CME Group Averaged 17 Million Contracts Per Day in October 2019

News provided by

Nov 04, 2019, 07:30 ET

CHICAGO, Nov. 4, 2019 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 17 million contracts during October 2019, down 17% from October 2018. Open interest (OI) at the end of October was 132 million contracts, up 3% from October 2018, and up 14% from year-end 2018.

Metals volume averaged 633,000 contracts per day in October 2019, up 11% from October 2018. Highlights include:

Record Gold futures OI of 659,371 contracts on October 25
Gold futures and options ADV increased 29% to 445,000 contracts
Silver futures and options ADV rose 4% to 88,000 contracts
Copper options ADV grew 23% to 2,500 contracts

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

Record Hog options OI of 478,737 contracts on October 15
Grain and Oilseeds futures and options ADV rose 4% to 1.1 million contracts
Corn futures and options ADV increased 3% to 357,000 contracts
Soybean futures ADV grew 19% to 301,000 contracts
Hard Red Winter Wheat futures and options ADV increased 16% to 53,000 contracts

Energy volume averaged 2.3 million contracts per day in October 2019, down 9% from October 2018. Highlights include:

Refined products futures and options ADV grew 2% to 398,000 contracts
Heating Oil futures and options ADV grew 28% to 223,000 contracts
Brent Crude Oil futures ADV rose 2% to 103,000 contracts

Foreign Exchange volume averaged 804,000 contracts per day in October 2019, down 11% from October 2018. Highlights include:

British pound futures and options ADV increased 33% to 159,000 contracts
Canadian dollar futures and options ADV rose 9% to 87,000 contracts

Options volume averaged 3.8 million contracts per day in October 2019, down 15% from October 2018. Highlights include:

Agricultural options ADV grew 14% to 219,000 contracts
Metals options ADV increased 12% to 70,000 contracts

Interest Rate volume averaged 8.6 million contracts per day in October 2019, down 19% from October 2018. Highlights include:

2-Year U.S. Treasury Note futures and options ADV increased 30% to 599,000 contracts
Electronic Eurodollar options ADV grew 3% to 557,000 contracts
Fed Fund futures ADV rose 28% to 358,000 contracts
5-Year U.S. Treasury Note options ADV increased 55% to 217,000 contracts

Equity Index volume averaged 3.4 million contracts per day in October 2019, down 29% from October 2018. Highlights include:

Micro E-mini Equity futures ADV increased 9%, sequentially, to 574,000 contracts
E-mini Russell 2000 options ADV increased 16% to 3,200 contracts

BrokerTec fixed income trading activity highlights include:

U.S. Repo average daily notional volume increased 3% to $236 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)

	Oct 2019	Oct 2018
Trading Days	23	23

PRODUCT LINE	Oct 2019	Oct 2018	Percent Change
Interest Rates	8,645	10,628	-19%
Equity Indexes	3,380	4,733	-29%
Foreign Exchange (FX)	804	903	-11%
Energy	2,289	2,524	-9%
Agricultural Commodities	1,267	1,229	3%
Metals	633	571	11%
Total	17,018	20,589	-17%

VENUE	Oct 2019	Oct 2018	P Percent Change
Open outcry	1,003	1,169	-14%
CME Globex	15,355	18,790	-18%
Privately negotiated	659	630	5%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands)

	3-Month Period Ending
PRODUCT LINE	Oct-19	Sep-19	Aug-19	Jul-19
Interest Rates	10,771	10,868	11,776	11,804
Equity Indexes	4,102	3,931	3,896	3,645
Foreign Exchange (FX)	889	850	852	852
Energy	2,490	2,456	2,363	2,394
Agricultural Commodities	1,307	1,320	1,589	1,732
Metals	775	821	816	711
Total	20,334	20,247	21,292	21,138

VENUE	Oct-19	Sep-19	Aug-19	Jul-19
Open outcry	1,147	1,177	1,391	1,488
Electronic	18,393	18,282	18,963	18,735
Privately negotiated	795	788	938	914

Average Rate Per Contract (In dollars)

	3-Month Period Ending
PRODUCT LINE	Sep-19	Aug-19	Jul-19	Jun-19
Interest Rates	0.500	0.488	0.481	0.476
Equity Indexes	0.612	0.627	0.650	0.676
Foreign Exchange (FX)	0.720	0.724	0.721	0.713
Energy	1.137	1.145	1.152	1.139
Agricultural Commodities	1.234	1.232	1.202	1.222
Metals	1.414	1.445	1.459	1.455
Total	0.693	0.688	0.688	0.693

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

PRODUCT LINE	Oct 2019	Oct 2018	Percent Change
U.S. Treasury¹	154.5	201.3	-23%
U.S. Repo	235.8	229.1	3%
European Repo (in EUR billions)	257.8	266.3	-3%
Spot FX	68.9	88.7	-22%

^[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	Sep-19	Aug-19	Jul-19	Jun-19
BrokerTec	51.1	49.4	48.9	48.5
EBS	49.6	49.7	48.7	48.6

^[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.

CME Group, the Globe logo, CME, Chicago Mercantile Exchange, Globex, and, E-mini are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago Board of Trade are trademarks of Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. BrokerTec, EBS, TriOptima, and Traiana are trademarks of BrokerTec Europe LTD, EBS Group LTD, TriOptima AB, and Traiana, Inc., respectively. Dow Jones, Dow Jones Industrial Average, S&P 500 and S&P are service and/or trademarks of Dow Jones Trademark Holdings LLC, Standard & Poor's Financial Services LLC and S&P/Dow Jones Indices LLC, as the case may be, and have been licensed for use by Chicago Mercantile Exchange Inc. All other trademarks are the property of their respective owners.

CME-G

SOURCE CME Group