CHICAGO, Sept. 4, 2019 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, reached
average daily volume (ADV) of 24.3 million contracts during
August 2019, up 53% from August 2018 and the second-highest monthly ADV on
record. During a month that historically sees lower average daily
volumes, August 2019 was the
company's best August ever. Open interest (OI) at the end of August
was 139 million contracts, up 21% from year-end 2018 and up 14%
from August 2018.
Equity Index volume averaged 5 million contracts per day in
August 2019, up 109% from
August 2018 and the third-highest
monthly ADV on record. Highlights include:
- Record Micro E-mini Equity Index futures ADV of 854,000
contracts, nearly double the monthly average since May launch
through July
- E-mini S&P 500 futures and options ADV grew 72% to 2.9
million contracts
- E-mini Nasdaq-100 futures and options ADV rose 84% to 622,000
contracts
- E-mini Dow futures and options ADV increased 101% to 262,000
contracts
- E-mini Russell 2000 futures and options ADV grew 66% to 163,000
contracts
- Nikkei 225 (yen) futures and options ADV grew 103% to 56,000
contracts
Interest Rate volume averaged 13.7 million contracts per
day in August 2019, up 59% from
August 2018 and the third-highest
monthly ADV on record. Highlights include:
- U.S. Treasury futures and options ADV increased to 8.1 million
contracts, including a record 6.9 million Treasury futures, both up
46% from August 2018
- Record 2-Year U.S. Treasury Note futures ADV, up 87% to 1.2
million contracts
- Record Ultra 10-Year U.S. Treasury Note futures and options
ADV, up 94% to 406,000 contracts
- Record Ultra T-Bond futures and options ADV, up 38% to 342,000
contracts
- Record SOFR futures and options ADV, up 555% to 40,000
contracts
- Eurodollar futures and options ADV grew 76% to 5.2 million
contracts
- 10-Year U.S. Treasury Note futures ADV increased 34% to 2.6
million contracts
- 30-Year U.S. Treasury Note futures ADV rose 48% to 558,000
contracts
- Fed Fund futures ADV rose 156% to 408,000 contracts
- Weekly Treasury options ADV increased 65% to 192,000
contracts
Options volume averaged 4.7 million contracts per day in
August 2019, up 49% from August 2018. Highlights include:
- Interest Rate options ADV grew 64% to 3.1 million
contracts
- Equity Index options ADV rose 43% to 941,000 contracts
- Agricultural options ADV increased 1% to 271,000 contracts
- Energy options ADV increased 7% to 240,000 contracts
- Metals options ADV grew 90% to 128,000 contracts
Metals volume averaged a record 885,000 contracts per day
in August 2019, up 41% from
August 2018. Highlights include:
- Record Silver options ADV, up 82% to 16,000 contracts
- Gold futures and options ADV increased 74% to 588,000
contracts
- Silver futures and options ADV rose 39% to 156,000
contracts
- Platinum futures and options ADV grew 25% to 23,000
contracts
- Copper options ADV rose 106% to 3,000 contracts
Energy volume averaged 2.4 million contracts per day in
August 2019, up 25% from August 2018. Highlights include:
- WTI Crude Oil futures and options ADV increased 43% to 1.4
million contracts
- Natural Gas futures and options ADV grew 10% to 520,000
contracts
- Brent Crude Oil futures and options ADV rose 86% to 114,000
contracts
Agricultural volume averaged 1.5 million contracts per day
in August 2019, up 4% from
August 2018. Highlights include:
- Grain and Oilseeds futures and options ADV rose 4% to 1.3
million contracts
- Corn futures and options ADV grew 28% to 610,000 contracts
- Hard Red Winter Wheat futures ADV increased 1% to 74,000
contracts
- Live Cattle futures and options ADV rose 19% to 71,000
contracts
Foreign Exchange volume averaged 821,000 contracts per day
in August 2019, down 7% from
August 2018. Highlights include:
- Japanese yen futures and options ADV rose 37% to 166,000
contracts
- Canadian dollar futures and options ADV increased 3% to 79,000
contracts
- Swiss franc futures and options ADV rose 3% to 28,000
contracts
- Brazilian real futures and options ADV grew 54% to 12,000
contracts
- FX Cross Rates futures and options ADV rose 24% to 9,000
contracts
- Indian rupee futures and options ADV increased 41% to 4,500
contracts
- South African rand futures and options ADV rose 41% to 4,000
contracts
- Russian ruble futures and options ADV increased 72% to 3,400
contracts
BrokerTec fixed income and EBS foreign
exchange trading activity highlights include:
- U.S. Treasury average daily notional volume grew 65% to
$211 billion
- U.S. Repo average daily notional volume increased 22% to
$267 billion
- European Repo average daily notional volume increased 4% to
€272 billion
- Spot FX average daily notional volume increased 7% to
$91 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)
|
|
|
Aug
2019
|
Aug
2018
|
|
Trading
Days
|
22
|
23
|
|
|
|
|
|
PRODUCT
LINE
|
Aug
2019
|
Aug
2018
|
Percent
Change
|
Interest
Rates
|
13,746
|
8,641
|
59%
|
Equity
Indexes
|
4,964
|
2,373
|
109%
|
Foreign Exchange
(FX)
|
821
|
883
|
-7%
|
Energy
|
2,438
|
1,949
|
25%
|
Agricultural
Commodities
|
1,482
|
1,426
|
4%
|
Metals
|
885
|
626
|
41%
|
Total
|
24,336
|
15,899
|
53%
|
|
|
|
|
VENUE
|
Aug
2019
|
Aug
2018
|
Percent
Change
|
Open
outcry
|
1,275
|
931
|
37%
|
CME Globex
|
22,135
|
14,440
|
53%
|
Privately
negotiated
|
926
|
527
|
76%
|
ROLLING
THREE-MONTH AVERAGES
|
Average Daily
Volume (In thousands)
|
|
|
3-Month Period
Ending
|
PRODUCT
LINE
|
Aug-19
|
Jul-19
|
Jun-19
|
May-19
|
Interest
Rates
|
11,776
|
11,804
|
11,593
|
10,809
|
Equity
Indexes
|
3,896
|
3,645
|
3,480
|
3,364
|
Foreign Exchange
(FX)
|
852
|
852
|
874
|
870
|
Energy
|
2,363
|
2,394
|
2,498
|
2,399
|
Agricultural
Commodities
|
1,589
|
1,732
|
1,839
|
1,621
|
Metals
|
816
|
711
|
633
|
567
|
Total
|
21,292
|
21,138
|
20,918
|
19,630
|
|
|
|
|
|
VENUE
|
Aug-19
|
Jul-19
|
Jun-19
|
May-19
|
Open
outcry
|
1,391
|
1,488
|
1,501
|
1,334
|
Electronic
|
18,963
|
18,735
|
18,505
|
17,553
|
Privately
negotiated
|
938
|
914
|
912
|
743
|
Average Rate
Per Contract (In dollars)
|
|
|
3-Month Period Ending
|
PRODUCT
LINE
|
Jul-19
|
Jun-19
|
May-19
|
Apr-19
|
Interest
Rates
|
0.481
|
0.476
|
0.473
|
0.486
|
Equity
Indexes
|
0.650
|
0.676
|
0.703
|
0.753
|
Foreign Exchange
(FX)
|
0.721
|
0.713
|
0.733
|
0.763
|
Energy
|
1.152
|
1.139
|
1.136
|
1.157
|
Agricultural
Commodities
|
1.202
|
1.222
|
1.219
|
1.253
|
Metals
|
1.459
|
1.455
|
1.462
|
1.487
|
Total
|
0.688
|
0.693
|
0.695
|
0.726
|
BrokerTec Fixed
Income and EBS Foreign Exchange Average Daily Notional
Volume
|
(in billion USD
unless otherwise stated, single count)
|
|
PRODUCT
LINE
|
Aug
2019
|
Aug
2018
|
Percent
Change
|
U.S.
Treasury1
|
211.3
|
127.8
|
65%
|
U.S. Repo
|
266.6
|
217.9
|
22%
|
European Repo (in EUR
billions)
|
272.4
|
261.2
|
4%
|
Spot FX
|
90.7
|
84.7
|
7%
|
|
|
|
|
[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
|
Jul-19
|
Jun-19
|
May-19
|
Apr-19
|
BrokerTec
|
48.9
|
48.5
|
48.4
|
46.9
|
EBS
|
48.7
|
48.6
|
48.5
|
46.2
|
|
|
|
|
|
[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
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SOURCE CME Group