CME Group reaches several annual average daily volume records in 2017


Derivatives marketplace CME Group (NASDAQ:CME) announced that 2017 average daily volume (ADV) reached a record 16.3 million contracts, up 4 percent from 2016. During 2017, there were 34 trading days above 20 million contracts, up from 32 days in 2016, despite significantly lower volatility. CME Group reached several annual average daily volume records in 2017.

  • Interest Rate ADV was a record 8.2 million contracts, up 9 percent compared with 2016.
  • Energy ADV for 2017 reached a record 2.6 million contracts, up 6 percent.
  • Agricultural Commodities ADV for the year grew 2 percent to a record 1.4 million contracts.
  • Metals ADV increased 23 percent to a record 568,000 contracts.
  • Full-year 2017 options ADV reached a record 3.5 million contracts, up 11 percent, with record electronic options ADV of 2.2 million contracts, up 25 percent.
  • Open interest at the end of December was 108 million contracts, up 5 percent from the end of December 2016.

Fourth-quarter 2017 volume averaged 15.9 million contracts per day, down 2 percent from the same period a year ago. December 2017 volume averaged 14.9 million contracts per day, down 1 percent from December 2016.

Metals volume averaged 531,000 contracts per day in December 2017, up 48 percent from December 2016. Highlights include:

  • Gold futures and options ADV was up 47 percent to 303,000 contracts
  • Silver futures and options ADV rose 29 percent to 75,000 contracts
  • Copper futures and options ADV increased 74 percent to 119,000 contracts

Foreign exchange volume averaged 1.0 million contracts per day in December 2017, up 15 percent from December 2016. Highlights include:

  • Euro FX futures and options ADV grew 10 percent to 304,000 contracts
  • British pound futures and options reached ADV of 165,000 contracts, up 31 percent
  • Japanese yen futures and options ADV was up 2 percent to 166,000 contracts
  • Emerging market currency pairs futures and options saw increased ADV, with Indian rupee up 206 percent, South African rand up 109 percent, Russian ruble up 79 percent, Mexican peso up 38 percent and Brazilian real up 25 percent

Agricultural volume averaged 1.1 million contracts per day in December 2017, up 8 percent from December 2016. Highlights include:

  • Soybean futures and options ADV was up 12 percent to 317,000 contracts
  • Electronic Agricultural options ADV increased 15 percent to 134,000 contracts
  • Grain and Oilseed futures and options ADV grew 9 percent to 977,000 contracts

Equity Index volume averaged 3.0 million contracts per day in December 2017, up 4 percent from December 2016. Highlights include:

  • E-mini Nasdaq 100 futures and options ADV grew 52 percent to 335,000 contracts, including 43 percent growth in Weekly E-mini Nasdaq 100 options
  • E-mini S&P 500 EOM options achieved 18 percent growth to 128,000 contracts
  • Following CME Group’s launch of Russell 2000 futures in July, they averaged 179,000 contracts per day in December

Interest rate volume averaged 6.9 million contracts per day in December 2017, down 6 percent from December 2016. Highlights include:

  • Treasury futures and options ADV was up 9 percent to 3.3 million contracts, including 13 percent growth in Treasury futures
  • Overall Interest Rate futures and options open interest hit a record 79 million contracts on November 22, and reached nearly that amount again on December 14
  • Fed Fund futures ADV reached 146,000 contracts, up 50 percent
  • Ultra-Treasury Bond futures and options ADV increased 21 percent to 105,000 contracts and Ultra 10-Year Treasury Note futures and options increased 38 percent to 120,000 contracts
  • Both the Ultra-Treasury Bond and the Ultra 10-Year Treasury Note futures and options achieved quarterly records, with ADV of 149,000 contracts and 141,000 contracts, respectively

Energy volume averaged 2.4 million contracts per day in December 2017, down 8 percent from December 2016. Highlights include:

  • Natural Gas futures and options ADV increased 20 percent to 760,000 contracts, including 28 percent growth in electronic Natural Gas futures and options
  • Henry Hub Natural Gas options rose 70 percent in ADV to 196,000 contracts
  • Heating Oil futures and options ADV increased 10 percent to 177,000 contracts and Gasoline futures and options ADV grew 8 percent to 171,000 contracts

ANNUAL AVERAGE DAILY VOLUME (ADV)

Total Exchange ADV
(in thousands)

2017

2016

Trading Days

251

252

PRODUCT LINE

2017

2016

Percent Change

Interest Rates

8,189

7,517

9%

Equity Indexes

2,682

3,061

-12%

Foreign Exchange (FX)

921

858

7%

Energy

2,578

2,432

6%

Agricultural Commodities

1,353

1,321

2%

Metals

568

460

23%

   Total

16,292

15,649

4%

VENUE

2017

2016

Percent Change

Open outcry

1,107

1,149

-4%

CME Globex

14,513

13,766

5%

Privately negotiated

672

735

-9%

QUARTERLY AVERAGE DAILY VOLUME (ADV)

Total Exchange ADV
(in thousands)

4Q 2017

4Q 2016

Trading Days

63

63

PRODUCT LINE

4Q 2017

4Q 2016

Percent Change

Interest Rates

7,970

8,300

-4%

Equity Indexes

2,632

2,875

-8%

Foreign Exchange (FX)

941

883

7%

Energy

2,489

2,586

-4%

Agricultural Commodities

1,278

1,193

7%

Metals

616

488

26%

   Total

15,925

16,325

-2%

VENUE

 4Q 2017

4Q 2016

Percent Change

Open outcry

1,066

1,130

-6%

CME Globex

14,265

14,375

-1%

Privately negotiated

594

820

-28%

MONTHLY AVERAGE DAILY VOLUME (ADV)

Total Exchange ADV
(in thousands)

Dec 2017

Dec 2016

Trading Days

20

21

PRODUCT LINE

Dec 2017

Dec 2016

Percent Change

Interest Rates

6,902

7,334

-6%

Equity Indexes

2,963

2,846

4%

Foreign Exchange (FX)

1,027

892

15%

Energy

2,380

2,575

-8%

Agricultural Commodities

1,101

1,024

8%

Metals

531

359

48%

   Total

14,906

15,030

-1%

VENUE

Dec 2017

Dec 2016

Percent Change

Open outcry

953

1,442

-17%

CME Globex

13,362

13,070

2%

Privately negotiated

591

817

-28%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands) 

3-Month Period Ending

PRODUCT LINE

Dec-17

Nov-17

Oct-17

Sep-17

Interest Rates

7,970

8,379

7,844

7,424

Equity Indexes

2,632

2,667

2,658

2,624

Foreign Exchange (FX)

941

1,014

976

971

Energy

2,489

2,579

2,617

2,693

Agricultural Commodities

1,278

1,284

1,231

1,381

Metals

616

657

615

611

   Total

15,925

16,580

15,942

15,704

VENUE

Dec-17

Nov-17

Oct-17

Sep-17

Open outcry

1,066

1,106

1,025

889

Electronic

14,265

14,872

14,349

14,264

Privately negotiated

594

604

568

552

Average Rate Per Contract (In dollars)

3-Month Period Ending

PRODUCT LINE

Nov-17

Oct-17

Sep-17

Aug-17

Interest Rates

0.464

0.471

0.485

0.490

Equity Indexes

0.736

0.732

0.738

0.734

Foreign Exchange (FX)

0.784

0.783

0.796

0.801

Energy

1.114

1.077

1.072

1.062

Agricultural Commodities

1.254

1.257

1.251

1.269

Metals

1.299

1.319

1.376

1.420

   Total

0.723

0.726

0.749

0.761

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CME Group reaches several annual average daily volume records in 2017

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