Intercontinental Exchange, Inc. (NYSE: ICE), the leading global network of exchanges and clearing houses, today reported exchange traded volumes.
For September and the third quarter of 2014, futures and options average daily volume (ADV) decreased 6% and 13%, respectively, compared to prior year periods.
- Commodity ADV declined 6% year to year in September, with energy ADV down 7%, partially offset by Other Oil and Other Ags ADV, which both increased 15% year to year.
- Financials ADV decreased 5% over the prior September due to continued low volatility in European interest rates. This was partially offset by medium and long-term interest rates and equity derivatives ADV, which increased 19% and 24%, respectively.
- NYSE’s U.S. cash equities ADV declined 1%, while U.S. equity options ADV increased 1%, over the prior September.
- U.S. cash equities market share was 23.7% and U.S. options market share was 23.1% for the month.
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ICE Futures & Options ADV (contracts in 000s) |
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| ADV Sep | ADV Sep | Change | ADV YTD | ADV YTD | Change | |||||||
| 2014 | 2013 | y/y | Sep ‘14 | Sep ‘13 | y/y | |||||||
| COMMODITIES | ||||||||||||
| Energy | ||||||||||||
| Brent | 704 | 715 | -2% | 667 | 689 | -3% | ||||||
| Gasoil | 208 | 279 | -26% | 213 | 269 | -21% | ||||||
| Other Oil (1) | 287 | 250 | 15% | 266 | 259 | 3% | ||||||
| TOTAL OIL | 1,199 | 1,244 | -4% | 1,147 | 1,217 | -6% | ||||||
| Natural Gas (2) | 884 | 988 | -11% | 890 | 1,201 | -26% | ||||||
| Power (3) | 111 | 124 | -10% | 113 | 130 | -13% | ||||||
| Emissions & Other (4) | 38 | 43 | -13% | 41 | 41 | 0% | ||||||
| TOTAL ENERGY | 2,232 | 2,399 | -7% | 2,190 | 2,589 | -15% | ||||||
| Agricultural | ||||||||||||
| Sugar (5) | 209 | 225 | -7% | 162 | 157 | 3% | ||||||
| Other Ags & Metals (6) | 157 | 137 | 15% | 177 | 179 | -1% | ||||||
| TOTAL AGRICULTURAL & METALS | 366 | 363 | 1% | 340 | 336 | 1% | ||||||
| TOTAL COMMODITIES | 2,598 | 2,762 | -6% | 2,530 | 2,925 | -13% | ||||||
| FINANCIALS | ||||||||||||
| Interest Rates | ||||||||||||
| Short-term Interest Rates (7) | 1,532 | 1,889 | -19% | 1,574 | 2,222 | -29% | ||||||
| Medium & Long-term Interest Rates (8) | 177 | 149 | 19% | 174 | 180 | -3% | ||||||
| TOTAL INTEREST RATES | 1,709 | 2,038 | -16% | 1,748 | 2,402 | -27% | ||||||
| TOTAL EQUITY DERIVATIVES (9) | 896 | 723 | 24% | 958 | 1,013 | -5% | ||||||
| TOTAL FX (10) | 50 | 37 | 37% | 27 | 40 | -32% | ||||||
| TOTAL FINANCIALS | 2,656 | 2,797 | -5% | 2,734 | 3,455 | -21% | ||||||
| TOTAL FUTURES & OPTIONS | 5,254 | 5,560 | -6% | 5,264 | 6,379 | -17% | ||||||
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
- For 2014, adjusted earnings from continuing operations for the first half should be used when calculating full year 2014 EPS. Adjusted earnings from continuing operations for the first half of 2014 of $4.38 can be found on page 51 of ICE’s June 30, 2014 Quarterly Report on Form 10-Q (and also in our 2Q14 Income Statement Summary here). Actual GAAP EPS from continuing operations was $4.03 for the first half of 2014.
- Daily volume reporting for Liffe futures contracts will transition to ICE volume and open interest reports (Daily, MTD & YTD report) in Report Center as the contracts transition to ICE Futures Europe.
- Aggregate daily North American natural gas and power, and global oil volumes are now included in this report.
- Daily volumes for NYSE U.S. equity and U.S. equity options are now available on our website. The guide to tracking daily volume can be found on the Supplemental Volume Information page in the Investor section of the website.
- ICE’s third quarter earnings results are scheduled to be announced pre-market on Tuesday, November 4.
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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 | Sep 2014 | Aug 2014 | July 2014 | |||
| Energy | $1.35 | $1.36 | $1.36 | |||
| Agricultural & Metals | $2.53 | $2.50 | $2.44 | |||
| Total Commodities | $1.49 | $1.50 | $1.50 | |||
| Interest Rates | $0.67 | $0.68 | $0.66 | |||
| Total Financials | $0.63 | $0.62 | $0.59 | |||
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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| Sep 30, 2014 | Dec 31, 2013 | |||
| Energy | 38,332 | 41,470 | ||
| Agricultural & Metals | 3,485 | 3,372 | ||
| Total Commodities | 41,817 | 44,842 | ||
| Interest Rates | 18,137 | 18,101 | ||
| Total Financials | 34,540 | 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 | Sep-14 | Sep-13 | Change | Sep ‘14 | Sep ‘13 | Change | ||||||
| Commodities | 54,551 | 55,290 | -1% | 475,614 | 550,025 | -14% | ||||||
| Financials | 57,757 | 58,498 | -1% | 523,107 | 662,451 | -21% | ||||||
| TOTAL CONTRACTS | 112,309 | 113,788 | -1% | 998,721 | 1,212,476 | -18% | ||||||
|
ICE Futures & Options Third Quarter 2014 ADV and Volume (contracts in 000s) |
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| Vol % | 3Q14 | 3Q13 | Vol % | |||||||||
| Futures & Options Products | 3Q14 ADV | 3Q13 ADV | Change | Volume | Volume | Change | ||||||
| Commodities | 2,420 | 2,612 | -7% | 154,866 | 167,257 | -7% | ||||||
| Financials | 2,212 | 2,738 | -19% | 145,109 | 180,332 | -20% | ||||||
| TOTAL CONTRACTS | 4,632 | 5,350 | -13% | 299,975 | 347,589 | -14% | ||||||
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U.S. Equity Options (contracts in 000s) |
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| ADV Sep | ADV Sep | Change | ADV YTD | ADV YTD | Change | |||||||
| 2014 | 2013 | y/y | Sep ‘14 | Sep ‘13 | y/y | |||||||
| NYSE Equity Options(1) | 3,664 | 3,641 | 1% | 3,585 | 4,036 | -11% | ||||||
| Total U.S. Options Volume | 15,886 | 14,292 | 11% | 15,001 | 14,826 | 1% | ||||||
| NYSE Share of Group Total | 23.1% | 25.5% | -2.4pts | 23.9% | 27.2% | -3.3pts | ||||||
(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 | ||||
| Ending | Ending | Ending | ||||
| Sep 2014 | Aug 2014 | July 2014 | ||||
| US Equity Options | $0.16 | $0.16 | $0.15 | |||
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U.S. Cash Products (shares in millions) |
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| ADV Sep | ADV Sep | Change | ADV YTD | ADV YTD | Change | |||||||
| 2014 | 2013 | y/y | Sep ‘14 | Sep ‘13 | y/y | |||||||
| NYSE Listed (Tape A) Issues | ||||||||||||
| Handled Volume (1) | 1,053 | 1,085 | -3% | 1,016 | 1,092 | -7% | ||||||
| Matched Volume(2) | 1,033 | 1,051 | -2% | 993 | 1,053 | -6% | ||||||
| Total NYSE Listed Consolidated Volume | 3,226 | 3,361 | -4% | 3,268 | 3,442 | -5% | ||||||
| Share of Total Matched Consolidated Volume | 32.0% | 31.3% | 0.7pts | 30.4% | 30.6% | -0.2pts | ||||||
| NYSE Arca, MKT and Regional (Tape B) Listed Issues | ||||||||||||
| Handled Volume (1) | 250 | 262 | -5% | 235 | 251 | -6% | ||||||
| Matched Volume(2) | 236 | 243 | -3% | 222 | 231 | -4% | ||||||
| Total NYSE Arca and MKT Listed Consolidated Volume | 1,010 | 1,067 | -5% | 1,015 | 1,091 | -7% | ||||||
| Share of Total Matched Consolidated Volume | 23.4% | 22.8% | 0.6pts | 21.9% | 21.2% | 0.7pts | ||||||
| Nasdaq Listed (Tape C) Issues | ||||||||||||
| Handled Volume (1) | 199 | 167 | 19% | 200 | 184 | 8% | ||||||
| Matched Volume(2) | 184 | 148 | 25% | 184 | 165 | 12% | ||||||
| Total Nasdaq Listed Consolidated Volume | 1,889 | 1,764 | 7% | 1,964 | 1,743 | 13% | ||||||
| Share of Total Matched Consolidated Volume | 9.7% | 8.4% | 1.4pts | 9.4% | 9.4% | -0.1pts | ||||||
| TOTAL U.S. Cash Market Share Matched | 23.7% | 23.3% | 0.4pts | 22.4% | 23.1% | -0.7pts | ||||||
| TOTAL ADV U.S. Cash Shares Handled | 1,502 | 1,514 | -1% | 1,451 | 1,528 | -5% | ||||||
| (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 | ||||||
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(per 100 shares) |
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| Three Months | Three Months | Three Months | ||||
| Ending | Ending | Ending | ||||
| Sep 2014 | Aug 2014 | July 2014 | ||||
| U.S. Cash Products | $0.048 | $0.048 | $0.050 | |||
Credit Default Swaps (CDS) Transaction and Clearing
- Third quarter 2014 revenues from ICE’s credit default swap (CDS) trade execution, processing and clearing businesses totaled $37 million, compared to $38 million in the prior third quarter, and included $23 million in clearing revenues, compared to clearing revenues of $22 million in the third quarter of 2013.
- Through September 30, ICE has cleared $57 trillion in gross notional value of CDS on a cumulative basis across 2.0 million trades with open interest of $1.6 trillion. Buy-side clearing of CDS totaled $8.7 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
September 2014 Review
- Consecutive daily volume records were established in the mini MSCI Emerging Markets Index futures contracts of 190,595 and 227,717 contracts, respectively. Daily volume records were also set in the mini MSCI Index futures complex, mini MSCI EAFE Index futures, mini MSCI Europe Index futures, Russell 1000 Value Index mini futures and Cocoa options contracts.
- Total monthly and average daily volume records were established in Brent options, Gasoil options, Coal Newcastle options, mini MSCI Index futures complex, mini MSCI Emerging Markets Index futures, mini MSCI EAFE Index futures and mini MSCI Europe Index futures.
- Open interest records were established in the Brent options, Heating Oil options, ECX EUAA futures, Newcastle Coal futures and options, FTSE 100 Equal Weighted TR Index futures, MSCI USA Equal Weighted NTR USD Index futures, the mini MSCI Index futures complex, mini MSCI Emerging Markets Index futures, mini MSCI EAFE Index futures, mini MSCI Europe Index futures, US Dollar Index futures and Rotterdam Coal and Richards Bay Coal options contracts.
- 30 new energy futures and options contracts were introduced by ICE Futures.
- ICE completed first phase of the Liffe Transition to ICE Futures Europe; London soft commodities are now on the ICE platform alongside ICE Futures U.S. softs contracts.
- On September 19, Alibaba Group Holding Ltd. listed on the NYSE in what was the largest ever U.S. initial public offering.
- ICE completed the sale of NYFIX and Metabit to ULLINK.
- ICE Trade Vault, a Canadian Trade Repository to serve the commodity, credit and foreign exchange asset classes, was approved by Ontario Securities Commission.
- ICE announced it will acquire SuperDerivatives, a leading provider of risk management analytics, financial market data and valuation services, to support the company’s expansion of data and clearing.
- ICE announced it will acquire a majority stake in the Holland Clearing House, which will be ICE’s first clearing house in Continental Europe.
- ICE Futures U.S. updated its mini gold futures and options contract to allow delivery in a single kilo-sized bar.
Trading days in September 2014:
- Interest Rates, Single Stock Equity Derivatives: 22
- Commodities, Other Financials: 21
- US Cash Equities, US Equity Options: 21
ICE closed the acquisition of NYSE on November 13, 2013. For comparison purposes NYSE volumes are included for all periods covered.
