CME Group’s November ADV – second highest in 2017


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Derivatives marketplace CME Group (NASDAQ:CME) today announced that November 2017 average daily volume (ADV) reached 18 million contracts, down 14 percent from the record November 2016 average daily volume, but up 21 percent compared with October 2017 and representing the second highest monthly average daily volume to date in 2017.

CME Group November 2017 options volume averaged 3.5 million contracts per day, down 18 percent versus November 2016, with electronic options averaging 2.2 million contracts per day, down 6 percent from the same period last year. Open interest at the end of November was 123 million contracts, up 9 percent from the end of November 2016.

Agricultural volume averaged 1.6 million contracts per day in November 2017, up 14 percent from November 2016, and up 32 percent from October 2017. Highlights include:

  • Corn futures and options ADV was up 27 percent to 582,000 contracts
  • Electronic Agricultural options ADV increased 16 percent to 156,000 contracts
  • Livestock futures ADV grew 20 percent to 135,000 contracts

Metals volume averaged a record 749,000 contracts per day in November 2017, up 4 percent from November 2016, and up 33 percent from October 2017. Highlights include:

  • Gold futures and options ADV was up 11 percent to 453,000 contracts, with record Gold futures ADV of 416,000 contracts
  • Silver futures and options ADV was up 13 percent to 126,000 contracts
  • Copper options ADV increased 158 percent

Energy volume averaged 2.7 million contracts per day in November 2017, down 3 percent from November 2016, but up 12 percent from October 2017. Highlights include:

  • WTI Crude Oil futures ADV was up 1 percent to 1.3 million contracts
  • Electronic Natural Gas futures and options ADV increased 18 percent to 566,000 contracts
  • Natural Gas options rose 18 percent in ADV to 151,000 contracts
  • Heating Oil futures ADV increased 1 percent to 169,000 contracts

Foreign exchange volume averaged 915,000 contracts per day in November 2017, down 7 percent from November 2016, but up 3 percent from October 2017. Highlights include:

  • British pound futures and options reached ADV of 159,000 contracts, up 16 percent
  • Emerging market currency pairs futures and options saw increased ADV, with Indian rupee up 185 percent, Russian ruble up 70 percent, South African rand up 37 percent and Brazilian real up 8 percent

Equity Index volume averaged 2.7 million contracts per day in November 2017, down 14 percent from November 2016, but up 22 percent from October 2017. Highlights include:

  • E-mini Nasdaq 100 futures and options ADV grew 22 percent to 325,000 contracts, including 28 percent growth in End of Month (EOM) E-mini Nasdaq 100 options and 49 percent growth in Weekly E-mini Nasdaq 100 options
  • S&P 500 EOM options achieved 73 percent growth and E-mini S&P 500 EOM options saw 5 percent growth
  • Following CME Group’s launch of Russell 2000 futures in July, they averaged 109,000 contracts per day in November

Interest rate volume averaged 9.3 million contracts per day in November 2017, down 21 percent from November 2016, but up 23 percent from October 2017. Highlights include:

  • Overall Interest Rate futures and options open interest hit a record 79 million contracts on November 22
  • Treasury futures reached record daily volume of 13.3 million contracts on November 27
  • 2-Year Treasury futures and options ADV increased 28 percent to a record 701,000 contracts, including 95 percent growth in 2-Year Treasury options ADV
  • Ultra-Treasury Bond futures and options ADV increased 21 percent to a record 238,000 contracts and Ultra 10-Year Treasury Note futures and options increased 32 percent to a record 195,000 contracts

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CME Group's November ADV - second highest in 2017

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