Intercontinental Exchange (NYSE: ICE), the leading global network of exchanges and clearing houses, today reported March exchange traded volume.
ICE’s March 2015 futures and options average daily volume (ADV) declined 7% compared to March 2014.
- Commodity ADV increased 13% led by Brent, Gasoil, Other Oil and Nat Gas up 28%, 8%, 32%, and 9% respectively, from the prior March.
- Financials ADV declined 22% from the previous March primarily due to continued low volatility in Continental European short-term interest rates and single stock equities, partially offset by a 9% and 6% increase in Sterling and Gilt ADV, respectively.
ADV for NYSE’s U.S. cash equities increased 6%, while U.S. equity options ADV declined 32% over the prior March. NYSE’s U.S. cash equities market share was 24.4% and NYSE’s U.S. options market share was 17.9%.
ICE Futures & Options ADV (contracts in 000s) |
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ADV Mar | ADV Mar | Change | ADV | ADV | Change | ||||||||||||||||
2015 | 2014 | y/y | 1Q15 | 1Q14 | y/y | ||||||||||||||||
COMMODITIES | |||||||||||||||||||||
Energy | |||||||||||||||||||||
Brent | 786 | 612 | 28% | 894 | 625 | 43% | |||||||||||||||
Gasoil | 231 | 215 | 8% | 270 | 230 | 17% | |||||||||||||||
Other Oil (1) | 349 | 264 | 32% | 391 | 259 | 51% | |||||||||||||||
TOTAL OIL | 1,367 | 1,091 | 25% | 1,555 | 1,114 | 40% | |||||||||||||||
Natural Gas (2) | 837 | 765 | 9% | 1,059 | 1,171 | -10% | |||||||||||||||
Power (3) | 123 | 130 | -5% | 124 | 130 | -5% | |||||||||||||||
Emissions & Other (4) | 41 | 61 | -33% | 43 | 56 | -24% | |||||||||||||||
TOTAL ENERGY | 2,368 | 2,047 | 16% | 2,780 | 2,471 | 13% | |||||||||||||||
Agricultural | |||||||||||||||||||||
Sugar (5) | 163 | 153 | 6% | 179 | 187 | -4% | |||||||||||||||
Other Ags & Metals (6) | 173 | 183 | -5% | 193 | 206 | -6% | |||||||||||||||
TOTAL AGRICULTURAL & METALS | 336 | 336 | 0% | 372 | 393 | -5% | |||||||||||||||
TOTAL COMMODITIES | 2,703 | 2,383 | 13% | 3,152 | 2,864 | 10% | |||||||||||||||
FINANCIALS | |||||||||||||||||||||
Interest Rates | |||||||||||||||||||||
Short-term Interest Rates (7) | 1,258 | 1,722 | -27% | 1,307 | 1,879 | -30% | |||||||||||||||
Medium & Long-term Interest Rates (8) | 178 | 171 | 4% | 203 | 184 | 10% | |||||||||||||||
TOTAL INTEREST RATES | 1,436 | 1,892 | -24% | 1,509 | 2,063 | -27% | |||||||||||||||
Equity Indices (9) | 542 | 544 | 0% | 412 | 437 | -6% | |||||||||||||||
Single Stock Equities (10) | 416 | 717 | -42% | 309 | 449 | -31% | |||||||||||||||
TOTAL EQUITY DERIVATIVES | 957 | 1,261 | -24% | 721 | 885 | -19% | |||||||||||||||
TOTAL FX (11) | 83 | 31 | 168% | 59 | 27 | 118% | |||||||||||||||
TOTAL FINANCIALS | 2,476 | 3,185 | -22% | 2,289 | 2,975 | -23% | |||||||||||||||
TOTAL FUTURES & OPTIONS | 5,180 | 5,568 | -7% | 5,441 | 5,840 | -7% |
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 Bullets. | |
(2) | “Natural Gas” includes North American, UK and European Natural Gas. | |
(3) | “Power” includes North American, UK and European Power. | |
(4) | “Emissions & Other” includes emissions, 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, Feed Wheat, 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 Index® 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) | “Equity Indices” 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®. | |
(10) | “Single Stock Equities” includes equities domiciled in 25 countries that trade in the UK. | |
(11) | “TOTAL FX” includes futures and options for the U.S. Dollar Index and foreign exchange. |
ICE Futures & Options Rolling Three-Month Average Rate per Contract (RPC) |
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Three Months | Three Months | Three Months | |||||||
Futures & Options | Ending | Ending | Ending | ||||||
Products | Mar 2015 | Feb 2015 | Jan 2015 | ||||||
Energy | $1.34 | $1.33 | $1.31 | ||||||
Agricultural & Metals | $2.34 | $2.40 | $2.37 | ||||||
Total Commodities | $1.46 | $1.45 | $1.40 | ||||||
Interest Rates | $0.60 | $0.60 | $0.63 | ||||||
Total Financials | $0.63 | $0.64 | $0.66 |
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) |
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Mar 31, 2015 | Dec 31, 2014 | |||||||||
Energy | 40,000 | 38,436 | ||||||||
Agricultural & Metals | 3,646 | 3,308 | ||||||||
Total Commodities | 43,647 | 41,744 | ||||||||
Interest Rates | 14,494 | 13,042 | ||||||||
Total Financials | 27,095 | 26,332 |
U.S. Equity Options (contracts in 000s) |
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ADV Mar | ADV Mar | Change | ADV | ADV | Change | |||||||||||||||
2015 | 2014 | y/y | 1Q15 | 1Q14 | y/y | |||||||||||||||
NYSE Equity Options(1) | 2,505 | 3,658 | -32% | 2,717 | 3,874 | -30% | ||||||||||||||
Total U.S. Options Volume | 14,010 | 15,316 | -9% | 14,822 | 16,073 | -8% | ||||||||||||||
NYSE Share of Group Total | 17.9% | 23.9% | -6.0pts | 18.3% | 24.1% | -5.8pts |
(1) | “NYSE Equity Options” includes NYSE Amex Options and NYSE Arca Options trading in U.S. equity options contracts. |
NYSE U.S. Equity Options Rolling Three-Month Average Rate per Contract (RPC) |
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Three Months | Three Months | Three Months | ||||||||||
Ending | Ending | Ending | ||||||||||
Mar 2015 | Feb 2015 | Jan 2015 | ||||||||||
NYSE US Equity Options | $0.18 | $0.18 | $0.18 |
NYSE U.S. Cash Products (shares in millions) |
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ADV Mar | ADV Mar | Change | ADV | ADV | Change | |||||||||||||||
2015 | 2014 | y/y | 1Q15 | 1Q14 | y/y | |||||||||||||||
NYSE Listed (Tape A) Issues | ||||||||||||||||||||
Handled Volume (1) | 1,180 | 1,091 | 8% | 1,182 | 1,080 | 9% | ||||||||||||||
Matched Volume(2) | 1,162 | 1,065 | 9% | 1,161 | 1,051 | 10% | ||||||||||||||
Total NYSE Listed Consolidated Volume | 3,523 | 3,469 | 2% | 3,680 | 3,600 | 2% | ||||||||||||||
Share of Total Matched Consolidated Volume | 33.0% | 30.7% | 2.3pts | 31.6% | 29.2% | 2.3pts | ||||||||||||||
NYSE Arca, MKT and Regional (Tape B) Listed Issues | ||||||||||||||||||||
Handled Volume (1) | 303 | 284 | 6% | 325 | 271 | 20% | ||||||||||||||
Matched Volume(2) | 287 | 269 | 7% | 309 | 256 | 21% | ||||||||||||||
Total NYSE Arca and MKT Listed Consolidated Volume | 1,314 | 1,226 | 7% | 1,356 | 1,204 | 13% | ||||||||||||||
Share of Total Matched Consolidated Volume | 21.9% | 21.9% | -0.1pts | 22.8% | 21.2% | 1.6pts | ||||||||||||||
Nasdaq Listed (Tape C) Issues | ||||||||||||||||||||
Handled Volume (1) | 204 | 220 | -7% | 213 | 215 | -1% | ||||||||||||||
Matched Volume(2) | 192 | 201 | -4% | 199 | 195 | 2% | ||||||||||||||
Total Nasdaq Listed Consolidated Volume | 1,877 | 2,234 | -16% | 1,902 | 2,169 | -12% | ||||||||||||||
Share of Total Matched Consolidated Volume | 10.2% | 9.0% | 1.2pts | 10.5% | 9.0% | 1.5pts | ||||||||||||||
TOTAL U.S. Cash Market Share Matched | 24.4% | 22.1% | 2.3pts | 24.1% | 21.5% | 2.5pts | ||||||||||||||
TOTAL ADV U.S. Cash Shares Handled | 1,687 | 1,596 | 6% | 1,720 | 1,566 | 10% | ||||||||||||||
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(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. |
NYSE U.S. Cash Rolling Three-Month Revenue Capture | ||||||||||||
(per 100 shares) |
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Three Months | Three Months | Three Months | ||||||||||
Ending | Ending | Ending | ||||||||||
Mar 2015 | Feb 2015 | Jan 2015 | ||||||||||
U.S. Cash Products | $0.049 | $0.050 | $0.051 | |||||||||
Credit Default Swaps (CDS) Transaction and Clearing
- First quarter 2015 revenues from ICE’s credit default swap (CDS) trade execution, processing and clearing businesses totaled $43 million, compared to $43 million in the prior first quarter, and included $29 million in CDS clearing revenues, which were up from$26 million in the first quarter 2014.
- ICE cleared $3.3 trillion in gross notional value of CDS in the first quarter 2015 compared to $3.5 trillion in gross notional cleared in the first quarter 2014.
- On March 20, CDS reached a new daily volume record with $190 billion gross notional cleared.
- More information can be found at: https://www.theice.com/clear-credit
Trading days in March 2015:
- Interest Rates, Single Stock Equity Derivatives: 22
- Commodities, Other Financials: 22
- US Cash Equities, US Equity Options: 22