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The Chicago Board of Trade (CBOT®), one of the world’s leading derivatives exchanges, today announced that average daily volume (ADV) reached 2,818,412 contracts in July, an increase of 21 percent compared with July 2005. Total volume for the month was 56,368,238 contracts.
As the CBOT launches daytime electronic trading of Agricultural futures contracts this morning, the Exchange reported year-over-year volume growth in its Agricultural futures and options complex – both electronically and overall. For July, total ADV was 505,155 futures and options contracts, a 26 percent increase over July 2005. July’s average daily Agricultural trading volume on the Exchange’s electronic trading platform was a record 20,093 contracts, 74 percent greater than the same month in 2005. The increased Agricultural volume total was driven, in part, by improved ADV in Corn (237,676 contracts) and Wheat (60,531 contracts) futures and options, which grew by 38 percent and 48 percent, respectively, compared with July 2005.
CBOT Metals Volume Continues to Expand; Market Share Increases for Fourth Straight Month
For the fourth consecutive month, the 100-percent electronically traded CBOT Metals complex experienced growth in market share. In July, the Exchange’s Gold complex had approximately 41 percent market share of listed Gold futures in North America, while the CBOT Silver complex had approximately 33 percent of listed Silver futures in North America. ADV for the Metals complex was 59,355 contracts in July, an 18 percent increase over June 2006 and 17 times greater than July 2005. July 2006 ADV for Gold and Silver futures increased by 19 times and 10 times, respectively, compared with the same month in 2005 (see the below chart for further detail).
The CBOT Metals complex includes Full-sized (100 oz.) Gold futures and options contracts, mini-sized (33 oz.) Gold futures contracts, Full-sized (5,000 oz.) Silver futures and options contracts and mini-sized Silver futures contracts.
Interest Rate Complex Sees 17 Percent ADV Increase
In July, ADV for the CBOT Interest Rate complex was 2,128,405 contracts, up 16 percent compared with July 2005. The complex again exhibited growth on both ends of the yield curve. At the long end of the curve (10-Year Treasury Note futures and options, 30-Year U.S. Treasury Bond futures and options), ADV was 1,422,533 contracts, up 15 percent over July 2005. And on the short end of the curve (30-Day Federal Funds futures and options, Two-Year U.S. Treasury Note futures and options), ADV reached 246,287 contracts in July for a 96 percent increase compared with the same month last year.
These ADV increases across the Interest Rate complex were driven, in part, by continued growth in electronic trading of Interest Rate options contracts. In July, an average of 64,919 Interest Rate options were traded electronically each day – up 150 percent compared with July 2005. During the month of July, 17 percent of all Interest Rate options trades at the CBOT were executed electronically.
The Exchange launched its newest electronically traded Interest Rate options contract – Binary Options on the Target Federal Funds Rate contracts – on July 12. The product has been well received by market participants. On Friday, July 21, the new product exceeded 1,000 contracts in open interest – only eight trading days following its introduction.
Earlier in the month, new market makers Citigroup and Goldman Sachs began to provide liquidity in the CBOT Interest Rate Swap complex. As of July 28, open interest in the Swap complex increased to 29,633 contracts, up 52 percent compared with the total from the end of June 2006. CBOT Swap futures contracts mitigate traditional counter-party credit risk by the guarantee of the centralized clearinghouse, while real-time dynamic pricing on the e-cbot® electronic trading platform provides a transparent benchmark for swap rates. The Exchange offers Five-Year and Ten-Year Swap futures contracts.
Volume Increase in Mini-Sized Dow Futures Drive Growth Across Equity Index Complex
ADV in the CBOT Equity Index complex was 125,411 in July, an increase of 29 percent compared with July 2005. The Exchange’s mini-sized Dow Jones futures contracts continue to be the key driver behind volume growth in the complex. For the month of July, an average of 117,440 mini-Dow contracts traded each day, 30 percent greater than July 2005.
CBOT Average Daily Volume
|
Product Group |
July 2006 |
July 2005 |
Percent Change |
YTD 2006 |
YTD 2005 |
Percent Change |
|
Agricultural |
505,155 |
401,269 |
26% |
475,483 |
390,586 |
22% |
|
Financial |
2,128,405 |
1,827,297 |
17% |
2,513,009 |
2,288,342 |
10% |
|
Equity Indices |
125,411 |
97,089 |
29% |
122,532 |
108,016 |
13% |
|
Metals, Energy and Other |
59,442 |
3,301 |
1701% |
41,181 |
3,266 |
1,161% |
|
TOTAL |
2,818,412 |
2,328,956 |
21.0% |
3,152,205 |
2,790,206 |
13.0% |
CBOT Rate Per Contract
The following chart depicts the Exchange’s June 2006 three-month rolling average rate per contract (in dollars), and the two preceding three-month periods’ average rates per contract. Average rate per contract represents total exchange and clearing revenue divided by total reported trading volume. Average rates per contract can be affected by exchange and clearing fee price levels, and the customer, product, venue and transaction mix.
|
|
THREE-MONTH PERIOD ENDING |
||
|
|
June 30, 2006 |
May 31, 2006 |
Apr. 30, 2006 |
|
Product Group |
|
|
|
|
Interest Rate |
0.523 |
0.531 |
0.524 |
|
Agriculture |
0.680 |
0.674 |
0.685 |
|
Equity Indices |
0.712 |
0.764 |
0.771 |
|
Metals, Energy & Other |
0.986 |
1.012 |
1.161 |
|
Overall Avg. Rate per Contract |
0.564 |
0.566 |
0.562 |
|
Venue |
|
|
|
|
Open-Auction |
0.515 |
0.510 |
0.516 |
|
Electronic |
0.503 |
0.514 |
0.504 |
|
Off-Exchange |
2.564 |
2.429 |
2.345 |
|
Total Avg. Rate per Contract |
0.564 |
0.566 |
0.562 |
About the CBOT
As one of the leading global derivative exchanges, the Chicago Board of Trade provides a diverse mix of financial, equity and commodity futures and options-on-futures products. Building on its 158-year history, the CBOT continues to advance into the future using the strength of deep liquidity, market integrity and member-trader expertise. Using superior trading technology in both electronic and open-auction trading platforms, the CBOT provides premier customer service to risk managers and investors worldwide. For more information, visit our website at www.cbot.com.
Forward Looking Statements
Certain statements in this press release may contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and includes any use of the words “may,” “should,” “could,” “expects,” “plans,” “anticipates,” “believes,” “estimates,” “predicts,” “potential” or “continue.” These statements are based on management’s current expectations and involve assumptions that may be subject to change or risks and uncertainties that could cause actual results to differ materially from those set forth in the statements. Accordingly, actual outcomes and results may differ materially from what is expressed or implied in any forward-looking statement contained in this press release. The factors that may affect our performance may be found in the Annual Report on Form 10-K and other periodic reports filed by CBOT Holdings, Inc. with the U.S. Securities and Exchange Commission (“SEC”). These filings can be obtained at the SEC’s website at www.sec.gov. We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise.
