Intercontinental Exchange, Inc. (NYSE: ICE), the leading global network of exchanges and clearing houses, today reported monthly exchange traded volumes.
In October, futures and options average daily volume (ADV) was flat and cash equities ADV increased 32% over the prior October.
- Commodity ADV increased 1% year to year, with energy ADV up 2% driven by increases in Brent and Other Oil ADV, up 28% and 20%, respectively, from the prior year period.
- Financials ADV declined 2% from the year period due to continued low volatility in Continental European short-term rates impacting the Euribor ADV, and was partially offset by growth in Sterling and Equity Indices ADV, which were up 62% and 50%, respectively, over the prior October.
- NYSE’s U.S. cash equities and U.S. equity options ADV increased 32% and 10%, respectively, over the prior October.
- U.S. cash equities market share was 23.9% and U.S. options market share was 22.8% for the month.
|
ICE Futures & Options ADV (contracts in 000s) |
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| ADV Oct | ADV Oct | Change | ADV YTD | ADV YTD | Change | |||||||
| 2014 | 2013 | y/y | Oct ‘14 | Oct ‘13 | y/y | |||||||
| COMMODITIES | ||||||||||||
| Energy | ||||||||||||
| Brent | 817 | 637 | 28% | 684 | 683 | 0% | ||||||
| Gasoil | 228 | 270 | -15% | 215 | 269 | -20% | ||||||
| Other Oil (1) | 302 | 253 | 20% | 270 | 258 | 4% | ||||||
| TOTAL OIL | 1,348 | 1,159 | 16% | 1,168 | 1,211 | -3% | ||||||
| Natural Gas (2) | 948 | 1,055 | -10% | 896 | 1,185 | -24% | ||||||
| Power (3) | 103 | 125 | -17% | 112 | 129 | -14% | ||||||
| Emissions & Other (4) | 33 | 42 | -22% | 40 | 41 | -3% | ||||||
| TOTAL ENERGY | 2,432 | 2,381 | 2% | 2,216 | 2,566 | -14% | ||||||
| Agricultural | ||||||||||||
| Sugar (5) | 94 | 137 | -32% | 155 | 155 | 0% | ||||||
| Other Ags & Metals (6) | 181 | 166 | 9% | 178 | 177 | 0% | ||||||
| TOTAL AGRICULTURAL & METALS | 274 | 303 | -10% | 333 | 332 | 0% | ||||||
| TOTAL COMMODITIES | 2,706 | 2,684 | 1% | 2,549 | 2,898 | -12% | ||||||
| FINANCIALS | ||||||||||||
| Interest Rates | ||||||||||||
| Short-term Interest Rates (7) | 1,387 | 1,612 | -14% | 1,554 | 2,156 | -28% | ||||||
| Medium & Long-term Interest Rates (8) | 208 | 131 | 59% | 178 | 175 | 2% | ||||||
| TOTAL INTEREST RATES | 1,595 | 1,743 | -8% | 1,732 | 2,331 | -26% | ||||||
| TOTAL EQUITY DERIVATIVES (9) | 732 | 653 | 12% | 934 | 974 | -4% | ||||||
| TOTAL FX (10) | 44 | 20 | 117% | 29 | 38 | -23% | ||||||
| TOTAL FINANCIALS | 2,371 | 2,416 | -2% | 2,695 | 3,343 | -19% | ||||||
| TOTAL FUTURES & OPTIONS | 5,077 | 5,101 | 0% | 5,244 | 6,242 | -16% | ||||||
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, 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 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
- Daily volume reporting for Liffe futures contracts will transition to ICE volume and open interest reports (Daily, MTD & YTD report) in the Report Center on our website as the contracts transition to ICE Futures Europe.
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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 | Oct 2014 | Sep 2014 | Aug 2014 | |||
| Energy | $1.33 | $1.35 | $1.36 | |||
| Agricultural & Metals | $2.48 | $2.52 | $2.50 | |||
| Total Commodities | $1.47 | $1.49 | $1.50 | |||
| Interest Rates | $0.67 | $0.67 | $0.68 | |||
| Total Financials | $0.65 | $0.62 | $0.62 | |||
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) |
||||
| Oct 31, 2014 | Dec 31, 2013 | |||
| Energy | 40,273 | 41,470 | ||
| Agricultural & Metals | 3,564 | 3,372 | ||
| Total Commodities | 43,837 | 44,842 | ||
| Interest Rates | 17,473 | 18,101 | ||
| Total Financials | 35,268 | 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 | Oct-14 | Oct-13 | Change | Oct ‘14 | Oct ‘13 | Change | ||||||
| Commodities | 62,236 | 61,709 | 1% | 537,849 | 611,734 | -12% | ||||||
| Financials | 54,537 | 55,577 | -2% | 577,644 | 718,028 | -20% | ||||||
| TOTAL CONTRACTS | 116,773 | 117,285 | 0% | 1,115,494 | 1,329,762 | -16% | ||||||
|
U.S. Equity Options (contracts in 000s) |
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| ADV Oct | ADV Oct | Change | ADV YTD | ADV YTD | Change | |||||||
| 2014 | 2013 | y/y | Oct ‘14 | Oct ‘13 | y/y | |||||||
| NYSE Equity Options(1) | 4,326 | 3,921 | 10% | 3,666 | 4,023 | -9% | ||||||
| Total U.S. Options Volume | 18,994 | 15,684 | 21% | 15,436 | 14,919 | 3% | ||||||
| NYSE Share of Group Total | 22.8% | 25.0% | -2.2pts | 23.7% | 27.0% | -3.3pts | ||||||
(1) “NYSE Equity Options” includes NYSE Amex Options and NYSE Arca Options trading in U.S. equity options contracts.
|
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 | ||||
| Oct 2014 | Sep 2014 | Aug 2014 | ||||
| US Equity Options | $0.16 | $0.16 | $0.16 | |||
|
U.S. Cash Products (shares in millions) |
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| ADV Oct | ADV Oct | Change | ADV YTD | ADV YTD | Change | |||||||
| 2014 | 2013 | y/y | Oct ‘14 | Oct ‘13 | y/y | |||||||
| NYSE Listed (Tape A) Issues | ||||||||||||
| Handled Volume (1) | 1,298 | 1,025 | 27% | 1,047 | 1,085 | -3% | ||||||
| Matched Volume(2) | 1,270 | 991 | 28% | 1,023 | 1,046 | -2% | ||||||
| Total NYSE Listed Consolidated Volume | 4,099 | 3,371 | 22% | 3,359 | 3,435 | -2% | ||||||
| Share of Total Matched Consolidated Volume | 31.0% | 29.4% | 1.6pts | 30.5% | 30.5% | 0.0pts | ||||||
| NYSE Arca, MKT and Regional (Tape B) Listed Issues | ||||||||||||
| Handled Volume (1) | 384 | 247 | 55% | 251 | 251 | 0% | ||||||
| Matched Volume(2) | 365 | 229 | 59% | 238 | 231 | 3% | ||||||
| Total NYSE Arca and MKT Listed Consolidated Volume | 1,549 | 1,059 | 46% | 1,073 | 1,088 | -1% | ||||||
| Share of Total Matched Consolidated Volume | 23.6% | 21.7% | 1.9pts | 22.1% | 21.3% | 0.8pts | ||||||
| Nasdaq Listed (Tape C) Issues | ||||||||||||
| Handled Volume (1) | 250 | 189 | 32% | 205 | 185 | 11% | ||||||
| Matched Volume(2) | 234 | 168 | 39% | 189 | 165 | 15% | ||||||
| Total Nasdaq Listed Consolidated Volume | 2,182 | 1,885 | 16% | 1,988 | 1,758 | 13% | ||||||
| Share of Total Matched Consolidated Volume | 10.7% | 8.9% | 1.8pts | 9.5% | 9.4% | 0.1pts | ||||||
| TOTAL U.S. Cash Market Share Matched | 23.9% | 22.0% | 1.9pts | 22.6% | 23.0% | -0.4pts | ||||||
| TOTAL ADV U.S. Cash Shares Handled | 1,931 | 1,461 | 32% | 1,503 | 1,520 | -1% | ||||||
| (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) |
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| Three Months | Three Months | Three Months | ||||
| Ending | Ending | Ending | ||||
| Oct 2014 | Sep 2014 | Aug 2014 | ||||
| U.S. Cash Products | $0.050 | $0.050 | $0.048 | |||
Credit Default Swaps (CDS) Transaction and Clearing
- Through October 31, ICE has cleared $59 trillion in gross notional value of CDS on a cumulative basis across 2 million trades with open interest of $1.7 trillion. Buy-side clearing of CDS totaled $10 trillion since the launch of client clearing at ICE Clear Credit in December of 2009. ICE lists over 500 CDS instruments for clearing. A complete summary of CDS clearing can be found at: https://www.theice.com/clear_credit.jhtml
October 2014 Review
- Daily volume records were established in Low Sulphur Gasoil futures and U.S. Dollar Index futures contracts.
- Total monthly and average daily volume records were established in Brent, WTI and Cocoa options contracts. A total monthly volume record was set in Gasoil options contracts.
- Open interest records were established in Brent, Gasoil, Coal and Cocoa options contracts and MSCI AC Asia ex Japan Net Total Return index, MSCI Pacific ex Japan Net Total Return index, MSCI India Net Total Return index, MSCI Emerging Markets Asia and MSCI All Country World ex-US index futures contracts.
- ICE completed the SuperDerivatives acquisition, a leading provider of risk management analytics, financial market data and valuation services, expanding our clearing offering into OTC and other exchange products.
- ICE Clear Credit introduced clearing for Hungary and South Africa CDS instruments for dealer to dealer and client clearing.
- ICE Benchmark Administration published its position paper on the evolution and enhancement of ICE LIBOR.
- The New York Stock Exchange named Stacey Cunningham President of NYSE Governance Services, a leading provider of corporate governance, risk, ethics and compliance services for public and privately held companies.
- NYSE Regulation will perform market surveillance, investigation and enforcement functions for NYSE Group’s three equities exchanges and two options exchanges beginning December 31, 2015.
Trading days in October 2014:
- Interest Rates, Single Stock Equity Derivatives: 23
- Commodities, Other Financials: 23
- US Cash Equities, US Equity Options: 23
ICE closed the acquisition of NYSE on November 13, 2013. For comparison purposes NYSE volumes are included for all periods covered.
