT LINE | Sep 2019 | Sep 2018 | Percent Change | ||
Interest Rates | 9,945 | 8,597 | 16% | ||
Equity Indexes | 3,985 | 3,375 | 18% | ||
Foreign Exchange (FX) | 1,060 | 1,132 | -6% | ||
Energy | 2,777 | 2,514 | 10% | ||
Agricultural Commodities | 1,160 | 1,255 | -8% | ||
Metals | 818 | 598 | 37% | ||
Total | 19,746 | 17,472 | 13% | ||
VENUE | Sep 2019 | Sep 2018 | Percent Change | ||
Open outcry | 1,171 | 1,048 | 12% | ||
CME Globex | 17,770 | 15,730 | 13% | ||
Privately negotiated | 806 | 695 | 16% | ||
QUARTERLY AVERAGE DAILY VOLUME (ADV) | ||||||
Total Exchange ADV (in thousands) | ||||||
3Q 2019 | 3Q 2018 | |||||
Trading Days | 64 | 63 | ||||
PRODUCT LINE | 3Q 2019 | 3Q 2018 | Percent Change | |||
Interest Rates | 10,868 | 7,798 | 39% | |||
Equity Indexes | 3,931 | 2,671 | 47% | |||
Foreign Exchange (FX) | 850 | 944 | -10% | |||
Energy | 2,456 | 2,199 | 12% | |||
Agricultural Commodities | 1,320 | 1,348 | -2% | |||
Metals | 821 | 623 | 32% | |||
Total | 20,247 | 15,584 | 30% | |||
VENUE | 3Q 2019 | 3Q 2018 | Percent Change | |||
Open outcry | 1,177 | 938 | 26% | |||
CME Globex | 18,282 | 14,082 | 30% | |||
Privately negotiated | 788 | 564 | 40% | |||
ROLLING THREE-MONTH AVERAGES | ||||
3-Month Period Ending | ||||
PRODUCT LINE | Sep-19 | Aug-19 | Jul-19 | Jun-19 |
Interest Rates | 10,868 | 11,776 | 11,804 | 11,593 |
Equity Indexes | 3,931 | 3,896 | 3,645 | 3,480 |
Foreign Exchange (FX) | 850 | 852 | 852 | 874 |
Energy | 2,456 | 2,363 | 2,394 | 2,498 |
Agricultural Commodities | 1,320 | 1,589 | 1,732 | 1,839 |
Metals | 821 | 816 | 711 | 633 |
Total | 20,247 | 21,292 | 21,138 | 20,918 |
VENUE | Sep-19 | Aug-19 | Jul-19 | Jun-19 |
Open outcry | 1,177 | 1,391 | 1,488 | 1,501 |
Electronic | 18,282 | 18,963 | 18,735 | 18,505 |
Privately negotiated | 788 | 938 | 914 | 912 |
Average Rate Per Contract (In dollars) | ||||
3-Month Period Ending | ||||
PRODUCT LINE | Aug-19 | Jul-19 | Jun-19 | May-19 |
Interest Rates | 0.488 | 0.481 | 0.476 | 0.473 |
Equity Indexes | 0.627 | 0.650 | 0.676 | 0.703 |
Foreign Exchange (FX) | 0.724 | 0.721 | 0.713 | 0.733 |
Energy | 1.145 | 1.152 | 1.139 | 1.136 |
Agricultural Commodities | 1.232 | 1.202 | 1.222 | 1.219 |
Metals | 1.445 | 1.459 | 1.455 | 1.462 |
Total | 0.688 | 0.688 | 0.693 | 0.695 |
BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Volume | ||||||||||||
PRODUCT LINE | Sep 2019 | Sep 2018 | Percent Change | |||||||||
U.S. Treasury1 | 172.0 | 147.3 | 17% | |||||||||
U.S. Repo | 288.2 | 225.9 | 28% | |||||||||
European Repo (in EUR billions) | 281.0 | 269.1 | 4% | |||||||||
Spot FX | 77.8 | 86.1 | -10% | |||||||||
[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 | ||||
3-Month Period Ending | ||||
BUSINESS LINE | Aug-19 | Jul-19 | Jun-19 | May-19 |
BrokerTec | 49.4 | 48.9 | 48.5 | 48.4 |
EBS | 49.7 | 48.7 | 48.6 | 48.5 |
[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.
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