CHICAGO, April 6, 2021 /PRNewswire/ -- Cboe Global Markets, Inc. (Cboe: CBOE), a market operator and global trading solutions provider, today reported March monthly trading volume statistics across its global business lines and provided guidance for selected revenue per contract/net revenue capture metrics for the first quarter of 2021.
U.S. EQUITIES – EXCHANGE MATCHED VOLUME (shares, millions)
U.S. EQUITIES – OFF-EXCHANGE MATCHED VOLUME (shares, millions)1
CANADIAN EQUITIES MATCHED VOLUME (shares, thousands)2
EUROPEAN EQUITIES (€ millions)
Total Notional Value
GLOBAL FX ($ millions)4
Total Notional Value
1U.S. Equities Off-Exchange data reflects Cboe's acquisition of BIDS Trading effective on December 31, 2020. ADV= average daily volume
2Canadian Equities data reflects Cboe's acquisition of MATCHNow effective on August 4, 2020. ADNV= average daily notional value
3EuroCCP data reflects Cboe's acquisition of EuroCCP effective on July 1, 2020.
4Global FX metrics continue to include Spot and as of January 2021 include SEF products.
March and First Quarter 2021 Trading Volume Highlights |Options
Total combined volume at Cboe Global Markets' four options exchanges set a new monthly volume record with 266 million contracts traded. Total options volume also set a new quarterly volume record with 773 million contracts traded in the first quarter of 2021.
Average daily volume (ADV) for index options of 1.9 million increased 19 percent sequentially compared to 1.6 million in the fourth quarter of 2020.
On March 1, Cboe successfully launched trading in Mini-Russell 2000® Index options (MRUT), in its first full month of trading, ADV in MRUT was 605 contracts.
Quarterly ADV in Cboe Volatility Index® (VIX®) futures was 237,183 contracts, up 63 percent from the fourth quarter of 2020. For the sixth consecutive month, VIX futures average daily open interest increased, reaching 385,789 contracts in March.
ADV in Mini VIX (VXM) futures outperformed the previous quarter with 16,963 contracts traded per day, up 35 percent from the fourth quarter of 2020.
Quarterly ADV in Cboe® iBoxx® iShares® $ High Yield Corporate Bond Index (IBHY) futures reached a new high of 1,200 contracts traded, up 59 percent from the fourth quarter of 2020. In total, first quarter 2021 volume in IBHY futures represented more than $10.6 billion in notional value.
Quarterly ADV in Cboe® iBoxx® iShares® $ Investment Grade Corporate Bond Index (IBIG) futures reached a new high of 580 contracts traded, up 184 percent from the fourth quarter of 2020. In total, first quarter 2021 volume in IBIG futures represented more than $5.1 billion in notional value.
North American Equities
Cboe Global Markets' four U.S. equities exchanges (BZX, BYX, EDGX and EDGA) combined set a new quarterly ADV record with 2.2 billion shares traded per day during the first quarter of 2021.
On March 8, Cboe EDGX Equities Exchange launched Early Trading Hours, increasing Cboe EDGX Equities Exchange's total monthly market share in the 4:00 to 7:00 a.m. ET session to 8.7 percent.
MATCHNow's Conditional Order Book set a new monthly ADV record with 756,917 shares traded in March.
After successfully re-introducing Swiss securities onto its UK order books in February, Cboe's market share in this segment increased from 9 percent to 11 percent in March and its average daily notional value (ADNV) increased from €398 million to €560 million over February 2021.
Cboe Europe Periodic Auctions reported ADNV of €1.4 billion, up 7 percent over February 2021, its second-highest ADNV since launching in 2015.
Cboe Closing Cross (3C), Cboe Europe's post-close trading service, set a new monthly ADNV record of €54 million, surpassing the previous record of €42 million in February 2021.
Cboe SEF NDF trading saw its second-highest monthly ADV with $197 million notional traded.
Global FX Spot Full Amount saw its second-highest monthly ADV with $11.3 billion notional traded.
First-Quarter 2021 RPC/Net Revenue Capture Guidance Options The company currently expects RPC for total options for the first quarter of 2021 to be 2 to 3 percent higher than the amounts noted below for the two months ended February 28, 2021, primarily reflecting the higher RPC expected for multi-listed options for March compared to the two-month average, as well as a larger percentage of volume from index options, which have a higher RPC. The RPC for multi-listed options for the first quarter is expected to be 1 to 2 percent above the two-month average, reflecting lower volume-related rebates in March. The RPC for index options is expected to be 1 to 2 percent higher than the two-month average noted below, reflecting a mix shift in products traded, with SPX options accounting for a higher percentage of index options traded in March.
Futures The RPC for futures in the first quarter of 2021 is expected to be in line with the two-month average noted below.
U.S. Equities Exchange Matched The revenue capture for U.S. Equities exchange-matched volume for the first quarter of 2021 is expected to be 6 to 7 percent below the two-month average noted below, primarily due to a shift in the mix of shares traded, reflecting a higher percentage of shares priced at or above a dollar versus shares priced below a dollar, resulting in higher volume-based rebates in March versus the two-month average.
Canadian Equities The revenue capture for Canadian Equities for the first quarter of 2021 is expected to be 1 to 2 percent above the two-month average noted below, primarily reflecting a shift in market activity composition in March.
European Equities The revenue capture for European Equities for the first quarter of 2021 is expected to be 1 to 2 percent below the two-month average noted below, reflecting a shift in the mix of volume by order book type.
Global FX The revenue capture for Global FX for the first quarter of 2021 is expected to be in line with the two-month average.
These expectations are estimated, preliminary and may change. There can be no assurance that our final RPC for the three months ended March 31, 2021, will not differ materially from these expectations.
The following represents average revenue per contract (RPC) or net capture based on a two-month average and a three-month rolling average, reported on a one-month lag. For Options and Futures the average RPC represents total net transaction fees recognized for the period divided by total contracts traded during the period for options exchanges: BZX Options, Cboe Options, C2 Options and EDGX Options; futures include contracts traded on Cboe Futures Exchange, LLC (CFE). For U.S. Equities, "net capture per 100 touched shares" refers to transaction fees less liquidity payments and routing and clearing costs divided by the product of one-hundredth ADV of touched shares on BZX, BYX, EDGX and EDGA and the number of trading days for the period. For Canadian Equities, "net capture per 10,000 touched shares" refers to transaction fees divided by the product of one-ten thousandth ADV of shares for MATCHNow and the number of trading days for the period. For European Equities, "net capture per matched notional value" refers to transaction fees less liquidity payments in British pounds divided by the product of ADNV in British pounds of shares matched on Cboe Europe Equities and the number of trading days. For Global FX, "net capture per one million dollars traded" refers to transaction fees less liquidity payments, if any, divided by the Spot and SEF products of one-thousandth of ADNV traded on the Cboe FX Markets and the number of trading days, divided by two, which represents the buyer and seller that are both charged on the transaction. Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.
(In USD unless stated otherwise)
Avg for Two- Months Ended
Avg for Three-Months Ended
Multi-Listed Options (per contract)
1.0 to 2.0% above
Index Options (per contract)
1.0 to 2.0% above
Total Options (per contract)
2.0 to 3.0% above
Futures (per contract)
U.S. Equities - Exchange (per 100 touched shares)
6.0 to 7.0% below
Canadian Equities (per 10,000 touched shares)
1.0 to 2.0% above
European Equities (per matched notional value)
1.0 to 2.0% below
Global FX (per one million dollars traded)
About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE) provides cutting-edge trading and investment solutions to market participants around the world. The company is committed to defining markets through product innovation, leading edge technology and seamless trading solutions.
The company offers trading across a diverse range of products in multiple asset classes and geographies, including options, futures, U.S., Canadian and European equities, exchange-traded products (ETPs), global foreign exchange (FX) and volatility products based on the Cboe Volatility Index (VIX Index), recognized as the world's premier gauge of U.S. equity market volatility.
Cboe's subsidiaries include the largest options exchange and the third largest stock exchange operator in the U.S. In addition, the company operates one of the largest stock exchanges by value traded in Europe, and owns EuroCCP, a leading pan-European equities clearing house. Cboe also is a leading market globally for ETP listings and trading.
The company is headquartered in Chicago with a network of domestic and global offices across the Americas, Europe and Asia, including main hubs in New York, London, Kansas City and Amsterdam. For more information, visit www.cboe.com.
BZX®, Cboe®, Cboe Global Markets®, Cboe Volatility Index®, CFE®, EDGX®, VIX®, and XSP are registered trademarks and Cboe Futures ExchangeSM, C2SM and Mini VIXSM are service marks of Cboe Exchange, Inc. or its affiliates. S&P 500® and SPX® are registered trademarks of Standard & Poor's Financial Services, LLC and has been licensed for use by Cboe Exchange, Inc. All other trademarks and service marks are the property of their respective owners.
Any products that have the S&P Index or Indexes as their underlying interest are not sponsored, endorsed, sold or promoted by Standard & Poor's or Cboe and neither Standard & Poor's nor Cboe make any representations or recommendations concerning the advisability of investing in products that have S&P indexes as their underlying interests. All other trademarks and service marks are the property of their respective owners.
Cboe Global Markets, Inc. and its affiliates do not recommend or make any representation as to possible benefits from any securities, futures or investments, or third-party products or services. Cboe Global Markets, Inc. is not affiliated with MSCI, S&P, Russell, iShares® or IHS Markit. Investors should undertake their own due diligence regarding their securities, futures, and investment practices. This press release speaks only as of this date. Cboe Global Markets, Inc. disclaims any duty to update the information herein.
Nothing in this announcement should be considered a solicitation to buy or an offer to sell any securities or futures in any jurisdiction where the offer or solicitation would be unlawful under the laws of such jurisdiction. Nothing contained in this communication constitutes tax, legal or investment advice. Investors must consult their tax adviser or legal counsel for advice and information concerning their particular situation.
Cboe Global Markets, Inc. and its affiliates make no warranty, expressed or implied, including, without limitation, any warranties as of merchantability, fitness for a particular purpose, accuracy, completeness or timeliness, the results to be obtained by recipients of the products and services described herein, or as to the ability of the indices referenced in this press release to track the performance of their respective securities, generally, or the performance of the indices referenced in this press release or any subset of their respective securities, and shall not in any way be liable for any inaccuracies, errors. Cboe Global Markets, Inc. and its affiliates have not calculated, composed or determined the constituents or weightings of the securities that comprise the indices referenced in this press release and shall not in any way be liable for any inaccuracies, errors.
The iBoxx® iShares® $ High Yield Corporate Bond Index and the iBoxx® iShares® $ Investment Grade Corporate Bond Index (the "Indexes") referenced herein are the property of Markit Indices Limited ("Index Sponsor") and have been licensed for use in connection with Cboe® iBoxx® iShares® $ High Yield Corporate Bond Index Futures and Cboe® iBoxx® iShares® $ Investment Grade Corporate Bond Index Futures. Each party to a Cboe® iBoxx® iShares® $ High Yield Corporate Bond Index Futures or Cboe® iBoxx® iShares® $ Investment Grade Corporate Bond Index Futures transaction acknowledges and agrees that the transaction is not sponsored, endorsed or promoted by the Index Sponsor. The Index Sponsor makes no representation whatsoever, whether express or implied, and hereby expressly disclaims all warranties (including, without limitation, those of merchantability or fitness for a particular purpose or use), with respect to the Indexes or any data included therein or relating thereto, and in particular disclaims any warranty either as to the quality, accuracy and/or completeness of the Indexes or any data included therein, the results obtained from the use of the Indexes and/or the composition of the Indexes at any particular time on any particular date or otherwise and/or the creditworthiness of any entity, or the likelihood of the occurrence of a credit event or similar event (however defined) with respect to an obligation, in the Indexes at any particular time on any particular date or otherwise. The Index Sponsor shall not be liable (whether in negligence or otherwise) to the parties or any other person for any error in the Indexes, and the Index Sponsor is under no obligation to advise the parties or any person of any error therein.
The Index Sponsor makes no representation whatsoever, whether express or implied, as to the advisability of purchasing or selling Cboe® iBoxx® iShares® $ High Yield Corporate Bond Index Futures and Cboe® iBoxx® iShares® $ Investment Grade Corporate Bond Index Futures, the ability of the Indexes to track relevant markets' performances, or otherwise relating to the Indexes or any transaction or product with respect thereto, or of assuming any risks in connection therewith. The Index Sponsor has no obligation to take the needs of any party into consideration in determining, composing or calculating the Indexes. No party purchasing or selling Cboe® iBoxx® iShares® $ High Yield Corporate Bond Index Futures or Cboe® iBoxx® iShares® $ Investment Grade Corporate Bond Index Futures, nor the Index Sponsor, shall have any liability to any party for any act or failure to act by the Index Sponsor in connection with the determination, adjustment, calculation or maintenance of the Indexes. iBoxx® is a service mark of IHS Markit Limited.
The iBoxx® iShares® $ High Yield Corporate Bond Index and the iBoxx® iShares® $ Investment Grade Corporate Bond Index (the "Indexes") and futures contracts on the Indexes ("Contracts") are not sponsored by, or sold by BlackRock, Inc. or any of its affiliates (collectively, " BlackRock"). BlackRock makes no representation or warranty, express or implied to any person regarding the advisability of investing in securities, generally, or in the Contracts in particular. Nor does BlackRock make any representation or warranty as to the ability of the Index to track the performance of the fixed income securities market, generally, or the performance of HYG, LQD or any subset of fixed income securities.
BlackRock has not calculated, composed or determined the constituents or weightings of the fixed income securities that comprise the Indexes ("Underlying Data"). BlackRock is not responsible for and has not participated in the determination of the prices and amounts of the Contracts, or the timing of the issuance or sale of such Contracts or in the determination or calculation of the equation by which the Contracts are to be converted into cash (if applicable). BlackRock has no obligation or liability in connection with the administration or trading of the Contracts. BlackRock does not guarantee the accuracy or the completeness of the Underlying Data and any data included therein and BlackRock shall have no liability for any errors, omissions or interruptions related thereto.
BlackRock makes no warranty, express or implied, as to results to be obtained by Markit or its affiliates, the parties to the Contracts or any other person with respect to the use of the Underlying Data or any data included therein. BlackRock makes no express or implied warranties and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the Underlying Data or any data included therein. Without limiting any of the foregoing, in no event shall BlackRock have any liability for any special, punitive, direct, indirect or consequential damages (including lost profits) resulting from the use of the Underlying Data or any data included therein, even if notified of the possibility of such damages.
iShares® is a registered trademark of BlackRock Fund Advisors and its affiliates.
Cautionary Statements Regarding Forward-Looking Information This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 that involve a number of risks and uncertainties. You can identify these statements by forward-looking words such as "may," "might," "should," "expect," "plan," "anticipate," "believe," "estimate," "predict," "potential" or "continue," and the negative of these terms and other comparable terminology. All statements that reflect our expectations, assumptions or projections about the future other than statements of historical fact are forward-looking statements. These forward-looking statements, which are subject to known and unknown risks, uncertainties and assumptions about us, may include projections of our future financial performance based on our growth strategies and anticipated trends in our business. These statements are only predictions based on our current expectations and projections about future events. There are important factors that could cause our actual results, level of activity, performance or achievements to differ materially from those expressed or implied by the forward-looking statements.
We operate in a very competitive and rapidly changing environment. New risks and uncertainties emerge from time to time, and it is not possible to predict all risks and uncertainties, nor can we assess the impact of all factors on our business or the extent to which any factor, or combination of factors, may cause actual results to differ materially from those contained in any forward-looking statements.
Some factors that could cause actual results to differ include: the impact of the novel coronavirus ("COVID-19") pandemic, including changes to trading behavior broadly in the market; the loss of our right to exclusively list and trade certain index options and futures products; economic, political and market conditions; compliance with legal and regulatory obligations; price competition and consolidation in our industry; decreases in trading or clearing volumes, market data fees or a shift in the mix of products traded on our exchanges; legislative or regulatory changes; our ability to protect our systems and communication networks from security risks, cybersecurity risks, insider threats and unauthorized disclosure of confidential information; increasing competition by foreign and domestic entities; our dependence on and exposure to risk from third parties; fluctuations to currency exchange rates; our index providers' ability to maintain the quality and integrity of their indices and to perform under our agreements; our ability to operate our business without violating the intellectual property rights of others and the costs associated with protecting our intellectual property rights; our ability to attract and retain skilled management and other personnel; our ability to minimize the risks, including our credit and default risks, associated with operating a European clearinghouse; our ability to accommodate trading and clearing volume and transaction traffic, including significant increases, without failure or degradation of performance of our systems; misconduct by those who use our markets or our products or for whom we clear transactions; challenges to our use of open source software code; our ability to meet our compliance obligations, including managing potential conflicts between our regulatory responsibilities and our for-profit status; our ability to maintain BIDS Trading as an independently managed and operated trading venue, separate from and not integrated with our registered national securities exchanges; damage to our reputation; the ability of our compliance and risk management methods to effectively monitor and manage our risks; our ability to manage our growth and strategic acquisitions or alliances effectively; restrictions imposed by our debt obligations and our ability to make payments on or refinance our debt obligations; our ability to maintain an investment grade credit rating; impairment of our goodwill, long-lived assets, investments or intangible assets; and the accuracy of our estimates and expectations. More detailed information about factors that may affect our actual results to differ may be found in our filings with the SEC, including in our Annual Report on Form 10-K for the year ended December 31, 2020 and other filings made from time to time with the SEC.
We do not undertake, and we expressly disclaim, any duty to update any forward-looking statement whether as a result of new information, future events or otherwise, except as required by law. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date hereof.