CHICAGO, Dec. 4, 2018 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, reached
average daily volume (ADV) of 21.7 million contracts per day in
November 2018, up 21 percent from
November 2017. Open interest at the
end of November was 128 million contracts, up 4 percent from
November 2017 and up 19 percent from
year-end 2017.
Equity Index volume averaged 3.7 million contracts per day in
November 2018, up 35 percent from
November 2017. Highlights
include:
- E-mini S&P 500 futures and options ADV increased 26 percent
to 2.5 million contracts, including E-mini S&P 500 futures ADV,
up 34 percent to 1.8 million contracts
- E-mini Nasdaq-100 futures and options ADV, up 95 percent to
635,000 contracts
- E-mini S&P 500 Weekly options ADV rose 5 percent to 317,000
contracts
- E-mini Dow futures and options ADV rose 80 percent to 233,000
contracts
- E-mini Russell 2000 futures and options ADV grew 38 percent to
151,000 contracts
- E-mini S&P Select Sector Index futures and options ADV rose
258 percent to 13,000 contracts
Interest Rate volume averaged 12 million contracts per day in
November 2018, up 27 percent from
November 2017. Highlights
include:
- Record U.S. Treasury options daily open interest of 10.6
million contracts on November 21
- Record Weekly Treasury options ADV, up 153 percent to 293,000
contracts
- U.S. Treasury futures and options ADV increased 36 percent to
7.5 million contracts, including U.S. Treasury futures ADV, up 27
percent to 6.1 million contracts, and U.S. Treasury options ADV, up
104 percent to 1.4 million contracts
- Eurodollar futures and options ADV grew 10 percent to 4.1
million contracts, including Eurodollar futures electronic ADV, up
20 percent to 2.7 million contracts
- Ultra U.S. Treasury Bond futures and options ADV increased 28
percent to 305,000 contracts
- Fed Fund futures ADV rose 102 percent to 268,000
contracts
- Ultra 10-year U.S. Treasury Note futures and options ADV grew
31 percent to 256,000 contracts
Options volume averaged 4.3 million contracts per day in
November 2018, up 23 percent from
November 2017. Highlights
include:
- Record Energy options ADV, up 31 percent to 492,000
contracts
- Electronic options ADV grew 36 percent to 3 million
contracts
- Interest Rate options ADV increased 32 percent to 2.7 million
contracts
- Equity Index options ADV rose 6 percent to 801,000
contracts
- Agricultural options ADV grew 3 percent to 207,000
contracts
- Metals options ADV increased 30 percent to 55,000
contracts
Energy volume averaged a record 3.1 million contracts per day in
November 2018, up 16 percent from
November 2017. Highlights
include:
- Record Energy futures and options daily volume of 5.1 million
contracts, including record 1.6 million Henry Hub Natural Gas
futures and a record 1 million energy options on November 14
- Record Henry Hub Natural Gas futures and options ADV, up 36
percent to 902,000 contracts
- Record WTI Crude Oil options (LO) ADV, up 58 percent to 279,000
contracts
- Record Heating Oil futures ADV, up 27 percent to 215,000
contracts
- WTI Crude Oil futures and options ADV increased 6 percent to
1.7 million contracts
- Gasoline futures and options ADV grew 6 percent to 192,000
contracts
- Brent Crude Oil futures and options ADV, up 47 percent to
125,000 contracts
Foreign Exchange volume averaged 904,000 contracts per day in
November 2018, down 1 percent from
November 2017. Highlights
include:
- Australian dollar futures and options ADV rose 14 percent to
113,000 contracts
- Canadian dollar futures and options ADV grew 7 percent to
79,000 contracts
- Mexican peso futures and options ADV increased 27 percent to
62,000 contracts
Agricultural volume averaged 1.5 million contracts per day in
November 2018, down 6 percent from
November 2017. Highlights
include:
- Livestock futures ADV grew 4 percent to 141,000 contracts
- Lean Hog futures and options ADV rose 14 percent to 71,000
contracts
- Soybean options ADV grew 15 percent to 63,000 contracts
- Wheat options ADV rose 12 percent to 26,000 contracts
Metals volume averaged 624,000 contracts per day in November 2018, down 17 percent from November 2017. Highlights include:
- Precious Metals options ADV increased 27 percent to 53,000
contracts
- Gold options ADV grew 23 percent to 45,000 contracts
- Silver options ADV rose 65 percent to 8,000 contracts
BrokerTec fixed income and EBS foreign exchange
trading activity highlights, in terms of average daily notional
value, include:
- U.S. Treasury average daily notional value increased 11 percent
to $174.2 billion
- European Repo average daily notional value increased 5 percent
to €252.7 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
2018
|
Nov
2017
|
|
Trading
Days
|
21
|
21
|
|
|
|
|
|
PRODUCT
LINE
|
Nov
2018
|
Nov
2017
|
Percent
Change
|
Interest
Rates
|
11,889
|
9,348
|
27%
|
Equity
Indexes
|
3,679
|
2,725
|
36%
|
Foreign Exchange
(FX)
|
904
|
915
|
-1%
|
Energy
|
3,128
|
2,691
|
16%
|
Agricultural
Commodities
|
1,460
|
1,552
|
-6%
|
Metals
|
624
|
749
|
-17%
|
Total
|
21,684
|
17,979
|
22%
|
|
|
|
|
VENUE
|
Nov
2018
|
Nov
2017
|
P Percent
Change
|
Open
outcry
|
1,059
|
1,078
|
-2%
|
CME Globex
|
19,909
|
16,268
|
22%
|
Privately
negotiated
|
716
|
635
|
13%
|
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
|
3-Month Period
Ending
|
PRODUCT
LINE
|
Nov-18
|
Oct-18
|
Sep-18
|
Aug-18
|
Interest
Rates
|
10,436
|
9,332
|
7,798
|
7,700
|
Equity
Indexes
|
3,973
|
3,501
|
2,671
|
2,645
|
Foreign Exchange
(FX)
|
972
|
963
|
944
|
961
|
Energy
|
2,723
|
2,318
|
2,199
|
2,229
|
Agricultural
Commodities
|
1,314
|
1,306
|
1,348
|
1,584
|
Metals
|
597
|
598
|
623
|
644
|
Total
|
20,014
|
18,018
|
15,584
|
15,762
|
|
|
|
|
|
VENUE
|
Nov-18
|
Oct-18
|
Sep-18
|
Aug-18
|
Open
outcry
|
1,096
|
1,050
|
938
|
937
|
Electronic
|
18,240
|
16,356
|
14,082
|
14,270
|
Privately
negotiated
|
678
|
612
|
564
|
555
|
Average Rate Per Contract (In dollars)
|
3-Month Period
Ending
|
PRODUCT
LINE
|
Oct-18
|
Sep-18
|
Aug-18
|
Jul-18
|
Interest
Rates
|
0.480
|
0.493
|
0.491
|
0.487
|
Equity
Indexes
|
0.731
|
0.761
|
0.780
|
0.799
|
Foreign Exchange
(FX)
|
0.719
|
0.743
|
0.738
|
0.733
|
Energy
|
1.157
|
1.187
|
1.181
|
1.161
|
Agricultural
Commodities
|
1.244
|
1.258
|
1.269
|
1.268
|
Metals
|
1.374
|
1.379
|
1.398
|
1.392
|
Total
|
0.714
|
0.753
|
0.767
|
0.756
|
BrokerTec Fixed Income and EBS Foreign Exchange Average Daily
Notional Value
(in billion USD unless otherwise stated, single count)
PRODUCT
LINE
|
Nov
2017
|
Nov
2018
|
YoY %
Change
|
Oct
2018
|
MoM %
Change
|
U.S.
Treasury1
|
156.7
|
174.2
|
11%
|
201.3
|
-13%
|
U.S. Repo
|
252.6
|
230.8
|
-9%
|
229.1
|
1%
|
European Repo (in EUR
billions)
|
240.4
|
252.7
|
5%
|
266.3
|
-5%
|
Spot FX
|
82.3
|
81.6
|
-1%
|
88.7
|
-8%
|
|
12 Month
ended November 30
|
PRODUCT
LINE
|
2017
|
2018
|
%
Change
|
U.S.
Treasury
|
161.0
|
168.7
|
5%
|
U.S. Repo
|
226.7
|
238.6
|
5%
|
European Repo (in EUR
billions)
|
222.3
|
257.4
|
16%
|
Spot FX
|
84.1
|
89.6
|
6%
|
|
[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.
|
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
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SOURCE CME Group