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CME Group FX volume down 5% MoM in October


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Right after announcing that it has completed the acquisition of NEX Group plc (LON:NXG), derivatives marketplace CME Group Inc. (Nasdaq: CME) has informed that it has reached average daily volume (ADV) of 20.6 million contracts per day during October 2018, up 38 percent from October 2017. Open interest at the end of October was 128 million contracts, up 6 percent from October 2017 and up 19 percent from year-end 2017.

  • Average daily volume increased across all six product lines during October
  • Treasury futures open interest reached a record 14.1 million contracts, up 40 percent from October 2017
  • Equity Index futures and options average daily volume grew more than 100 percent
  • E-mini Nasdaq-100 futures and options average daily volume nearly tripled to a record 739,000 contracts

Equity Index volume averaged 4.7 million contracts per day in October 2018, up 111 percent from October 2017. Highlights include:

  • Record E-mini Nasdaq-100 futures and options ADV, up 181 percent to 739,000 contracts, including a daily volume record for E-mini Nasdaq-100 futures of 1.15 million contracts on October 11
  • Record E-mini Dow futures daily volume of 697,000 contracts on October 11
  • E-mini S&P 500 futures and options ADV increased 99 percent to 3.3 million contracts, including E-mini S&P 500 futures ADV up 108 percent to 2.3 million contracts
  • E-mini S&P 500 Weekly options rose 72 percent to 513,000 contracts, including Monday and Wednesday Standard and E-mini S&P 500 Weekly options ADV more than doubling to 162,000 contracts
  • E-mini Dow futures ADV increased 216 percent to 309,000 contracts
  • E-mini Russell 2000 futures and options ADV grew 140 percent to 187,000 contracts

Interest Rate volume averaged 10.6 million contracts per day in October 2018, up 39 percent from October 2017. Highlights include:

  • Record U.S. Treasury futures open interest, up 40 percent to 14.1 million contracts at the end of October
  • Record U.S. Treasury options daily volume of 2.6 million contracts on October 4
  • Record U.S. 30-Year Bond electronic options ADV, which more than doubled to 171,000 contracts
  • U.S. Treasury futures and options ADV increased 59 percent to 5.7 million contracts, including U.S. Treasury futures ADV up 61 percent to 4.4 million contracts
  • Eurodollar futures and options ADV grew 19 percent to 4.6 million contracts, including Eurodollar futures electronic ADV up 34 percent to 3.1 million contracts
  • Fed Fund futures ADV rose 108 percent to 279,000 contracts
  • Ultra 10-year U.S. Treasury Note futures and options ADV grew 66 percent to 178,000 contracts
  • Ultra U.S. Treasury Bond futures and options ADV increased 65 percent to 172,000 contracts

Options volume averaged 4.5 million contracts per day in October 2018, up 25 percent from October 2017. Highlights include:

  • Electronic options ADV grew 39 percent to 3.1 million contracts
  • Interest Rate options ADV increased 16 percent to 2.7 million contracts
  • Equity Index options ADV rose 70 percent to 1.1 million contracts
  • Energy options grew 23 percent to 345,000 contracts
  • Metals options ADV increased 42 percent to 62,000 contracts

Energy volume averaged 2.5 million contracts per day in October 2018, up 5 percent from October 2017. Highlights include:

  • Record Henry Hub Natural Gas futures open interest of 1.7 million contracts on October 4
  • Henry Hub Natural Gas futures and options ADV rose 9 percent to 694,000 contracts
  • Electronic Natural Gas futures and options ADV increased 12 percent to 620,000 contracts
  • Gasoline futures and options ADV grew 19 percent to 205,000 contracts
  • WTI Crude Oil options ADV increased 38 percent to 196,000 contracts
  • Brent Crude Oil futures and options ADV rose 60 percent to 122,000 contracts

Agricultural volume averaged 1.2 million contracts per day in October 2018, up 4 percent from October 2017. Highlights include:

  • Corn futures and options ADV grew 2 percent to 348,000 contracts
  • Wheat futures and options ADV rose 12 percent to 136,000 contracts
  • Livestock futures ADV grew 10 percent to 125,000 contracts
  • Hard Red Winter Wheat futures and options rose 33 percent to 46,000 contracts

Foreign Exchange volume averaged 903,000 contracts per day in October 2018, up 2 percent from October 2017, down 4.4% from previous month. Highlights include:

  • Euro FX futures and options ADV increased 5 percent to 265,000 contracts
  • Canadian dollar futures and options ADV grew 1 percent to 80,000 contracts
  • ADV in numerous emerging-market currencies increased during October 2018, with Indian rupee futures and options ADV up 126 percent, Russian ruble futures and options ADV up 73 percent and Mexican peso futures and options ADV up 22 percent

Metals volume averaged 571,000 contracts per day in October 2018, up 1 percent from October 2017. Highlights include:

  • Record Copper options open interest of 37,000 contracts on October 24
  • Base Metals futures and options ADV rose 6 percent to 117,000
  • Copper futures and options ADV grew 5 percent to 116,000 contracts
  • Gold options ADV grew 43 percent to 54,000 contracts

MONTHLY AVERAGE DAILY VOLUME (ADV)

Total Exchange ADV

(in thousands)

Oct 2018

Oct 2017

Trading Days

23

22

PRODUCT LINE

Oct 2018

Oct 2017

Percent Change

Interest Rates

10,628

7,624

39%

Equity Indexes

4,733

2,241

111%

Foreign Exchange (FX)

903

888

2%

Energy

2,524

2,395

5%

Agricultural Commodities

1,229

1,176

4%

Metals

571

565

1%

   Total

20,589

14,890

38%

VENUE

      Oct 2018

Oct 2017

Percent Change

Open outcry

1,169

1,159

1%

CME Globex

18,790

13,173

43%

Privately negotiated

630

557

13%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands) 

3-Month Period Ending

PRODUCT LINE

Oct-18

Sep-18

Aug-18

Jul-18

Interest Rates

9,332

7,798

7,700

8,703

Equity Indexes

3,501

2,671

2,645

2,735

Foreign Exchange (FX)

963

944

961

1,037

Energy

2,318

2,199

2,229

2,492

Agricultural Commodities

1,306

1,348

1,584

1,592

Metals

598

623

644

661

   Total

18,018

15,584

15,762

17,220

VENUE

Oct-18

Sep-18

Aug-18

Jul-18

Open outcry

1,050

938

937

992

Electronic

16,356

14,082

14,270

15,615

Privately negotiated

612

564

555

613

Average Rate Per Contract (In dollars)

3-Month Period Ending

PRODUCT LINE

Sep-18

Aug-18

Jul-18

Jun-18

Interest Rates

0.493

0.491

0.487

0.491

Equity Indexes

0.761

0.780

0.799

0.797

Foreign Exchange (FX)

0.743

0.738

0.733

0.741

Energy

1.187

1.181

1.161

1.142

Agricultural Commodities

1.258

1.269

1.268

1.274

Metals

1.379

1.398

1.392

1.403

   Total

0.753

0.767

0.756

0.757

 

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CME Group FX volume down 5% MoM in October

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