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CME Group Averaged 18.2 Million Contracts Per Day In November 2019

Date 03/12/2019

CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 18.2 million contracts during November 2019. Open interest (OI) at the end of November was 131 million contracts.

Interest Rate volume averaged 10.3 million contracts per day in November 2019.  Highlights include:

  • 2-Year U.S. Treasury Note futures and options ADV grew 20% to 1.2 million contracts
  • Ultra 10-Year U.S. Treasury Notes futures and options ADV rose 20% to 307,000 contracts
  • SOFR futures ADV increased 306% to 48,000 contracts

Options volume averaged 3.3 million contracts per day in November 2019. Highlights include:

  • Metals options ADV increased 21% to 67,000 contracts

Equity Index volume averaged 2.7 million contracts per day in November 2019. Highlights include:

  • E-mini Russell 2000 futures and options ADV increased 17% to 2,700 contracts
  • S&P 500 Annual Dividend futures ADV grew 128% to 1,900 contracts

Energy volume averaged 2.2 million contracts per day in November 2019. Highlights include:

  • NGLs & Plastics futures and options ADV grew 29% to 14,000 contracts

Agricultural volume averaged 1.4 million contracts per day in November 2019. Highlights include:

  • Livestock futures and options ADV increased 8% to 173,000 contracts
  • Soybean futures ADV rose 4% to 171,000 contracts
  • Live Cattle futures and options ADV grew 10% to 85,000 contracts
  • Hard Red Winter Wheat futures and options ADV increased 21% to 82,000 contracts
  • Lean Hog futures and options ADV grew 5% to 75,000 contracts

Metals volume averaged 804,000 contracts per day in November 2019. Highlights include:

  • Record Gold futures ADV, up 56% to 483,000 contracts
  • Silver futures and options ADV rose 8% to 128,000 contracts
  • Platinum futures and options ADV grew 12% to 20,000 contracts
  • Copper futures and options ADV rose 48% to 2,900 contracts

Foreign Exchange volume averaged 688,000 contracts per day in November 2019. Highlights include:

  • Swiss Franc futures and options ADV increased 17% to 27,000
  • Brazilian real futures and options ADV grew 224% to 14,000 contracts

BrokerTec fixed income trading activity highlights include: 

  • European Repo average daily notional volume increased 3% to €260 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

MONTHLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

(in thousands)



Nov 2019

Nov 2018


Trading Days

20

21






PRODUCT LINE

Nov 2019

Nov 2018

Percent Change

Interest Rates

10,258

11,889

-14%

Equity Indexes

2,735

3,679

-26%

Foreign Exchange (FX)

688

904

-24%

Energy

2,247

3,128

-28%

Agricultural Commodities

1,450

1,460

-1%

Metals

804

624

29%

   Total

18,182

21,684

-16%

 

VENUE

Nov 2019

Nov 2018

P Percent Change

Open outcry

892

1,059

-16%

CME Globex

16,559

19,909

-17%

Privately negotiated

730

716

2%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands) 


3-Month Period Ending

PRODUCT LINE

Nov-19

Oct-19

Sep-19

Aug-19

Interest Rates

9,570

10,771

10,868

11,776

Equity Indexes

3,367

4,102

3,931

3,896

Foreign Exchange (FX)

849

889

850

852

Energy

2,431

2,490

2,456

2,363

Agricultural Commodities

1,291

1,307

1,320

1,589

Metals

746

775

821

816

   Total

18,253

20,334

20,247

21,292






VENUE

Nov-19

Oct-19

Sep-19

Aug-19

Open outcry

1,021

1,147

1,177

1,391

Electronic

16,504

18,393

18,282

18,963

Privately negotiated

728

795

788

938

Average Rate Per Contract (In dollars)


3-Month Period Ending

PRODUCT LINE

Oct-19

Sep-19

Aug-19

Jul-19

Interest Rates

0.502

0.500

0.488

0.481

Equity Indexes

0.612

0.612

0.627

0.650

Foreign Exchange (FX)

0.702

0.720

0.724

0.721

Energy

1.127

1.137

1.145

1.152

Agricultural Commodities

1.230

1.234

1.232

1.202

Metals

1.366

1.414

1.445

1.459

   Total

0.689

0.693

0.688

0.688

BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Volume 
(in billion USD unless otherwise stated, single count)

PRODUCT LINE

Nov 2019

Nov 2018

Percent Change

U.S. Treasury1

131.4

174.2

-25%

U.S. Repo

229.8

230.8

-3%

European Repo (in EUR billions)

259.9

252.7

3%

Spot FX

62.0

81.6

-24%





 

 [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

Oct-19

Sep-19

Aug-19

Jul-19

BrokerTec

50.5

51.1

49.4

48.9

EBS

49.5

49.6

49.7

48.7






 

[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.