CME Group’s strong January sees record FX trading volumes in NZD, Rupee, and E-Micro futures


cme group fx volumes

Derivatives marketplace CME Group (NASDAQ:CME) today announced that January 2018 average daily volume (ADV) reached 19 million contracts, up 18 percent from January 2017, and representing the second-highest monthly ADV ever. During January 2018, there were nine trading days above 20 million contracts, compared with 34 days in all of 2017, and eight in November 2016, which was the highest monthly ADV of all time. January 2018 options ADV reached a record 4.5 million contracts, up 32 percent, with record electronic options ADV of 2.9 million contracts, up 54 percent. Open interest at the end of January was 124 million contracts, up 11 percent from the end of January 2017.

Metals volume averaged a record 763,000 contracts per day in January 2018, up 45 percent from January 2017. Highlights include:

  • Record Gold futures and options ADV, up 45 percent to 491,000 contracts
  • Copper futures and options ADV increased 56 percent to 133,000 contracts
  • Silver futures and options ADV rose 48 percent to 112,000 contracts

Energy volume averaged a record 3.1 million contracts per day in January 2018, up 22 percent from January 2017. Highlights include:

  • Record Natural Gas futures and options ADV, up 53 percent to 964,000 contracts, including monthly records for both Henry Hub Natural Gas futures (NG) and Henry Hub Natural Gas options (LN)
  • Record Energy options ADV of 446,000 contracts, up 37 percent
  • Record NY Harbor ULSD futures and options ADV, up 30 percent to 218,000 contracts
  • WTI Crude Oil futures and options ADV grew 21 percent to 1.6 million contracts
    Refined Products futures and options ADV rose 18 percent to 446,000 contracts

Equity Index volume averaged 3 million contracts per day in January 2018, up 22 percent from January 2017. Highlights include:

  • Record Equity Index options ADV, up 45 percent to 950,000 contracts, including 90 percent growth in S&P 500 Weekly options and 86 percent growth in S&P 500 End-of-Month (EOM) options
  • Record ADV month on E-mini S&P 500 BTIC functionality, up 221 percent to 38,000 contracts per day, representing $5.3 billion in notional value, including record daily volume of 67,000 contracts on January 24
  • E-mini S&P 500 futures and options ADV grew 10 percent to 2.2 million contracts
  • E-mini Nasdaq 100 futures and options ADV rose 84 percent to 350,000 contracts
  • After relaunching in mid-2017, E-mini Russell 2000 futures and options averaged 110,000 contracts per day, up from 94,000 contracts on average during 2017
  • Monday and Wednesday Weekly S&P 500 options (E-mini and Standard) traded an average 91,000 contracts per day, up from an average 79,000 contracts per day in 2017

Foreign Exchange volume averaged 1.1 million contracts per day in January 2018, up 19 percent from January 2017. Highlights include:

  • Record monthly ADV across New Zealand dollar, Indian rupee, and E-Micro FX futures
  • Record 1,141 Large Open Interest Holders (LOIH) in FX futures as of January 23, up 8 percent from the 2017 annual average of 1,055
  • Euro FX futures and options ADV was 345,000 contracts, up 42 percent
  • British pound futures and options ADV increased 14 percent to 155,000 contracts

Interest Rate volume averaged 9.7 million contracts per day in January 2018, up 15 percent from January 2017. Highlights include:

  • Record daily open interest for Eurodollar futures of more than 15 million on January 31
  • Record 10-Year U.S. Treasury Note futures ADV, up 10 percent to 1.6 million contracts
  • Record Ultra 10-Year U.S. Treasury Note futures and options ADV of 151,000 contracts, up 52 percent
  • Record 2,037 LOIH in Interest Rate futures as of January 23, up 10 percent from the 2017 annual average of 1,847
  • Treasury futures and options ADV was up 18 percent to 4.4 million contracts
  • Eurodollar futures and options ADV increased 13 percent to 5.1 million contracts, including 6 percent growth in Eurodollar futures ADV to a record 3.3 million contracts
  • Electronic Eurodollar options ADV grew 105 percent to 661,000 contracts, representing 37 percent of the total Eurodollar options ADV
  • Fed Fund futures ADV reached 196,000 contracts, up 20 percent

Agricultural volume averaged 1.3 million contracts per day in January 2018, up 10 percent from January 2017. Highlights include:

  • Record Hard Red Winter Wheat futures ADV, up 45 percent to 62,000 contracts
  • Grain and Oilseed futures and options ADV increased 10 percent to 1.1 million contracts
  • Corn futures and options ADV was up 6 percent to 384,000 contracts
  • Electronic Agricultural options ADV increased 23 percent to 177,000 contracts

MONTHLY AVERAGE DAILY VOLUME (ADV)

Total Exchange ADV

(in thousands)

Jan 2018

Jan 2017

Trading Days

21

20

PRODUCT LINE

Jan 2018

Jan 2017

Percent Change

Interest Rates

9,684

8,391

15%

Equity Indexes

3,048

2,495

22%

Foreign Exchange (FX)

1,093

916

19%

Energy

3,108

2,538

22%

Agricultural Commodities

1,283

1,166

10%

Metals

763

525

45%

   Total

18,979

16,032

18%

VENUE

 Jan 2018

Jan 2017

Percent Change

Open outcry

1,343

1,260

7%

CME Globex

16,797

13,958

20%

Privately negotiated

839

814

3%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands)

3-Month Period Ending

PRODUCT LINE

Jan-18

Dec-17

Nov-17

Oct-17

Interest Rates

8,673

7,970

8,379

7,844

Equity Indexes

2,911

2,632

2,667

2,658

Foreign Exchange (FX)

1,011

941

1,014

976

Energy

2,732

2,489

2,579

2,617

Agricultural Commodities

1,315

1,278

1,284

1,231

Metals

684

616

657

615

   Total

17,326

15,925

16,580

15,942

VENUE

Jan-18

Dec-17

Nov-17

Oct-17

Open outcry

1,127

1,066

1,106

1,025

Electronic

15,509

14,265

14,872

14,349

Privately negotiated

690

594

604

568

Average Rate Per Contract (In dollars)

3-Month Period Ending

PRODUCT LINE

Dec-17

Nov-17

Oct-17

Sep-17

Interest Rates

0.467

0.464

0.471

0.485

Equity Indexes

0.768

0.736

0.732

0.738

Foreign Exchange (FX)

0.785

0.784

0.783

0.796

Energy

1.133

1.114

1.077

1.072

Agricultural Commodities

1.251

1.254

1.257

1.251

Metals

1.315

1.299

1.319

1.376

   Total

0.736

0.723

0.726

0.749

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CME Group’s strong January sees record FX trading volumes in NZD, Rupee, and E-Micro futures

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