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%.
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ICE Futures & Options ADV (contracts in 000s) |
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| 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.
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ICE Futures & Options Rolling Three-Month Average Rate per Contract (RPC(1)) |
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| 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. |
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ICE Futures & Options Open Interest (contracts in 000s) |
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| 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 | ||||||||||
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ICE Futures & Options Monthly and YTD Volume (contracts in 000s) |
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| 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% | ||||||||||||
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U.S. Equity Options (contracts in 000s) |
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| 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 | |||||||||||||
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(1) |
“NYSE Equity Options” includes NYSE Amex Options and NYSE Arca Options markets for 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
Ending August 2014 |
Three Months
Ending July 2014 |
Three Months
Ending June 2014 |
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| US Equity Options | $0.15 | $0.15 | $0.15 | |||||||||
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U.S. Cash Products (shares in millions) |
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| 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. |
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U.S. Cash Rolling Three-Month Revenue Capture (per 100 shares) |
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| 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.
- A 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.
