CME Group Averaged 16.6 Million Contracts Per Day in July 2019, Up 23% from July 2018

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Aug 02, 2019, 07:30 ET

CHICAGO, Aug. 2, 2019 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 16.6 million contracts during July 2019, up 23% from July 2018. Open interest (OI) at the end of July was 139 million contracts, up 20% from year-end 2018 and up 15% from July 2018.

Interest Rate volume averaged 8.8 million contracts per day in July 2019, up 44% from July 2018. Highlights include:

Record SONIA futures ADV of 13,000 contracts, up 92% from the prior month
U.S. Treasury futures and options ADV increased 30% to 4.2 million contracts
Eurodollar futures and options ADV grew 48% to 4.1 million contracts
Fed Fund futures ADV rose 268% to 450,000 contracts
Weekly Treasury options ADV increased 168% to 215,000 contracts
Ultra 10-Year U.S. Treasury Note futures and options ADV grew 42% to 171,000 contracts
Ultra U.S. Treasury Bond futures and options ADV increased 8% to 115,000 contracts
SOFR futures ADV rose to 37,000 contracts, up 33% from the prior month

Options volume averaged 3.6 million contracts per day in July 2019, up 31% from July 2018. Highlights include:

Interest Rate options ADV grew 60% to 2.5 million contracts
Metals options ADV increased 66% to 93,000 contracts

Equity Index volume averaged 2.9 million contracts per day in July 2019, up 21% from July 2018. Highlights include:

Micro E-mini equity index futures averaged 483,000 contracts per day in July, and traded over 28.6 million contracts in total volume since their May 6 launch – the most successful product launch ever at CME Group
E-mini S&P 500 futures ADV increased 4% to 1.2 million contracts
E-mini Nasdaq-100 futures ADV grew 4% to 360,000 contracts
E-mini and Standard S&P 500 Monday and Wednesday Weekly options rose 11% to 82,000 contracts
Nikkei 225 (yen) futures and options ADV grew 14% to 32,000 contracts

Metals volume averaged 760,000 contracts per day in July 2019, up 18% from July 2018. Highlights include:

Gold futures and options ADV increased 36% to 539,000 contracts
Silver futures and options ADV rose 30% to 108,000 contracts
Copper options ADV rose 34% to 2,300 contracts

Energy volume averaged 2.2 million contracts per day in July 2019, in line with July 2018. Highlights include:

Natural Gas futures and options ADV rose 20% to 517,000 contracts
Gasoline futures and options ADV increased 1% to 195,000 contracts
Brent Crude Oil futures and options ADV rose 6% to 100,000 contracts

Agricultural volume averaged 1.3 million contracts per day in July 2019, down 3% from July 2018. Highlights include:

Corn futures and options ADV grew 13% to 494,000 contracts
Lean Hog futures and options ADV increased 22% to 91,000 contracts
Livestock options ADV grew 7% to 27,000 contracts

Foreign Exchange volume averaged 689,000 contracts per day in July 2019, down 18% from July 2018. Highlights include:

FX Cross Rates futures and options ADV rose 22% to 8,000 contracts
South African rand futures and options ADV increased 46% to 2,600 contracts
Russian ruble futures and options ADV grew 110% to 2,300 contracts

BrokerTec fixed income trading activity highlights include:

U.S. Treasury average daily notional volume grew 21% to $152 billion
U.S. Repo average daily notional volume increased 18% to $261 billion
European Repo average daily notional volume increased 5% to €263 billion

Footnote: To see CME Group daily over-the-counter (OTC) notional cleared volumes and open interest, monthly OTC notional cleared volumes and monthly total trade count, go to http://www.cmegroup.com/education/cme-volume-oi-records.html

*MONTHLY AVERAGE DAILY VOLUME (ADV)*

Total Exchange ADV
(in thousands)

	Jul 2019	Jul 2018
Trading Days	22	21

PRODUCT LINE	Jul 2019	Jul 2018	Percent Change
Interest Rates	8,828	6,151	44%
Equity Indexes	2,851	2,361	21%
Foreign Exchange (FX)	689	840	-18%
Energy	2,183	2,188	0%
Agricultural Commodities	1,304	1,348	-3%
Metals	760	642	18%
Total	16,614	13,530	23%

VENUE	Jul 2019	Jul 2018	Percent Change
Open outcry	1,085	845	28%
CME Globex	14,895	12,198	22%
Privately negotiated	633	487	30%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands)

	3-Month Period Ending
PRODUCT LINE	Jul-19	Jun-19	May-19	Apr-19
Interest Rates	11,804	11,593	10,809	9,787
Equity Indexes	3,645	3,480	3,364	2,837
Foreign Exchange (FX)	852	874	870	853
Energy	2,394	2,498	2,399	2,330
Agricultural Commodities	1,732	1,839	1,621	1,556
Metals	711	633	567	549
Total	21,138	20,918	19,630	17,912

VENUE	Jul-19	Jun-19	May-19	Apr-19
Open outcry	1,488	1,501	1,334	1,209
Electronic	18,735	18,505	17,553	15,986
Privately negotiated	914	912	743	717

Average Rate Per Contract (In dollars)

	3-Month Period Ending
PRODUCT LINE	Jun-19	May-19	Apr-19	Mar-19
Interest Rates	0.476	0.473	0.486	0.481
Equity Indexes	0.676	0.703	0.753	0.757
Foreign Exchange (FX)	0.713	0.733	0.763	0.763
Energy	1.139	1.136	1.157	1.159
Agricultural Commodities	1.222	1.219	1.253	1.246
Metals	1.455	1.462	1.487	1.488
Total	0.693	0.695	0.726	0.713

BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Volume
(in billion USD unless otherwise stated, single count)

PRODUCT LINE	Jul 2019	Jul 2018	Percent Change
U.S. Treasury¹	151.7	125.4	21%
U.S. Repo	261.1	222.2	18%
European Repo (in EUR billions)	263.0	250.3	5%
Spot FX	67.6	81.9	-17%


^[1] Volume information includes UST Benchmarks and Agencies. Off-the-Run securities, including T-Bills, are provided pursuant to an agreement with ICAP Securities USA LLC.

BrokerTec Fixed Income and EBS Foreign Exchange 3-Month Trailing Average Revenue (U.S. dollars in millions)²

	3-Month Period Ending
BUSINESS LINE	Jun-19	May-19	Apr-19	Mar-19
BrokerTec	48.5	48.4	46.9	47.6
EBS	48.6	48.5	46.2	48.9


^[2] This data is representative of the subset of legacy NEX Group plc business revenue that flows into the Clearing and Transaction Fees line of the CME Group Income Statement along with revenue generated by CME Group futures and options volume, as well as over-the-counter swaps cleared.

As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) enables clients to trade futures, options, cash and OTC markets, optimize portfolios, and analyze data – empowering market participants worldwide to efficiently manage risk and capture opportunities. CME Group exchanges offer the widest range of global benchmark products across all major asset classes based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals. The company offers futures and options on futures trading through the CME Globex® platform, fixed income trading via BrokerTec and foreign exchange trading on the EBS platform. In addition, it operates one of the world's leading central counterparty clearing providers, CME Clearing. With a range of pre- and post-trade products and services underpinning the entire lifecycle of a trade, CME Group also offers optimization and reconciliation services through TriOptima, and trade processing services through Traiana.

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SOURCE CME Group