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IntercontinentalExchange Group (NYSE: ICE), the leading global network of exchanges and clearing houses, today reported exchange traded volumes for April 2014.
ICE’s April average daily volume (ADV) was 5.9 million contracts, a decrease of 13% compared to April 2013.
- Commodity futures and options ADV was down 20% in April due primarily to lower price volatility across most products.
- Financial futures and options ADV was down 3% in April due primarily to lower volatility in European interest rates relative to the prior April. This was partially offset by growth across equity derivatives that increased 11% year to year.
- NYSE and Euronext’s cash equities ADV declined 1% and 2%, respectively, from the prior April. NYSE equity options volume declined 14% year to year.
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ICE Futures & Options ADV (contracts in 000s) |
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ADV April |
ADV April |
Change |
ADV YTD |
ADV YTD |
Change |
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| COMMODITIES | ||||||||||||||
| Energy | ||||||||||||||
| Brent | 616 | 803 | -23 | % | 623 | 723 | -14 | % | ||||||
| Gasoil | 198 | 254 | -22 | % | 222 | 274 | -19 | % | ||||||
| Other Oil (1) | 249 | 255 | -2 | % | 256 | 258 | -1 | % | ||||||
| TOTAL OIL | 1,064 | 1,312 | -19 | % | 1,101 | 1,255 | -12 | % | ||||||
| Natural Gas (2) | 704 | 1,507 | -53 | % | 1,052 | 1,396 | -25 | % | ||||||
| Power (3) | 855 | 514 | 66 | % | 872 | 552 | 58 | % | ||||||
| Emissions & Other (4) | 40 | 48 | -16 | % | 52 | 50 | 4 | % | ||||||
| TOTAL ENERGY | 2,663 | 3,380 | -21 | % | 3,077 | 3,253 | -5 | % | ||||||
| Agricultural | ||||||||||||||
| Sugar (5) | 163 | 166 | -2 | % | 181 | 154 | 17 | % | ||||||
| Other Ags & Metals (6) | 190 | 221 | -14 | % | 202 | 195 | 3 | % | ||||||
| TOTAL AGRICULTURAL & METALS | 353 | 387 | -9 | % | 383 | 349 | 10 | % | ||||||
| TOTAL COMMODITIES | 3,017 | 3,767 | -20 | % | 3,460 | 3,602 | -4 | % | ||||||
| FINANCIALS | ||||||||||||||
| Interest Rates | ||||||||||||||
| Short-term Interest Rates (7) | 1,427 | 1,634 | -13 | % | 1,770 | 2,340 | -24 | % | ||||||
| Medium & Long-term Interest Rates (8) | 132 | 137 | -4 | % | 172 | 180 | -5 | % | ||||||
| TOTAL INTEREST RATES | 1,559 | 1,771 | -12 | % | 1,942 | 2,520 | -23 | % | ||||||
| TOTAL EQUITY DERIVATIVES (9) | 1,307 | 1,182 | 11 | % | 985 | 1,201 | -18 | % | ||||||
| TOTAL FX (10) | 17 | 32 | -45 | % | 24 | 37 | -34 | % | ||||||
| TOTAL FINANCIALS | 2,883 | 2,985 | -3 | % | 2,951 | 3,757 | -21 | % | ||||||
| TOTAL FUTURES & OPTIONS | 5,899 | 6,752 | -13 | % | 6,411 | 7,360 | -13 | % | ||||||
Note: Figures may not foot due to rounding.
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(1) |
“Other Oil” includes futurized oil, WTI, Heating Oil, RBOB Gasoline and Middle East Sour Crude. Excludes Daily Brent Bullet contracts. |
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(2) |
“Natural Gas” includes North American, UK and European Natural Gas. |
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(3) |
“Power” includes North American, UK and European Power. |
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(4) |
“Emissions & Other” includes all power contracts, emissions, freight, coal, iron ore and uranium. |
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(5) |
“Sugar” includes Sugar No. 11, Sugar No. 16 and White Sugar. |
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(6) |
“Other Ags & Metals” includes Cocoa, Coffee “C”, Coffee 20 Tonne, Cotton No. 2, Orange Juice, Corn, Wheat-Feed, Soybeans, Barley, Canola, Mini Gold and Mini Silver contracts. |
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(7) |
“Short-term Interest Rates” includes Euribor, Sterling, Swiss, Eonia, Eurodollar and DTCC GCF Repo contracts. |
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(8) |
“Medium & Long-Term Rates” includes Gilt, Swapnotes Yen, Treasuries, U.S. Bond and Ultrabond contracts. |
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(9) |
“TOTAL EQUITY DERIVATIVES” includes FTSE 100, FTSE 100 Dividend, price return and net total return versions of MSCI EAFE, MSCI Emerging Markets, MSCI Europe, and MSCI World, Russell 2000® , Russell 1000® and UK Single Stock Equities which includes equities domiciled in 25 countries that trade in the UK. |
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(10) |
“TOTAL FX” includes futures and options for the U.S. Dollar Index and foreign exchange. |
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Financial and Reporting Update
- ICE will report first quarter 2014 earnings results on May 8.
- Rate per contract (RPC) for March and February are restated in Agriculture & Metals and Financials due to the inclusion of Liffe clearing revenue.
- Effective April 28, many of ICE’s North American smaller sized power contracts were converted to larger contract sizes. April volumes reflect the historical contract size for the final three trading days consistent with the rest of the month. May power volume and open interest will be reported consistent with the new contract methodology. Historical conversions for daily power volumes are available on the ICE website: Supplemental Volume Info.
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ICE Futures & Options Rolling Three-Month Average Rate per Contract (RPC) |
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Futures & Options |
Three Months |
Three Months |
Three Months |
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| Energy | $1.01 | $0.98 | $0.95 | |||
| Agricultural & Metals | $2.31 | $2.26 | $2.27 | |||
| Total Commodities | $1.17 | $1.12 | $1.08 | |||
| Interest Rates | $0.65 | $0.61 | $0.62 | |||
| Total Financials | $0.58 | $0.59 | $0.60 | |||
RPC is calculated by dividing transaction revenues by contract volume, and may vary based on pricing, customer and product mix.
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ICE Futures & Options Open Interest (contracts in 000s) |
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Apr 30, 2014 |
Dec 31, 2013 | |||
| Energy* | 96,426 | 88,425 | ||
| Agricultural & Metals | 3,518 | 3,372 | ||
| Total Commodities | 99,944 | 91,797 | ||
| Interest Rates | 22,881 | 18,101 | ||
| Total Financials | 40,005 | 30,385 | ||
*Energy OI excluding U.S. power contracts for April 2014 and December 2013 were 31,862 and 34,013 contracts, respectively.
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ICE Futures & Options Volume (contracts in 000s) |
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Futures & Options Products |
Apr-14 |
Apr-13 |
Vol % |
YTD |
YTD |
Vol % |
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| Commodities | 63,350 | 82,818 | -24% | 283,697 | 295,468 | -4% | ||||||
| Financials | 58,008 | 62,872 | -8% | 244,533 | 311,756 | -22% | ||||||
| TOTAL CONTRACTS | 121,358 | 145,691 | -17% | 528,230 | 607,224 | -13% | ||||||
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U.S. Equity Options (contracts in 000s) |
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ADV Apr |
ADV Apr |
Change |
ADV |
ADV |
Change |
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| U.S. Equity Options | ||||||||||||
| NYSE Equity Options(1) | 3,687 | 4,298 | -14% | 3,826 | 4,249 | -10% | ||||||
| Total U.S. Options Volume | 15,219 | 15,352 | -1% | 15,855 | 15,081 | 5% | ||||||
| NYSE Share of Group Total | 24% | 28% | -4pts | 24% | 28% | -4pts | ||||||
(1) “NYSE Equity Options” includes NYSE Amex Options and NYSE Arca Options trading in U.S. equity options contracts.
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U.S. Equity Options Rolling Three-Month Average Rate per Contract (RPC) |
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Three Months |
Three Months |
Three Months |
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| US Equity Options | $0.16 | $0.16 | $0.16 | ||
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U.S. Cash Products (shares in millions) |
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ADV April |
ADV April |
Change |
ADV |
ADV |
Change |
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| NYSE Listed (Tape A) Issues | ||||||||||||
| Handled Volume (1) | 1,069 | 1,105 | -3% | 1,077 | 1,116 | -3% | ||||||
| Matched Volume(2) | 1,043 | 1,065 | -2% | 1,049 | 1,073 | -2% | ||||||
| Total NYSE Listed Consolidated Volume | 3,438 | 3,529 | -3% | 3,558 | 3,570 | 0% | ||||||
| Share of Total Matched Consolidated Volume | 30% | 30% | - | 30% | 30% | - | ||||||
| NYSE Arca, MKT and Regional (Tape B) Listed Issues | ||||||||||||
| Handled Volume (1) | 246 | 264 | -7% | 265 | 235 | 13% | ||||||
| Matched Volume(2) | 232 | 243 | -5% | 249 | 217 | 15% | ||||||
| Total NYSE Arca and MKT Listed Consolidated Volume | 1,073 | 1,165 | -8% | 1,170 | 1,040 | 13% | ||||||
| Share of Total Matched Consolidated Volume | 22% | 21% | +1pt | 21% | 21% | - | ||||||
| Nasdaq Listed (Tape C) Issues | ||||||||||||
| Handled Volume (1) | 223 | 186 | 20% | 217 | 197 | 10% | ||||||
| Matched Volume(2) | 206 | 168 | 23% | 198 | 176 | 12% | ||||||
| Total Nasdaq Listed Consolidated Volume | 2,119 | 1,689 | 25% | 2,156 | 1,786 | 21% | ||||||
| Share of Total Matched Consolidated Volume | 10% | 10% | - | 9% | 10% | -1pt | ||||||
| TOTAL ADV U.S. Cash Shares Handled | 1,537 | 1,555 | -1% | 1,559 | 1,548 | 1% | ||||||
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(1) |
“Handled Volume” represents the total number of shares of equity securities, ETFs and crossing session activity internally matched on NYSE Group’s exchanges or routed to and executed on an external market center. |
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(2) |
“Matched Volume” represents the total number of shares of equity securities, ETFs and crossing session activity executed on NYSE Group’s exchanges. |
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U.S. Cash Rolling Three-Month Revenue Capture |
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(per 100 shares) |
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Three Months |
Three Months |
Three Months |
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| US Cash Products | $0.047 | $0.047 | $0.048 | |||
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Euronext Cash Products and Derivatives (in 000s) |
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ADV April |
ADV April |
ADV % |
ADV |
ADV |
ADV % |
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| Euronext Cash (in trades)(1) | 1,460 | 1,495 | -2% | 1,562 | 1,407 | 11% | ||||||
| Euronext Derivatives (in lots)(2) | 551 | 632 | -13% | 599 | 647 | -7% | ||||||
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(1) |
Includes Equities, ETFs, Structured products and bonds. |
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(2) |
Includes Equity Index products, Single Stock equities, Currencies, Wheat-Milling, Rapeseed, Corn and Barley Malting futures and options products. |
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Credit Derivatives Transaction and Clearing
- Through April 28, ICE has cleared $52 trillion in gross notional value on a cumulative basis across 1.7 million trades with open interest of $1.6 trillion. Buy-side clearing of credit default swaps (CDS) totaled $6.2 trillion since the launch of client clearing at ICE Clear Credit in December of 2009. ICE lists over 450 CDS instruments for clearing. A complete summary of CDS clearing can be found at: https://www.theice.com/clear_credit.jhtml
April 2014 Review
- ICE completed the transition of the ICE Endex Dutch and Belgian natural gas spot markets and the Dutch gas storage market to the ICE trading platform.
- ICE Benchmark Administration (IBA) was appointed as the new administrator of ISDAFIX.
- ICE announced management appointments and Board of Directors for its newly renamed ICE Futures Singapore and ICE Clear Singapore operations.
- ICE Clear Europe announced the introduction of clearing for Western European Sovereign CDS instruments including Ireland, Italy, Portugal and Spain, following receipt of regulatory approval.
- ICE announced the launch of 21 interest rate futures contracts including new Liffe European Government Bond Futures and Swapnote® Contracts.
- Liffe 30 Year Ultra Long Gilt futures had a strong launch and first month of trading with 17,520 contracts traded during April and open interest of 3,692 as of April 30.
- Monthly total volume and ADV records were established in NYH RBOB Gasoline futures and Rotterdam Coal options contracts.
- Daily volume records were established during the month for NYH RBOB Gasoline futures and Sugar 16 futures of 42,586 contracts and 3,716 contracts, respectively.
- Open interest records were established in Low Sulphur Gasoil futures, futures on the DTCC GCF Repo indices and UK Natural Gas, Newcastle Coal, Richards Bay Coal and Rotterdam Coal options contracts.
- ICE finalized the acquisition of NYSE Euronext on November 13, 2013. For comparison purposes NYSE Euronext volumes are included for all periods covered.
Trading days in April 2014:
- Interest Rates, UK Single Stock: 20
- Commodities, Other Financials: 21
- US Cash Equities, US Equity Options: 21
- Euronext Cash Equities, Euronext Derivatives: 20
