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Total CBOT volume for June 2006 was 70,723,405 contracts, a 20 percent increase over June 2005. June’s volume total ranks as the second highest volume month in the history of the Exchange. The all-time CBOT monthly volume record was set in May 2006 – 79,828,143 contracts. Electronic ADV in June 2006 reached 2,084,112 contracts, 30 percent greater than June 2005.
CBOT Metals Volume Increases; Complex Market Share Continues to Grow
The 100-percent electronically-traded CBOT Metals complex continued to experience increasing volume during the second quarter of 2006, as ADV was 53,952 contracts – nearly two-and-a-half times greater than the first quarter of 2006. On June 23, the CBOT Gold futures complex reached 50 percent market share in daily volume of North American-listed Gold futures for the first time. Volume totaled 36,273 contracts during the trading session.
For the month of June, the Exchange’s Metals complex accounted for 41 percent of listed Metals futures in North America. The CBOT Metals complex includes Full-sized (100 oz.) Gold futures and options contracts, mini-sized (33 oz.) Gold futures contracts, Full-sized (5,000 oz.) Silver futures and options contracts and mini-sized Silver futures contracts.
Exchange’s Interest Rate Complex Continues Growth Across the Yield Curve
Quarterly ADV within the CBOT Interest Rate complex was 2,588,352 contracts – a 9 percent increase compared with the second quarter of 2005. June ADV for the Interest Rate complex reached 2,422,641 contracts, 18 percent greater than June 2005. Volume in the CBOT Interest Rate futures and options complex continues to display growth at both the short end and the 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), June ADV was 308,219 contracts, a 108 percent increase over June 2005. Meanwhile, on the long end of the curve (10-Year Treasury Note futures and options, 30-Year U.S. Treasury Bond futures and options), ADV reached 1,635,949 contracts for a 16 percent increase compared with last June.
For the second consecutive month, the Exchange set records for the electronic trading of Financial options contracts. A total of 2,066,232 Financial options traded on the e-cbot platform in June 2006 – an average of 93,920 contracts per day and more than three times greater than June 2005. Last month, 19 percent of Financial options trades at the CBOT were executed electronically.
CBOT Agricultural Complex Sets Several Quarterly, Monthly Records
The CBOT Agricultural futures and options complex reached volume records for both the second quarter and the month of June. For the quarter, ADV was a record 528,772 contracts, a 31 percent increase over the second quarter of 2005. In June, ADV reached 593,798 contracts, 16 percent greater than the same month last year. The new volume records in the Exchange’s Ag complex were driven, in part, by record performance in Corn futures and Wheat futures contracts, which saw monthly ADV grow by 36 percent and 49 percent, respectively. The CBOT also set quarterly total volume records for Corn futures (11,973,980 contracts), mini-sized Corn futures (42,130 contracts), Corn options (2,636,550 contracts) Wheat futures (4,428,735 contracts), Wheat options (667,677 contracts) and Soybean Oil futures (2,579,463 contracts).
Increasing ADV of Mini-Sized Dowsm Futures Leads to Record Volume in CBOT Equity Index Complex
The CBOT Equity Index complex experienced ADV records for both the 2006 second quarter and the month of June. In June, the complex averaged 147,721 contracts traded per day, while ADV for the quarter was 130,698 contracts – increases of 41 percent and 14 percent, respectively, over the same periods in the prior year. The Exchange’s mini-sized Dow Jones futures contracts were a major contributor to the complex’s success, also setting monthly and quarterly ADV records. For the quarter, an average of 119,369 mini-Dow futures contracts traded each day, up 15 percent over the second quarter of 2005. And in June, ADV for mini-Dow futures was 131,973 contracts, 41 percent greater than in June 2005.
CBOT Average Daily Volume
|
Product Group |
June 2006 |
June 2005 |
Percent Change |
Q2 2006 |
Q2 2005 |
Percent Change |
|
Agricultural |
593,798 |
510,851 |
16% |
528,772 |
403,608 |
31% |
|
Financial |
2,422,641 |
2,059,003 |
18% |
2,588,352 |
2,367,719 |
9% |
|
Equity Indices |
147,721 |
104,766 |
41% |
130,698 |
114,728 |
14% |
|
Metals, Energy and Other |
50,540 |
3,380 |
1,395% |
54,077 |
3,004 |
1,700% |
|
TOTAL |
3,214,700 |
2,677,999 |
20% |
3,301,899 |
2,889,059 |
14% |
CBOT Rate Per Contract
The following chart depicts the Exchange’s May 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 |
||
|
|
May 31, 2006 |
Apr. 30, 2006 |
Mar. 31, 2006 |
|
Product Group |
|
|
|
|
Interest Rate |
0.531 |
0.524 |
0.517 |
|
Agriculture |
0.674 |
0.685 |
0.673 |
|
Equity Indices |
0.764 |
0.771 |
0.760 |
|
Metals, Energy & Other |
1.012 |
1.161 |
1.312 |
|
Overall Avg. Rate per Contract |
0.566 |
0.562 |
0.552 |
|
Venue |
|
|
|
|
Open-Auction |
0.510 |
0.516 |
0.515 |
|
Electronic |
0.514 |
0.504 |
0.495 |
|
Off-Exchange |
2.429 |
2.345 |
2.296 |
|
Total Avg. Rate per Contract |
0.566 |
0.562 |
0.552 |
For more information on the CBOT, to view the Exchange’s daily and monthly volume and open interest records, and details on ADV and volume from previous months in 2006, please visit www.cbot.com.
