CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 17 million contracts during October 2019, down 17% from October 2018. Open interest (OI) at the end of October was 132 million contracts, up 3% from October 2018, and up 14% from year-end 2018.
Metals volume averaged 633,000 contracts per day in October 2019, up 11% from October 2018. Highlights include:
- Record Gold futures OI of 659,371 contracts on October 25
- Gold futures and options ADV increased 29% to 445,000 contracts
- Silver futures and options ADV rose 4% to 88,000 contracts
- Copper options ADV grew 23% to 2,500 contracts
Agricultural volume averaged 1.3 million contracts per day in October 2019, up 3% from October 2018. Highlights include:
- Record Hog options OI of 478,737 contracts on October 15
- Grain and Oilseeds futures and options ADV rose 4% to 1.1 million contracts
- Corn futures and options ADV increased 3% to 357,000 contracts
- Soybean futures ADV grew 19% to 301,000 contracts
- Hard Red Winter Wheat futures and options ADV increased 16% to 53,000 contracts
Energy volume averaged 2.3 million contracts per day in October 2019, down 9% from October 2018. Highlights include:
- Refined products futures and options ADV grew 2% to 398,000 contracts
- Heating Oil futures and options ADV grew 28% to 223,000 contracts
- Brent Crude Oil futures ADV rose 2% to 103,000 contracts
Foreign Exchange volume averaged 804,000 contracts per day in October 2019, down 11% from October 2018. Highlights include:
- British pound futures and options ADV increased 33% to 159,000 contracts
- Canadian dollar futures and options ADV rose 9% to 87,000 contracts
Options volume averaged 3.8 million contracts per day in October 2019, down 15% from October 2018. Highlights include:
- Agricultural options ADV grew 14% to 219,000 contracts
- Metals options ADV increased 12% to 70,000 contracts
Interest Rate volume averaged 8.6 million contracts per day in October 2019, down 19% from October 2018. Highlights include:
- 2-Year U.S. Treasury Note futures and options ADV increased 30% to 599,000 contracts
- Electronic Eurodollar options ADV grew 3% to 557,000 contracts
- Fed Fund futures ADV rose 28% to 358,000 contracts
- 5-Year U.S. Treasury Note options ADV increased 55% to 217,000 contracts
Equity Index volume averaged 3.4 million contracts per day in October 2019, down 29% from October 2018. Highlights include:
- Micro E-mini Equity futures ADV increased 9%, sequentially, to 574,000 contracts
- E-mini Russell 2000 options ADV increased 16% to 3,200 contracts
BrokerTec fixed income trading activity highlights include:
- U.S. Repo average daily notional volume increased 3% to $236 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
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MONTHLY AVERAGE DAILY VOLUME (ADV) |
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|
Total Exchange ADV (in thousands) |
|||||
|
Oct 2019 |
Oct 2018 |
||||
|
Trading Days |
23 |
23 |
|||
|
PRODUCT LINE |
Oct 2019 |
Oct 2018 |
Percent Change |
||
|
Interest Rates |
8,645 |
10,628 |
-19% |
||
|
Equity Indexes |
3,380 |
4,733 |
-29% |
||
|
Foreign Exchange (FX) |
804 |
903 |
-11% |
||
|
Energy |
2,289 |
2,524 |
-9% |
||
|
Agricultural Commodities |
1,267 |
1,229 |
3% |
||
|
Metals |
633 |
571 |
11% |
||
|
Total |
17,018 |
20,589 |
-17% |
||
|
VENUE |
Oct 2019 |
Oct 2018 |
P Percent Change |
|
Open outcry |
1,003 |
1,169 |
-14% |
|
CME Globex |
15,355 |
18,790 |
-18% |
|
Privately negotiated |
659 |
630 |
5% |
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
|
3-Month Period Ending |
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|
PRODUCT LINE |
Oct-19 |
Sep-19 |
Aug-19 |
Jul-19 |
|
Interest Rates |
10,771 |
10,868 |
11,776 |
11,804 |
|
Equity Indexes |
4,102 |
3,931 |
3,896 |
3,645 |
|
Foreign Exchange (FX) |
889 |
850 |
852 |
852 |
|
Energy |
2,490 |
2,456 |
2,363 |
2,394 |
|
Agricultural Commodities |
1,307 |
1,320 |
1,589 |
1,732 |
|
Metals |
775 |
821 |
816 |
711 |
|
Total |
20,334 |
20,247 |
21,292 |
21,138 |
|
VENUE |
Oct-19 |
Sep-19 |
Aug-19 |
Jul-19 |
|
Open outcry |
1,147 |
1,177 |
1,391 |
1,488 |
|
Electronic |
18,393 |
18,282 |
18,963 |
18,735 |
|
Privately negotiated |
795 |
788 |
938 |
914 |
Average Rate Per Contract (In dollars)
|
3-Month Period Ending |
||||
|
PRODUCT LINE |
Sep-19 |
Aug-19 |
Jul-19 |
Jun-19 |
|
Interest Rates |
0.500 |
0.488 |
0.481 |
0.476 |
|
Equity Indexes |
0.612 |
0.627 |
0.650 |
0.676 |
|
Foreign Exchange (FX) |
0.720 |
0.724 |
0.721 |
0.713 |
|
Energy |
1.137 |
1.145 |
1.152 |
1.139 |
|
Agricultural Commodities |
1.234 |
1.232 |
1.202 |
1.222 |
|
Metals |
1.414 |
1.445 |
1.459 |
1.455 |
|
Total |
0.693 |
0.688 |
0.688 |
0.693 |
BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Volume
(in billion USD unless otherwise stated, single count)
|
PRODUCT LINE |
Oct 2019 |
Oct 2018 |
Percent Change |
|
|
U.S. Treasury1 |
154.5 |
201.3 |
-23% |
|
|
U.S. Repo |
235.8 |
229.1 |
3% |
|
|
European Repo (in EUR billions) |
257.8 |
266.3 |
-3% |
|
|
Spot FX |
68.9 |
88.7 |
-22% |
|
|
[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 (U.S. dollars in millions)2
|
3-Month Period Ending |
||||
|
BUSINESS LINE |
Sep-19 |
Aug-19 |
Jul-19 |
Jun-19 |
|
BrokerTec |
51.1 |
49.4 |
48.9 |
48.5 |
|
EBS |
49.6 |
49.7 |
48.7 |
48.6 |
|
[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. |
