Cboe Global Markets Reports March 2021 Trading Volume

Cboe Global Markets, Inc. (Cboe: CBOE), a market operator and global trading solutions provider, today reported March monthly trading volume statistics across its global business lines  and provided guidance for selected revenue per contract/net revenue capture metrics for the first quarter of 2021.

The data sheet "Cboe Global Markets Monthly Volume & RPC/Net Revenue Capture Report" contains an overview of certain March trading statistics and market share by business segment, volume in select index products, and RPC/net capture, which is reported on a one-month lag, across business lines.

March and First Quarter 2021 Trading Volume Highlights
|Options

• Total combined volume at Cboe Global Markets' four options exchanges set a new monthly volume record with 266 million contracts traded. Total options volume also set a new quarterly volume record with 773 million contracts traded in the first quarter of 2021.
• Average daily volume (ADV) for index options of 1.9 million increased 19 percent sequentially compared to 1.6 million in the fourth quarter of 2020.
• On March 1, Cboe successfully launched trading in Mini-Russell 2000® Index options (MRUT), in its first full month of trading, ADV in MRUT was 605 contracts.

Futures

• Quarterly ADV in Cboe Volatility Index® (VIX®) futures was 237,183 contracts, up 63 percent from the fourth quarter of 2020. For the sixth consecutive month, VIX futures average daily open interest increased, reaching 385,789 contracts in March.
• ADV in Mini VIX (VXM) futures outperformed the previous quarter with 16,963 contracts traded per day, up 35 percent from the fourth quarter of 2020.
• Quarterly ADV in Cboe® iBoxx® iShares® $ High Yield Corporate Bond Index (IBHY) futures reached a new high of 1,200 contracts traded, up 59 percent from the fourth quarter of 2020. In total, first quarter 2021 volume in IBHY futures represented more than $10.6 billion in notional value.
• Quarterly ADV in Cboe® iBoxx® iShares® $ Investment Grade Corporate Bond Index (IBIG) futures reached a new high of 580 contracts traded, up 184 percent from the fourth quarter of 2020. In total, first quarter 2021 volume in IBIG futures represented more than $5.1 billion in notional value.

North American Equities

• Cboe Global Markets' four U.S. equities exchanges (BZX, BYX, EDGX and EDGA) combined set a new quarterly ADV record with 2.2 billion shares traded per day during the first quarter of 2021.
• On March 8, Cboe EDGX Equities Exchange launched Early Trading Hours, increasing Cboe EDGX Equities Exchange's total monthly market share in the 4:00 to 7:00 a.m. ET session to 8.7 percent.
• MATCHNow's Conditional Order Book set a new monthly ADV record with 756,917 shares traded in March.

European Equities

• After successfully re-introducing Swiss securities onto its UK order books in February, Cboe's market share in this segment increased from 9 percent to 11 percent in March and its average daily notional value (ADNV) increased from €398 million to €560 million over February 2021.
• Cboe Europe Periodic Auctions reported ADNV of €1.4 billion, up 7 percent over February 2021, its second-highest ADNV since launching in 2015.
• Cboe Closing Cross (3C), Cboe Europe's post-close trading service, set a new monthly ADNV record of €54 million, surpassing the previous record of €42 million in February 2021.

Global FX

• Cboe SEF NDF trading saw its second-highest monthly ADV with $197 million notional traded.
• Global FX Spot Full Amount saw its second-highest monthly ADV with $11.3 billion notional traded.

First-Quarter 2021 RPC/Net Revenue Capture Guidance
Options
The company currently expects RPC for total options for the first quarter of 2021 to be 2 to 3 percent higher than the amounts noted below for the two months ended February 28, 2021, primarily reflecting the higher RPC expected for multi-listed options for March compared to the two-month average, as well as a larger percentage of volume from index options, which have a higher RPC. The RPC for multi-listed options for the first quarter is expected to be 1 to 2 percent above the two-month average, reflecting lower volume-related rebates in March. The RPC for index options is expected to be 1 to 2 percent higher than the two-month average noted below, reflecting a mix shift in products traded, with SPX options accounting for a higher percentage of index options traded in March. 

Futures
The RPC for futures in the first quarter of 2021 is expected to be in line with the two-month average noted below.

U.S. Equities Exchange Matched
The revenue capture for U.S. Equities exchange-matched volume for the first quarter of 2021 is expected to be 6 to 7 percent below the two-month average noted below, primarily due to a shift in the mix of shares traded, reflecting a higher percentage of shares priced at or above a dollar versus shares priced below a dollar, resulting in higher volume-based rebates in March versus the two-month average.

Canadian Equities
The revenue capture for Canadian Equities for the first quarter of 2021 is expected to be 1 to 2 percent above the two-month average noted below, primarily reflecting a shift in market activity composition in March.

European Equities
The revenue capture for European Equities for the first quarter of 2021 is expected to be 1 to 2 percent below the two-month average noted below, reflecting a shift in the mix of volume by order book type.

Global FX
The revenue capture for Global FX for the first quarter of 2021 is expected to be in line with the two-month average.

These expectations are estimated, preliminary and may change. There can be no assurance that our final RPC for the three months ended March 31, 2021, will not differ materially from these expectations.

The following represents average revenue per contract (RPC) or net capture based on a two-month average and a three-month rolling average, reported on a one-month lag. For Options and Futures the average RPC represents total net transaction fees recognized for the period divided by total contracts traded during the period for options exchanges: BZX Options, Cboe Options, C2 Options and EDGX Options; futures include contracts traded on Cboe Futures Exchange, LLC (CFE). For U.S. Equities, "net capture per 100 touched shares" refers to transaction fees less liquidity payments and routing and clearing costs divided by the product of one-hundredth ADV of touched shares on BZX, BYX, EDGX and EDGA and the number of trading days for the period. For Canadian Equities, "net capture per 10,000 touched shares" refers to transaction fees divided by the product of one-ten thousandth ADV of shares for MATCHNow and the number of trading days for the period. For European Equities, "net capture per matched notional value" refers to transaction fees less liquidity payments in British pounds divided by the product of ADNV in British pounds of shares matched on Cboe Europe Equities and the number of trading days. For Global FX, "net capture per one million dollars traded" refers to transaction fees less liquidity payments, if any, divided by the Spot and SEF products of one-thousandth of ADNV traded on the Cboe FX Markets and the number of trading days, divided by two, which represents the buyer and seller that are both charged on the transaction. Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.