IntercontinentalExchange (NYSE: ICE), a leading operator of global markets and clearing houses, today reported futures volume for November 2012. ICE's average daily volume (ADV) for futures and options was 3,198,341 contracts, down 5% from the prior November. Year-to-date through November 30, ADV was 3,415,552 contracts, up 10% compared to the first eleven months of 2011. Total volume in November 2012 was 67.2 million contracts. All prior period contract volumes have been adjusted to include the converted futures contracts, which previously traded as swaps in ICE's OTC markets.
Financial Update
- Following the transition of ICE's cleared energy swaps to futures, two new reports have been added to the Investors and Media section of the ICE website. The first report provides historical monthly volume in the new volume release format. The second report provides historical detail on energy contract volume for legacy swaps and futures. These can be found on the Supplemental Information page.
November 2012 Review
- On December 10, ICE Futures Europe plans to reopen the emissions daily futures market and plans to also launch a new Phase III EUA daily futures contract.
- ICE Futures U.S. announced the January 2013 launch of two cash-settled foreign exchange contracts: the Indian rupee and Brazilian real futures contracts. ICE is the first U.S. exchange to offer Indian Rupee futures.
- ICE Clear Credit set a daily clearing record with $14.5 billion notional cleared on November 15. To date, $85 billionin buy-side notional value has been cleared.
ICE Futures Contracts & Markets ADV
|
Product Line (Futures & Options) |
ADV Nov 2012 |
ADV Nov 2011 |
ADV % Change |
ADV YTD Nov 2012 |
ADV YTD Nov 2011 |
ADV % Change |
|
ICE Brent |
602,656 |
607,282 |
-0.8 |
634,299 |
546,410 |
16.1 |
|
ICE Gasoil |
236,232 |
283,678 |
-16.7 |
262,271 |
269,292 |
-2.6 |
|
ICE Other Oil (1)* |
212,215 |
250,765 |
-15.4 |
207,631 |
255,157 |
-18.6 |
|
ICE OIL |
1,051,103 |
1,141,725 |
-7.9 |
1,104,201 |
1,070,859 |
3.1 |
|
ICE Natural Gas* |
1,161,464 |
1,541,750 |
-24.7 |
1,484,967 |
1,292,244 |
14.9 |
|
ICE Power* |
563,830 |
255,790 |
120.4 |
368,890 |
246,192 |
49.8 |
|
ICE Emissions & Other (2) |
59,590 |
45,930 |
29.7 |
41,251 |
34,697 |
18.9 |
|
TOTAL ENERGY |
2,835,988 |
2,985,195 |
-5.0 |
2,999,309 |
2,643,992 |
13.4 |
|
ICE Sugar |
92,883 |
83,938 |
10.7 |
131,818 |
129,619 |
1.7 |
|
ICE Other Ags (3) |
127,680 |
117,053 |
9.1 |
122,001 |
110,331 |
10.6 |
|
TOTAL AGRICULTURAL |
220,563 |
200,990 |
9.7 |
253,818 |
239,950 |
5.8 |
|
ICE Equity Index (4) |
116,844 |
160,601 |
-27.2 |
133,301 |
176,556 |
-24.5 |
|
ICE FX (5) |
24,945 |
30,478 |
-18.2 |
29,124 |
36,650 |
-20.5 |
|
TOTAL FINANCIALS |
141,789 |
191,080 |
-25.8 |
162,425 |
213,205 |
-23.8 |
|
TOTAL FUTURES & OPTIONS |
3,198,341 |
3,377,265 |
-5.3 |
3,415,552 |
3,097,147 |
10.3 |
Note: Figures may not foot due to rounding.
(1) "ICE Other Oil" includes futurized oil contracts, WTI, Heating Oil, RBOB Gasoline and Middle East Sour Crude. Excludes Daily Brent Bullet contracts.
(2) "ICE Emissions & Other" includes all emissions contracts, freight, coal and iron ore and uranium.
(3) "ICE Other Ags" includes Cocoa, Coffee "C", Cotton No. 2, Orange Juice, Corn, Wheat, Soybeans, Barley and Canola.
(4) "ICE Equity Index" includes the Russell 2000®, Russell 1000®, and the Continuous Commodity Index.
(5) "ICE FX" includes futures and options for the U.S. Dollar Index and foreign exchange.
*Historical volume has been adjusted to include new energy futures contracts.
ICE Futures Monthly and YTD Volume
|
Futures & Options Products |
November 2012 |
November 2011 |
Percent Change |
YTD Nov 2012 |
YTD Nov 2011 |
Percent Change |
|
Energy* |
59,555,753 |
62,689,095 |
-5.0 |
695,839,690 |
610,762,042 |
13.9 |
|
Agricultural |
4,631,833 |
4,220,798 |
9.7 |
58,865,798 |
55,390,545 |
6.3 |
|
Financials |
2,977,578 |
4,012,677 |
-25.8 |
37,682,594 |
49,250,461 |
-23.5 |
|
TOTAL CONTRACTS |
67,165,164 |
70,922,570 |
-5.3 |
792,388,082 |
715,403,048 |
10.8 |
*Historical energy volume has been adjusted to include new energy futures contracts.
Rolling Three-Month Average Rate per Contract (RPC)
|
Futures & Options Products |
Three Months Ending November 2012 |
Three Months Ending October 2012 |
Three Months Ending September 2012 |
|
Energy* |
$1.08 |
$1.08 |
$1.11 |
|
Agricultural* |
$2.43 |
$2.40 |
$2.40 |
|
Financials |
$1.01 |
$1.01 |
$1.00 |
*Historical energy RPC has been adjusted to include new energy futures contracts and agricultural RPC has been adjusted to include Canadian contracts.
ICE Futures & Options Open Interest
|
November 30, 2012 |
December 31, 2011 |
|
|
Energy* |
71,070,258 |
53,518,772 |
|
Agricultural |
2,484,406 |
2,292,279 |
|
Financials |
502,113 |
531,162 |
*Historical energy open interest has been updated to include new energy futures contracts.
- Through November 26, ICE's CDS clearing houses have cleared $36 trillion in gross notional value on a cumulative basis across 1.1 million trades. ICE Clear Credit has cleared $2.1 trillion in single-name CDS resulting in open interest of $841 billion. ICE Clear Europe has cleared €1.5 trillion ($2.0 trillion) in single-name CDS resulting in €556 billion ($721 billion) of open interest. ICE lists 381 CDS instruments for clearing. A complete summary of CDS clearing can be found at: https://www.theice.com/clear_credit.jhtml
- Trading days in November 2012
- ICE Futures Europe & U.S: 21
- ICE Futures Canada: 21
Note: As of October 15, 2012, ICE transitioned all of the open interest in OTC cleared energy swaps contracts to futures contracts. All futures volumes in the tables above have been adjusted to treat, on a pro forma basis, the OTC cleared energy swaps contracts as futures contracts for all periods prior to October 2012.
RPC is calculated by dividing transaction revenues by contract volume, and may vary based on pricing, customer and product mix.
Historical futures volume and OTC commission data can be found at:
http://ir.theice.com/supplemental.cfm
