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- Record Ag Complex Volume Leads to 130 Percent ADV Increase Over October 2005
- Gold Market Share Nears 60 Percent; Metals Continue Open Interest Growth
- ADV in CBOT Financial Complex Up 15 Percent Compared With October 2005
- Total Exchange Electronic ADV Up 29 Percent Over October 2005
The Chicago Board of Trade (CBOT®), one of the world’s leading derivatives exchanges, today announced that October’s volume was 66,975,744 contracts, an increase of 35 percent over October 2005. Volume for the month averaged 3,044,352 contracts per day, up 29 percent from the same month last year. Average daily volume (ADV) on the Exchange’s e-cbot® electronic trading platform was 2,099,914 contracts in October, a 29 percent increase compared with October of 2005.
Agricultural Complex
The CBOT Agricultural complex experienced record growth during October, setting new high marks for total volume (15,064,851 contracts), Agricultural futures volume (12,143,482 contracts) and Agricultural options volume (2,921,369 contracts). ADV for the Agricultural complex was 684,766 contracts in October, an increase of 130 percent over October 2005. The record Agricultural trading volume totals were driven by increases on both the CBOT electronic trading platform as well as the open auction environment. October’s electronic ADV for the Agricultural complex was 176,614 contracts, up significantly over the same month in 2005. And open auction Agricultural ADV was 486,217 contracts, an increase of 75 percent compared with October 2005. Year-to-date, total Agricultural complex ADV is up 36 percent compared with the same period in 2005.
Record volume in the Corn and Wheat complexes led to the strong growth in CBOT Agricultural trading volume. In October, Corn complex ADV set a new high mark with 317,692 contracts traded, a 258 percent increase over October 2005. The new Wheat complex ADV record, 107,579 contracts traded in October, led to a 170 percent ADV increase compared with the same month last year. The CBOT also experienced increases in its Soybean complex (52 percent), Oats complex (56 percent), and Rough Rice complex (5 percent) when comparing October 2006 ADV to trading activity during October 2005.
Open interest in the Agricultural complex, traditionally a gauge of market participation, was 4,869,535 contracts as of October 30 – 68 percent greater than the same date in 2005, when Agricultural open interest was 2,899,935 contracts.
Metals Complex
During October, CBOT Gold futures continued to experience increases in both market share and open interest. For the month, CBOT Gold futures contracts accounted for nearly
60 percent of the North American listed Gold futures market. Open interest in the Exchange’s 100 Oz. Gold futures approached 50,000 contracts as of October 31, an increase of 39 percent compared with the total from the end of September 2006. October 2006 ADV for the CBOT Gold complex (100 Oz. Gold futures and options contracts, 33 Oz. Gold futures contracts) was 56,676 contracts, a 10-fold increase compared with October 2005.
ADV increases in the CBOT Gold complex contributed to volume growth across the Exchange’s Metals complex. ADV for the Metals complex was 64,234 contracts in October, eight times greater than October 2005. For the month, CBOT Metals futures accounted for 56 percent of listed Gold and Silver futures traded in North America.
The CBOT Silver complex also experienced volume growth in October, as ADV reached 7,559 contracts, six times greater than the same month in 2005. During October, the CBOT Silver complex continued to grow, reaching approximately 41 percent share of listed Silver futures traded in North America.
Interest Rate Complex
October’s ADV within the CBOT Interest Rate complex was 2,191,333 contracts – up 15 percent over the same month in 2005. In October, volume in the Interest Rate complex increased at both the short end and long end of the yield curve. At the short end of the curve (30-day Federal Funds futures and options, Two-year U.S. Treasury Note futures and options), October’s ADV was 188,302 contracts, a 45 percent increase over October 2005. And on the long end of the curve (10-year U.S. Treasury Note futures and options, 30-year U.S. Treasury Bond futures and options), ADV reached 1,552,359 contracts, up 18 percent compared with last October.
ADV in the CBOT Interest Rate Swap complex was 3,178 contracts in October, three times greater than October 2005. Market makers Citigroup and Goldman Sachs began providing liquidity for the CBOT Swap complex in July 2006.
Electronic trading of Interest Rate options contracts also contributed to increased October ADV in the Interest Rate complex. For the month, an average of 81,045 Interest Rate options were traded electronically each day – 114 percent greater than the same month in 2005. Of the 414,525 Interest Rate options contracts traded each day at the CBOT in October, 20 percent were executed electronically. Year-to-date, ADV for electronically-traded Interest Rate options is 71,095 contracts – 151 percent greater than the same period in 2005.
Equity Index Complex
Year-to-date, trading in the Exchange’s Equity Index complex has averaged 116,672 contracts per day, a 5 percent increase over the same period in 2005. ADV in the Equity Index complex was 103,883 contracts in October, a decline of 29 percent compared with October 2005.
CBOT Average Daily Volume
|
Product Group |
October 2006 |
October 2005 |
Percent Change |
YTD 2006 |
YTD 2005 |
Percent Change |
|
Agricultural |
684,766 |
298,357 |
129.5% |
498,907 |
368,087 |
35.5% |
|
Financial |
2,191,333 |
1,904,555 |
15.1% |
2,514,023 |
2,243,616 |
12.1% |
|
Equity Indices |
103,883 |
146,635 |
-29.2% |
116,672 |
111,465 |
4.7% |
|
Metals, Energy and Other |
64,370 |
6,808 |
845.5% |
46,322 |
3,998 |
1,058.6% |
|
TOTAL |
3,044,352 |
2,356,354 |
29.2% |
3,175,924 |
2,727,162 |
16.5% |
CBOT Rate Per Contract
The following chart depicts the Exchange’s September 2006 three-month rolling average rate per contract (in dollars), and the two preceding three-month periods’ average rates per contract. Average rate per contract represents total exchange and clearing revenue divided by total reported trading volume. Average rates per contract can be affected by exchange and clearing fee price levels, and the customer, product, venue and transaction mix.
|
|
THREE-MONTH PERIOD ENDING |
||
|
|
Sept. 30, 2006 |
August 31, 2006 |
July 31, 2006 |
|
Product Group |
|
|
|
|
Interest Rate |
0.568 |
0.544 |
0.528 |
|
Agriculture |
0.790 |
0.737 |
0.680 |
|
Equity Indices |
0.779 |
0.720 |
0.708 |
|
Metals, Energy & Other |
1.048 |
1.002 |
0.984 |
|
Overall Avg. Rate per Contract |
0.618 |
0.591 |
0.568 |
|
Venue |
|
|
|
|
Open-Auction |
0.524 |
0.523 |
0.519 |
|
Electronic |
0.562 |
0.528 |
0.507 |
|
Off-Exchange |
3.172 |
3.021 |
2.733 |
|
Total Avg. Rate per Contract |
0.618 |
0.591 |
0.568 |
