- European Equities ADNV up 9 percent and Global FX ADNV up nearly 4 percent over February 2021
- Options ADV up 18 percent and U.S. Equities – Exchange Matched ADV up nearly 20 percent year-to-date
- In March, Cboe successfully launched trading in Mini-Russell 2000® Index options and U.S. Equities Early Trading Hours
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.
Trading Volume for Current Month |
Year-To-Date |
|||||||
March |
March |
% |
February |
% |
% |
|||
2021 |
2020 |
Chg |
2021 |
Chg |
2021 |
2020 |
Chg |
|
OPTIONS VOLUME (contracts, thousands) |
Year-To-Date |
|||||||
Trading Days |
23 |
22 |
19 |
61 |
62 |
|||
Total Volume |
266,298 |
263,373 |
1.1% |
249,325 |
6.8% |
773,523 |
665,343 |
16.3% |
Total ADV |
11,578 |
11,971 |
-3.3% |
13,122 |
-11.8% |
12,681 |
10,731 |
18.2% |
FUTURES VOLUME (contracts, thousands) |
Year-To-Date |
|||||||
Trading Days |
23 |
22 |
19 |
61 |
62 |
|||
Total Volume |
5,333 |
7,545 |
-29.3% |
5,110 |
4.4% |
15,612 |
20,514 |
-23.9% |
Total ADV |
232 |
343 |
-32.4% |
269 |
-13.8% |
256 |
331 |
-22.6% |
|
Year-To-Date |
|||||||
Trading Days |
23 |
22 |
19 |
61 |
62 |
|||
Total Volume |
47,101 |
59,421 |
-20.7% |
43,796 |
7.5% |
134,248 |
113,805 |
18.0% |
Total ADV |
2,048 |
2,701 |
-24.2% |
2,305 |
-11.2% |
2,201 |
1,836 |
19.9% |
|
Year-To-Date |
|||||||
Trading Days |
23 |
22 |
19 |
61 |
62 |
|||
Total Volume |
2,061 |
N/A |
1,892 |
8.9% |
6,072 |
N/A |
||
Total ADV |
90 |
N/A |
100 |
-10.0% |
100 |
N/A |
||
CANADIAN EQUITIES MATCHED VOLUME (shares, thousands)2 |
Year-To-Date |
|||||||
Trading Days |
23 |
N/A |
19 |
62 |
N/A |
|||
Total Volume |
1,472,785 |
N/A |
1,678,749 |
-12.3% |
4,424,275 |
N/A |
||
Total ADV |
64,034 |
N/A |
88,355 |
-27.5% |
71,359 |
N/A |
||
EUROPEAN EQUITIES (€ millions) |
Year-To-Date |
|||||||
Trading Days |
23 |
22 |
20 |
63 |
64 |
|||
Total Notional Value |
€ 189,240 |
€ 259,065 |
-27.0% |
€ 150,642 |
25.6% |
€ 473,302 |
€ 581,890 |
-18.7% |
Total ADNV |
€ 8,228 |
€ 11,776 |
-30.1% |
€ 7,532 |
9.2% |
€ 7,513 |
€ 9,092 |
-17.4% |
EUROCCP (thousands)3 |
Year-To-Date |
|||||||
Cleared Trades |
116,942 |
N/A |
N/A |
93,040 |
25.7% |
298,224 |
N/A |
|
Net Settlements |
912 |
N/A |
N/A |
771 |
18.2% |
2,423 |
N/A |
|
GLOBAL FX ($ millions)4 |
Year-To-Date |
|||||||
Trading Days |
23 |
22 |
20 |
63 |
64 |
|||
Total Notional Value |
$884,637 |
$1,209,632 |
-26.9% |
$746,912 |
18.4% |
$2,335,678 |
$2,773,720 |
-15.8% |
Total ADNV |
38,462 |
54,983 |
-30.0% |
37,346 |
3.0% |
37,074 |
43,339 |
-14.5% |
1 |
2Canadian Equities data reflects Cboe's acquisition of MATCHNow effective on August 4, 2020. |
3EuroCCP data reflects Cboe's acquisition of EuroCCP effective on July 1, 2020. |
4Global FX metrics continue to include Spot and as of January 2021 include SEF products. |
ADV= average daily volume |
ADNV= average daily notional value |
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.
The revenue capture for
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
(In USD unless stated otherwise) |
Avg for |
1Q21 Guidance vs. Two-Month Avg |
Avg for Three-Months Ended |
|||
Product: |
Feb-21 |
Feb-21 |
Jan-21 |
Dec-20 |
Nov-20 |
|
Multi-Listed Options (per contract) |
$0.067 |
1.0 to 2.0% above |
$0.066 |
$0.066 |
$0.068 |
$0.067 |
Index Options (per contract) |
$0.792 |
1.0 to 2.0% above |
$0.799 |
$0.800 |
$0.809 |
$0.820 |
Total Options (per contract) |
$0.174 |
2.0 to 3.0% above |
$0.173 |
$0.174 |
$0.182 |
$0.188 |
Futures (per contract) |
$1.644 |
In line |
$1.625 |
$1.601 |
$1.575 |
$1.561 |
|
$0.017 |
6.0 to 7.0% below |
$0.018 |
$0.020 |
$0.015 |
$0.012 |
Canadian Equities (per 10,000 touched shares) |
CAD 7.06 |
1.0 to 2.0% above |
CAD 7.24 |
CAD 8.05 |
CAD 8.30 |
CAD 8.49 |
European Equities (per matched notional value) |
0.291 |
1.0 to 2.0% below |
0.282 |
0.268 |
0.259 |
0.254 |
Global FX (per |
$2.63 |
In line |
$2.64 |
$2.62 |
$2.64 |
$2.63 |