CME Group reports 25% MoM rise with 19.3 million contracts in November

Derivatives marketplace CME Group released its monthly metrics for November.

The company registered average daily volume (ADV) of 19.3 million contracts for November with a 25.3% MoM increase, compared to the previous month when it was 15.4 million.

CME Group’s monthly metrics highlights from November include Equity index of 5.4 million contracts, same as previous month, and Interest Rate of 8.8 million contracts with a 69% MoM rise. Options ADV reached 2.6 million contracts with 4% MoM increase and Energy ADV was 2.1 million contracts, up 5% MoM compared to October.

CME Group

Agricultural ADV for the company was 1.6 million contracts, same as previous month. Foreign Exchange ADV registered 759,000 contracts and Metals ADV of 705,000 contracts.

Additional highlights from November include:

  • Overall ADV grew 6% from November 2019
  • Record SOFR futures ADV of 87,000 contracts, including a single-day volume record of 240,288 contracts on November 19, and a single-day open interest record of 682,931 contracts on November 30
  • Equity Index ADV grew 96% from November 2019
    • Micro E-mini Equity Index futures ADV of 2.3M. Micro E-mini futures and options represented 42.3% of overall Equity Index ADV during November 2020
  • Bitcoin futures ADV grew 118% from November 2019
  • S. Treasury Bond futures grew 37% from November 2019
  • Ultra 10-Year Treasury Note futures rose 28% from November 2019
  • Agricultural futures and options ADV rose 10% from November 2019, including 59% agricultural options ADV growth
    • Corn options ADV grew 54% from November 2019
    • Soybean futures ADV rose 43% from November 2019
  • Energy options ADV grew 10% from November 2019
  • Micro Gold futures ADV of 79,000 contracts, represented 11.3% of overall Metals ADV during November 2020
  • EBS spot FX average daily notional value ($) increased 13% from November 2019
  • BrokerTec European repo average daily notional value (€) increased 3% from November 2019

Earlier in November, CME Group announced launching a suite of new implied volatility benchmark indexes using the methodology from CME Group Volatility Index (CVOL). The company started with eight implied volatility indexes on its 10-Year Treasury Note futures and G5 FX currency pair futures. The CVOL suite of indexes will be expanded to include benchmarks across all major asset classes in the first half of 2021.

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