CME Group Averaged 17.8 Million Contracts Per Day in January 2019
Equity Index volume averaged 3.3 million contracts per day in
- E-mini
S&P 500 futures ADV increased 17 percent to 1.6 million contracts - E-mini Nasdaq-100 futures and options ADV grew 51 percent to 530,000 contracts
- E-mini Dow futures and options ADV rose 35 percent to 234,000 contracts
- E-mini Russell 2000 futures and options ADV grew 29 percent to 139,000 contracts
- E-mini S&P Select Sector Index futures and options ADV increased 53 percent to 10,000 contracts
S&P 500Wednesday Weekly options ADV rose 56 percent to 4,000 contracts
Interest Rate volume averaged 9.6 million contracts per day in
- U.S. Treasury futures and options ADV increased 4 percent to 4.6 million contracts, including U.S. Treasury futures ADV, up 5 percent to 3.6 million contracts, and U.S. Treasury options ADV, up 2 percent to 959,000 contracts
- 2-year U.S. Treasury Note futures ADV increased 23 percent to 483,000 contracts
Fed Fund futures ADV rose 61 percent to 314,000 contracts- Weekly Treasury options ADV grew 21 percent to 170,000 contracts
- Ultra 10-year U.S. Treasury Note futures and options ADV grew 1 percent to 152,000 contracts
- Ultra U.S. Treasury Bond futures and options ADV increased 3 percent to 135,000 contracts
- SOFR futures ADV grew to 18,400 contracts, the highest since their
May 2018 launch
Options volume averaged 4 million contracts per day in
- Metals options ADV increased 9 percent to 62,000 contracts
Agricultural volume averaged 1.1 million contracts per day in
- Livestock futures ADV grew 11 percent to 144,000 contracts
- Live Cattle futures and options ADV increased 4 percent to 87,000 contracts
- Lean Hog futures and options ADV rose 20 percent to 65,000 contracts
Energy volume averaged 2.5 million contracts per day in
- Record WTI Houston Crude Oil futures daily volume of 2,232 contracts on
January 31 - WTI Houston Crude Oil futures ADV grew to 1,000 contracts, the highest since their
November 2018 launch
Foreign Exchange volume averaged 838,000 contracts per day in
- Russian ruble futures and options ADV grew 120 percent to 2,800 contracts
- South African rand futures and options ADV rose 4 percent to 2,000 contracts
Metals volume averaged 564,000 contracts per day in
- Record Copper options ADV, up 152 percent to 2,400 contracts
- Precious Metals options grew 7 percent to 59,000 contracts
- Gold options ADV increased 8 percent to 51,000 contracts
- Silver options ADV rose 2 percent to 7,700 contracts
- Palladium futures and options increased 6 percent to 5,200 contracts
BrokerTec fixed income and EBS foreign exchange trading activity highlights, in terms of average daily notional value, include:
- European Repo average daily notional value increased 6 percent to €257.6 billion
- U.S. Repo average daily notional value increased 4 percent to
$261.3 billion - U.S. Treasury average daily notional value decreased 1 percent to
$183.5 billion - Spot FX average daily notional value decreased 17 percent to
$87.1 billion
Footnote: To see
MONTHLY AVERAGE DAILY VOLUME (ADV) |
|||
Total Exchange ADV |
|||
(in thousands) |
|||
Jan 2019 |
Jan 2018 |
||
Trading Days |
21 |
21 |
|
PRODUCT LINE |
Jan 2019 |
Jan 2018 |
Percent Change |
Interest Rates |
9,586 |
9,684 |
-1% |
Equity Indexes |
3,260 |
3,048 |
7% |
Foreign Exchange (FX) |
838 |
1,093 |
-23% |
Energy |
2,491 |
3,108 |
-20% |
Agricultural Commodities |
1,095 |
1,283 |
-15% |
Metals |
564 |
763 |
-26% |
Total |
17,832 |
18,979 |
-6% |
VENUE |
Jan 2019 |
Jan 2018 |
Percent Change |
Open outcry |
1,322 |
1,343 |
-2% |
CME Globex |
15,735 |
16,797 |
-6% |
Privately negotiated |
775 |
839 |
-8% |
ROLLING THREE-MONTH AVERAGES |
||||
Average Daily Volume (In thousands) |
||||
3-Month Period Ending |
||||
PRODUCT LINE |
Jan-19 |
Dec-18 |
Nov-18 |
Oct-18 |
Interest Rates |
10,575 |
10,919 |
10,436 |
9,332 |
Equity Indexes |
4,004 |
4,511 |
3,973 |
3,501 |
Foreign Exchange (FX) |
921 |
942 |
972 |
963 |
Energy |
2,658 |
2,665 |
2,723 |
2,318 |
Agricultural Commodities |
1,203 |
1,248 |
1,314 |
1,306 |
Metals |
544 |
547 |
597 |
598 |
Total |
19,905 |
20,831 |
20,014 |
18,018 |
VENUE |
Jan-19 |
Dec-18 |
Nov-18 |
Oct-18 |
Open outcry |
1,178 |
1,128 |
1,096 |
1,050 |
Electronic |
17,996 |
19,024 |
18,240 |
16,356 |
Privately negotiated |
731 |
680 |
678 |
612 |
Average Rate Per Contract (In dollars) |
||||
3-Month Period Ending |
||||
PRODUCT LINE |
Nov-18 |
Oct-18 |
Sep-18 |
Aug-18 |
Interest Rates |
0.476 |
0.480 |
0.493 |
0.491 |
Equity Indexes |
0.723 |
0.731 |
0.761 |
0.780 |
Foreign Exchange (FX) |
0.711 |
0.719 |
0.743 |
0.738 |
Energy |
1.143 |
1.157 |
1.187 |
1.181 |
Agricultural Commodities |
1.248 |
1.244 |
1.258 |
1.269 |
Metals |
1.394 |
1.374 |
1.379 |
1.398 |
Total |
0.705 |
0.714 |
0.753 |
0.767 |
BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Value |
|||||
(in billion USD unless otherwise stated, single count) |
|||||
PRODUCT LINE |
Jan 2018 |
Jan 2019 |
YoY % |
Dec 2018 |
MoM % |
U.S. Treasury1 |
185.2 |
183.5 |
-1% |
200.8 |
-9% |
U.S. Repo |
252.0 |
261.3 |
4% |
255.8 |
2% |
European Repo (in EUR billions) |
244.2 |
257.6 |
6% |
254.5 |
1% |
Spot FX |
104.9 |
87.1 |
-17% |
76.2 |
14% |
12 Month ended January 31 |
|||
PRODUCT LINE |
2018 |
2019 |
% Change |
U.S. Treasury |
161.3 |
172.8 |
7% |
U.S. Repo |
232.0 |
239.0 |
3% |
European Repo (in EUR billions) |
228.8 |
261.1 |
14% |
Spot FX |
83.7 |
88.9 |
6% |
[1] Volume information includes UST Benchmarks and Agencies. Off-the-Run securities, including T-Bills, are provided pursuant to an agreement with ICAP Securities USA LLC. |
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