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Intercontinental Exchange Reports ICE And NYSE Volume For August

Date 04/09/2014

Intercontinental Exchange, Inc. (NYSE: ICE), the leading global network of exchanges and clearing houses, today reported exchange traded volumes for August 2014.

ICE’s August average daily volume (ADV) for futures and options was 4.4 million contracts, down 11% compared to August 2013.

  • Commodity ADV declined 13% year to year, with energy ADV down 13%, offset by Other Oil ADV which increased 6%.
  • Financials ADV declined 9% over the prior August due to continued low volatility in European short-term interest rates. ADV for medium and long-term interest rate contracts increased 15%, and equity index and single stock ADV rose 14% and 45%, respectively, over the prior August.

In August, NYSE’s U.S. cash equities and options ADV declined 7% and 8%, respectively, year to year.

  • U.S. cash equities market share was 22.9% and U.S. options market share was 22.6%.
 

ICE Futures & Options ADV (contracts in 000s)

      ADV Aug     ADV Aug     Change     ADV YTD     ADV YTD     Change
      2014     2013     y/y     Aug ‘14     Aug ‘13     y/y
COMMODITIES                                    
Energy                                    
Brent     658     663     -1%     663     686     -3%
Gasoil     201     235     -14%     214     268     -20%
Other Oil (1)     266     251     6%     263     260     1%
TOTAL OIL     1,125     1,149     -2%     1,140     1,214     -6%
Natural Gas (2)     718     965     -26%     891     1,226     -27%
Power (3)     80     95     -16%     113     131     -14%
Emissions & Other (4)     23     21     9%     41     41     1%
TOTAL ENERGY     1,945     2,230     -13%     2,185     2,611     -16%
Agricultural                                    
Sugar (5)     113     122     -7%     156     149     5%
Other Ags & Metals (6)     150     173     -13%     180     184     -2%
TOTAL AGRICULTURAL & METALS     263     295     -11%     336     333     1%
TOTAL COMMODITIES     2,208     2,524     -13%     2,521     2,944     -14%
                                     
FINANCIALS                                    
Interest Rates                                    
Short-term Interest Rates (7)     1,122     1,558     -28%     1,580     2,262     -30%
Medium & Long-term Interest Rates (8)     222     193     15%     174     184     -6%
TOTAL INTEREST RATES     1,343     1,751     -23%     1,753     2,447     -28%
                                     
TOTAL EQUITY DERIVATIVES (9)     837     633     32%     967     1,048     -8%
                                     
TOTAL FX (10)     25     34     -28%     24     40     -40%
TOTAL FINANCIALS     2,205     2,418     -9%     2,745     3,535     -22%
TOTAL FUTURES & OPTIONS     4,413     4,943     -11%     5,266     6,479     -19%

Note: Figures may not foot due to rounding.

(1)   “Other Oil” includes futurized oil, WTI, Heating Oil, RBOB Gasoline and Middle East Sour Crude. Excludes Daily Brent Bullet contracts.
(2)   “Natural Gas” includes North American, UK and European Natural Gas.
(3)   “Power” includes North American, UK and European Power.
(4)   “Emissions & Other” includes all emissions contracts, freight, coal, iron ore and uranium.
(5)   “Sugar” includes Sugar No. 11, Sugar No. 16 and White Sugar.
(6)   “Other Ags & Metals” includes Cocoa ($), Cocoa (£),Coffee “C”, Robusta Coffee, Cotton No. 2, Orange Juice, Corn, Wheat-Feed, Soybeans, Barley, Canola, Mini Gold and Mini Silver contracts.
(7)   “Short-term Interest Rates” includes Euribor, Sterling, Swiss, Eonia, Eurodollar, Short Gilt, European Government Bonds and DTCC GCF Repo contracts.
(8)   “Medium & Long-Term Rates” includes Gilt, Swapnotes, Japanese Government Bonds, European Government Bonds, Treasuries and U.S. Government Bonds and Ultrabond contracts.
(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 Single Stock Equities which includes equities domiciled in 25 countries that trade in the UK.
(10)   “TOTAL FX” includes futures and options for the U.S. Dollar Index and foreign exchange.
     

Financial and Reporting Update

  • Monthly CDS gross notional cleared is provided in ICE’s Volume and CDS Tracking report on the Supplemental Volume page in the Investor section of the website.
 

ICE Futures & Options Rolling Three-Month Average Rate per Contract (RPC(1))

        Three Months       Three Months       Three Months
Futures & Options       Ending       Ending       Ending
Products       August 2014       July 2014       June 2014
Energy       $1.36       $1.36       $1.37
Agricultural & Metals       $2.50       $2.43       $2.41
Total Commodities       $1.50       $1.50       $1.52
Interest Rates       $0.67       $0.66       $0.65
Total Financials       $0.62       $0.59       $0.56
(1)   RPC is calculated by dividing transaction revenues by contract volume, and may vary based on pricing, customer and product mix. RPC is subject to revision based on final numbers.
 

ICE Futures & Options Open Interest (contracts in 000s)

            August 29, 2014           Dec 31, 2013
Energy           37,846           41,470
Agricultural & Metals           3,646           3,372
Total Commodities           41,492           44,842
Interest Rates           21,353           18,101
Total Financials           37,573           30,385
 

ICE Futures & Options Monthly and YTD Volume (contracts in 000s)

                  Vol %     YTD     YTD     Vol %
Futures & Options Products     August-14     August-13     Change     August ‘14     August ‘13     Change
Commodities     46,373     55,514     -16%     421,062     494,735     -15%
Financials     46,297     53,203     -13%     465,350     603,953     -23%
TOTAL CONTRACTS     92,670     108,717     -15%     886,412     1,098,688     -19%
   

U.S. Equity Options (contracts in 000s)

 
      ADV Aug     ADV Aug     Change     ADV YTD     ADV YTD     Change  
      2014     2013     y/y     Aug ‘14     Aug ‘13     y/y  
NYSE Equity Options(1)     3,088     3,347     -8%     3,575     4,083     -12%  
Total U.S. Options Volume     13,674     13,237     3%     14,889     14,889     0%  
NYSE Share of Group Total     22.6%     25.3%     -2.7pts     24.0%     27.4%     -3.4pts  

(1)

 

“NYSE Equity Options” includes NYSE Amex Options and NYSE Arca Options markets for U.S. equity options contracts.

 

U.S. Equity Options Rolling Three-Month Average Rate per Contract (RPC)

 

      Three Months

Ending

August 2014

      Three Months

Ending

July 2014

      Three Months

Ending

June 2014

US Equity Options       $0.15       $0.15       $0.15
 

U.S. Cash Products (shares in millions)

      ADV Aug     ADV Aug     Change     ADV YTD     ADV YTD     Change
      2014     2013     y/y     Aug ‘14     Aug ‘13     y/y
NYSE Listed (Tape A) Issues                                    
Handled Volume (1)     867     945     -8%     1,012     1,093     -7%
Matched Volume(2)     850     913     -7%     988     1,053     -6%
Total NYSE Listed Consolidated Volume     2,787     2,971     -6%     3,273     3,452     -5%
Share of Total Matched Consolidated Volume     30.5%     30.7%     -0.2pts     30.2%     30.5%     -0.3pts
                                     
NYSE Arca, MKT and Regional (Tape B) Listed Issues                                    
Handled Volume (1)     205     232     -12%     233     250     -7%
Matched Volume(2)     194     214     -9%     220     230     -4%
Total NYSE Arca and MKT Listed Consolidated Volume     874     1,008     -13%     1,015     1,094     -7%
Share of Total Matched Consolidated Volume     22.2%     21.3%     +0.9pts     21.7%     21.0%     +0.7pts
                                     
Nasdaq Listed (Tape C) Issues                                    
Handled Volume (1)     167     162     3%     200     186     7%
Matched Volume(2)     157     145     8%     184     167     10%
Total Nasdaq Listed Consolidated Volume     1,591     1,508     6%     1,973     1,740     13%
Share of Total Matched Consolidated Volume     9.9%     9.6%     +0.3pts     9.3%     9.6%     -0.3pts
                                     
TOTAL US Cash Market Share Matched     22.9%     23.2%     -0.3pts     22.2%     23.1%     -0.9pts
TOTAL ADV U.S. Cash Shares Handled     1,239     1,339     -7%     1,445     1,529     -6%
(1)   “Handled Volume” represents the total number of shares of equity securities, exchange traded funds (ETFs) and crossing session activity internally matched on NYSE Group’s exchanges or routed to and executed on an external market center.
(2)   “Matched Volume” represents the total number of shares of equity securities, ETFs and crossing session activity executed on NYSE Group’s exchanges.
 

U.S. Cash Rolling Three-Month Revenue Capture

(per 100 shares)

        Three Months       Three Months       Three Months
        Ending       Ending       Ending
        August 2014       July 2014       June 2014
US Cash Products       $0.049       $0.050       $0.048
                         

Credit Default Swaps (CDS) Transaction and Clearing

  • Through August 29, ICE has cleared $56 trillion in gross notional value of CDS on a cumulative basis across 1.9 million trades with open interest of $1.6 trillion. Buy-side clearing of CDS totaled $8.0 trillion since the launch of client clearing at ICE Clear Credit in December of 2009. ICE lists nearly 500 CDS instruments for clearing. A complete summary of CDS clearing can be found at: https://www.theice.com/clear_credit.jhtml.

August 2014 Review

  • A total monthly and average daily volume record was established in the mini MSCI All Country World Index – Net Total Return futures contracts.
  • daily volume record was set in the Long Gilt and Ultra Long Gilt of 1,042,074 and 5,118 contracts, respectively. A daily volume record was also set in the mini MSCI All Country World Index – Net Total Return futures and the mini MSCI Europe Index futures of 47,953 and 27,370 contracts, respectively.
  • Open interest records were established in Newcastle Coal and mini MSCI All Country World Index – Net Total Return futures, as well as Brent Crude, Heating Oil, Newcastle Coal and Rotterdam Coal options contracts.
  • ICE acquired technology patents that cover electronic trading strategies.
  • On August 1st, ICE Benchmark Administration became the administrator of the ISDAFIX benchmark.
  • ICE declared a quarterly $0.65 per share dividend payable on September 30, 2014 to shareholders of record as of September 16, 2014.

Trading days in August 2014:

  • Interest Rates, UK Single Stock: 21
  • Commodities, Other Financials: 21
  • US Cash Equities, US Equity Options: 21

ICE closed the acquisition of NYSE on November 13, 2013. For comparison purposes NYSEvolumes are included for all periods covered.