- Options average daily volume increased 65 percent, to record 3.5 million contracts
- Interest rate average daily volume rose 89 percent, driven by record Eurodollar futures volume
- Foreign exchange (FX) average daily volume rose 53 percent
- Equity index average daily volume rose 50 percent
- Agricultural commodities average daily volume rose 30 percent
- OTC interest rate swaps hit record $181 billion in average daily notional value cleared
CME Group, the world's leading and most diverse derivatives marketplace, today announced that October 2014 volume averaged a record 17.6 million contracts per day, up 58 percent from October 2013, and posted year-over-year growth in all six product lines. Total volume for October 2014 was more than 404 million contracts, of which 87 percent was traded electronically, and a record 15.4 million contracts traded on CME Globex during the month. CME Group open interest stands at approximately 104.9 million contracts at the end of the month, up 25 percent year-to-date.
CME Group interest rate volume averaged 9.2 million contracts per day in October 2014, up 89 percent compared with October 2013. Eurodollar futures volume averaged a record 3.8 million contracts per day, up 100 percent from the same period a year ago. Eurodollar options volume averaged 1.2 million contracts per day, up 88 percent from October last year. Treasury futures volume averaged 3.4 million contracts per day, up 88 percent compared with October 2013. Treasury options volume averaged 695,000 contracts per day, up 46 percent from the same period last year. Overall CME Group interest rate open interest has increased 45 percent year-to-date.
CME Group FX volume averaged 986,000 contracts per day, up 53 percent from October 2013. The average daily notional value of FX contracts traded in October was $114 billion. CME Group equity index volume in October 2014 averaged 4.0 million contracts per day, up 50 percent from the same period a year ago, and included monthly volume records for overall equity index options, as well as E-mini S&P 500 options.
CME Group agricultural commodities volume averaged 1.3 million contracts per day in October 2014, up 30 percent compared with the prior-year period. CME Group energy volume averaged 1.8 million contracts per day, up 9 percent from October 2013. CME Group metals volume averaged 330,000 contracts per day, up 9 percent compared with the prior October.
In October 2014, CME Group cleared a record $181 billion in average daily notional value of over-the-counter (OTC) interest rate swaps. During the month, OTC interest rate swap open interest increased 9 percent from the end of September to $21.9 trillion, which represents 60 percent of clients' total cleared OTC interest rate swap open interest. Average daily trade count for the month was 1,843.
|
MONTHLY AVERAGE DAILY VOLUME (ADV) |
|||||
|
Total Exchange ADV ( in thousands) |
|||||
|
Oct 2014 |
Oct 2013 |
||||
|
Trading Days |
23 |
23 |
|||
|
PRODUCT LINE |
Oct 2014 |
Oct 2013 |
Percent Change |
||
|
Interest Rates |
9,199 |
4,868 |
89% |
||
|
Equity Indexes |
4,035 |
2,682 |
50% |
||
|
Foreign Exchange (FX) |
986 |
644 |
53% |
||
|
Energy |
1,766 |
1,626 |
9% |
||
|
Agricultural Commodities |
1,270 |
976 |
30% |
||
|
Metals |
330 |
302 |
9% |
||
|
Total |
17,586 |
11,097 |
58% |
||
|
VENUE |
Oct 2014 |
Oct 2013 |
Percent Change |
|
Open outcry |
1,484 |
966 |
54% |
|
CME Globex |
15,377 |
9,503 |
62% |
|
Privately negotiated* |
725 |
628 |
15% |
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
|
3-Month Period Ending |
||||
|
PRODUCT LINE |
Oct-14 |
Sep-14 |
Aug-14 |
Jul-14 |
|
Interest Rates |
8,221 |
7,181 |
6,643 |
6,741 |
|
Equity Indexes |
3,158 |
2,586 |
2,392 |
2,353 |
|
Foreign Exchange (FX) |
937 |
797 |
671 |
645 |
|
Energy |
1,609 |
1,562 |
1,534 |
1,520 |
|
Agricultural Commodities |
1,127 |
1,058 |
1,104 |
1,057 |
|
Metals |
312 |
308 |
308 |
322 |
|
Total |
15,364 |
13,493 |
12,651 |
12,638 |
|
VENUE |
Oct-14 |
Sep-14 |
Aug-14 |
Jul-14 |
|
Open outcry |
1,358 |
1,208 |
1,092 |
1,108 |
|
Electronic |
13,330 |
11,627 |
10,925 |
10,863 |
|
Privately negotiated* |
676 |
657 |
634 |
667 |
*The privately negotiated venue includes both traditional block trades as well as what was historically categorized as CME ClearPort. Going forward there will no longer be a break out for CME ClearPort.
Average Rate Per Contract (In dollars)
|
3-Month Period Ending |
||||
|
PRODUCT LINE |
Sep-14 |
Aug-14 |
Jul-14 |
Jun-14 |
|
Interest Rates |
0.473 |
0.473 |
0.470 |
0.473 |
|
Equity Indexes |
0.687 |
0.695 |
0.704 |
0.714 |
|
Foreign Exchange (FX) |
0.788 |
0.830 |
0.850 |
0.861 |
|
Energy |
1.291 |
1.259 |
1.250 |
1.298 |
|
Agricultural Commodities |
1.362 |
1.398 |
1.409 |
1.430 |
|
Metals |
1.707 |
1.709 |
1.712 |
1.715 |
|
Total |
0.725 |
0.740 |
0.737 |
0.749 |
