CME GROUP INC. CHICAGO, Dec. 3, 2019 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 18.2 million contracts during November 2019. Open interest (OI) at the end of November was 131 million contracts.
Interest Rate volume averaged 10.3 million contracts per day in November 2019. Highlights include:
- 2-Year U.S. Treasury Note futures and options ADV grew 20% to 1.2 million contracts
- Ultra 10-Year U.S. Treasury Notes futures and options ADV rose 20% to 307,000 contracts
- SOFR futures ADV increased 306% to 48,000 contracts
Options volume averaged 3.3 million contracts per day in November 2019. Highlights include:
- Metals options ADV increased 21% to 67,000 contracts
Equity Index volume averaged 2.7 million contracts per day in November 2019. Highlights include:
- E-mini Russell 2000 futures and options ADV increased 17% to 2,700 contracts
- S&P 500 Annual Dividend futures ADV grew 128% to 1,900 contracts
Energy volume averaged 2.2 million contracts per day in November 2019. Highlights include:
- NGLs & Plastics futures and options ADV grew 29% to 14,000 contracts
Agricultural volume averaged 1.4 million contracts per day in November 2019. Highlights include:
- Livestock futures and options ADV increased 8% to 173,000 contracts
- Soybean futures ADV rose 4% to 171,000 contracts
- Live Cattle futures and options ADV grew 10% to 85,000 contracts
- Hard Red Winter Wheat futures and options ADV increased 21% to 82,000 contracts
- Lean Hog futures and options ADV grew 5% to 75,000 contracts
Metals volume averaged 804,000 contracts per day in November 2019. Highlights include:
- Record Gold futures ADV, up 56% to 483,000 contracts
- Silver futures and options ADV rose 8% to 128,000 contracts
- Platinum futures and options ADV grew 12% to 20,000 contracts
- Copper futures and options ADV rose 48% to 2,900 contracts
Foreign Exchange volume averaged 688,000 contracts per day in November 2019. Highlights include:
- Swiss Franc futures and options ADV increased 17% to 27,000
- Brazilian real futures and options ADV grew 224% to 14,000 contracts
BrokerTec fixed income trading activity highlights include:
- European Repo average daily notional volume increased 3% to €260 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) | |||||
Nov 2019 | Nov 2018 | ||||
Trading Days | 20 | 21 | |||
PRODUCT LINE | Nov 2019 | Nov 2018 | Percent Change | ||
Interest Rates | 10,258 | 11,889 | -14% | ||
Equity Indexes | 2,735 | 3,679 | -26% | ||
Foreign Exchange (FX) | 688 | 904 | -24% | ||
Energy | 2,247 | 3,128 | -28% | ||
Agricultural Commodities | 1,450 | 1,460 | -1% | ||
Metals | 804 | 624 | 29% | ||
Total | 18,182 | 21,684 | -16% | ||
VENUE | Nov 2019 | Nov 2018 | P Percent Change | |
Open outcry | 892 | 1,059 | -16% | |
CME Globex | 16,559 | 19,909 | -17% | |
Privately negotiated | 730 | 716 | 2% | |
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending | ||||
PRODUCT LINE | Nov-19 | Oct-19 | Sep-19 | Aug-19 |
Interest Rates | 9,570 | 10,771 | 10,868 | 11,776 |
Equity Indexes | 3,367 | 4,102 | 3,931 | 3,896 |
Foreign Exchange (FX) | 849 | 889 | 850 | 852 |
Energy | 2,431 | 2,490 | 2,456 | 2,363 |
Agricultural Commodities | 1,291 | 1,307 | 1,320 | 1,589 |
Metals | 746 | 775 | 821 | 816 |
Total | 18,253 | 20,334 | 20,247 | 21,292 |
VENUE | Nov-19 | Oct-19 | Sep-19 | Aug-19 |
Open outcry | 1,021 | 1,147 | 1,177 | 1,391 |
Electronic | 16,504 | 18,393 | 18,282 | 18,963 |
Privately negotiated | 728 | 795 | 788 | 938 |
Average Rate Per Contract (In dollars)
3-Month Period Ending | ||||
PRODUCT LINE | Oct-19 | Sep-19 | Aug-19 | Jul-19 |
Interest Rates | 0.502 | 0.500 | 0.488 | 0.481 |
Equity Indexes | 0.612 | 0.612 | 0.627 | 0.650 |
Foreign Exchange (FX) | 0.702 | 0.720 | 0.724 | 0.721 |
Energy | 1.127 | 1.137 | 1.145 | 1.152 |
Agricultural Commodities | 1.230 | 1.234 | 1.232 | 1.202 |
Metals | 1.366 | 1.414 | 1.445 | 1.459 |
Total | 0.689 | 0.693 | 0.688 | 0.688 |
BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Volume
(in billion USD unless otherwise stated, single count)
PRODUCT LINE | Nov 2019 | Nov 2018 | Percent Change |
U.S. Treasury1 | 131.4 | 174.2 | -25% |
U.S. Repo | 229.8 | 230.8 | -3% |
European Repo (in EUR billions) | 259.9 | 252.7 | 3% |
Spot FX | 62.0 | 81.6 | -24% |
[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 | Oct-19 | Sep-19 | Aug-19 | Jul-19 |
BrokerTec | 50.5 | 51.1 | 49.4 | 48.9 |
EBS | 49.5 | 49.6 | 49.7 | 48.7 |
[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.
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SOURCE CME Group
