CME Group Reached Average Daily Volume of 17 Million Contracts in September 2017, up 13 Percent from September 2016

- Averaged 15.7 million contracts per day in third-quarter 2017, up 10 percent from third-quarter 2016

CHICAGO, Oct. 3, 2017 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that September 2017 average daily volume (ADV) reached 17 million contracts, up 13 percent compared with September 2016.  CME Group September 2017 options volume averaged 3.6 million contracts per day, up 25 percent versus September 2016, with electronic options averaging 2.4 million contracts per day, up 36 percent from the same period last year.  Open interest at the end of September was 114 million contracts, up 11 percent from the end of September 2016.

Metals volume averaged 660,000 contracts per day in September 2017, up 72 percent from September 2016.  Highlights include:

  • Reached record quarterly ADV of 611,000 contracts, up 42 percent from third-quarter 2016, including records for Gold, Copper and Platinum futures and options
  • Grew Gold futures and options ADV 86 percent to 418,000 contracts, including record monthly Gold futures ADV of 366,000 contracts, up 88 percent, and Gold options ADV of 52,000 contracts, up 70 percent
  • Increased Silver futures and options ADV 37 percent to 93,000 contracts
  • Achieved 88 percent growth for base metals, including Copper futures and options, which averaged more than 116,000 contracts per day, also up 88 percent
  • Hit record open interest in Copper options of 13,000 contracts on September 25, 2017

Foreign exchange volume averaged 1.3 million contracts per day in September 2017, up 30 percent from September 2016.  Highlights include:

  • Reached Euro FX futures and options ADV of 296,000 contracts, up 22 percent
  • Grew Japanese Yen futures and options ADV 39 percent to 231,000 contracts
  • Achieved 31 percent growth for British Pound futures and options ADV, averaging 170,000 contracts
  • Increased ADV of emerging market currency pairs futures and options, with Indian Rupee up 367 percent, South African Rand up 170 percent, Swiss Franc up 35 percent, Brazilian Real up 32 percent and Canadian Dollar up 24 percent

Interest rate volume averaged 8.2 million contracts per day in September 2017, up 26 percent from September 2016.  Highlights include:

  • Reached record quarterly and monthly ADV in electronic Interest Rate options of 1.1 million and 1.3 million respectively
  • Increased Treasury futures and options ADV 30 percent to 3.8 million contracts, including 65 percent growth in Treasury options ADV to 892,000, with a record 82 percent traded electronically
  • Achieved 55 percent growth in Weekly Treasury options ADV to 161,000 contracts
  • Grew electronic Eurodollar options ADV 129 percent to 545,000 contracts, with 39 percent of overall Eurodollar options volume executed electronically
  • Increased Ultra 10-Year Treasury Note futures and options 61 percent to 116,000, and current open interest is up 119 percent
  • Reached record level of Large Open Interest Holders (LOIH) of 1,952 in Interest Rate futures as of September 5, 2017, up 18 percent from the 2016 annual average of 1,649

Agricultural volume averaged 1.1 million contracts per day in September 2017, up 17 percent from September 2016.  Highlights include:

  • Grew Corn futures and options ADV 12 percent to 310,000 contracts
  • Increased Agricultural options ADV 16 percent to 219,000 contracts
  • Grew Soybean, Soybean Oil and Soybean Meal futures and options ADV 17 percent, 18 percent and 16 percent, respectively
  • Achieved 38 percent growth in Hard Red Winter Wheat futures and options ADV

Energy volume averaged 2.7 million contracts per day in September 2017, up 9 percent from September 2016.  Highlights include:

  • Reached record quarterly ADV of 2.7 million contracts, up 17 percent from third-quarter 2016, including a record 1.6 million WTI futures and options contracts
  • Grew WTI Crude Oil futures and options ADV 13 percent to 1.6 million contracts, including WTI Crude Oil futures growth of 19 percent to 1.4 million contracts
  • Grew Natural Gas futures and options ADV 13 percent to 579,000 contracts, including electronic Natural Gas futures and options growth of 19 percent to 482,000 contracts

Equity Index volume averaged 3.1 million contracts per day in September 2017, down 18 percent from September 2016.  Highlights include:

  • Following CME Group's launch of Russell 2000 futures in July, and first quarterly rollover of positions from September quarterly contract to December quarterly contract, more than 91 percent of open interest previously held on Intercontinental Exchange (ICE) transitioned to CME Group; with this transfer of positions, CME Group would expect third-quarter overall Equity average rate-per-contract (RPC) to be approximately 69 cents
  • Grew E-mini Nasdaq 100 futures and options ADV 8 percent to 351,000 contracts
  • Traded an average of 80,000 Monday and Wednesday Weekly S&P 500 options (E-mini and Standard) year to date through September, which accounted for 12 percent of total Equity Index options ADV during the same timeframe

Footnote: To see CME Group daily over-the-counter (OTC) notional cleared volumes and open interest, monthly OTC notional cleared volumes and monthly total trade count, go to http://www.cmegroup.com/education/cme-volume-oi-records.html

MONTHLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

(in thousands)



Sep 2017

Sep 2016


Trading Days

20

21






PRODUCT LINE

Sep 2017

Sep 2016

Percent Change

Interest Rates

8,190

6,508

26%

Equity Indexes

3,083

3,761

-18%

Foreign Exchange (FX)

1,256

969

30%

Energy

2,664

2,440

9%

Agricultural Commodities

1,123

964

17%

Metals

660

383

72%

   Total

16,977

15,025

13%







VENUE

 Sep 2017

Sep 2016

P Percent Change

Open outcry

1,078

942

14%

CME Globex

15,276

13,424

14%

Privately negotiated

623

659

-5%


QUARTERLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

(in thousands)



Q3 2017

Q3 2016


Trading Days

63

64






PRODUCT LINE

Q3 2017

Q3 2016

Percent Change

Interest Rates

7,424

6,791

9%

Equity Indexes

2,624

2,876

-9%

Foreign Exchange (FX)

971

772

26%

Energy

2,693

2,294

17%

Agricultural Commodities

1,381

1,156

19%

Metals

611

431

42%

   Total

15,704

14,319

10%







VENUE

  Q3 2017

Q3 2016

P Percent Change

Open outcry

889

982

-9%

CME Globex

14,264

12,672

13%

Privately negotiated

552

665

-17%

 

ROLLING THREE-MONTH AVERAGES


Average Daily Volume (In thousands) 



3-Month Period Ending

PRODUCT LINE

Sep-17

Aug-17

July-17

Jun-17

Interest Rates

7,424

7,199

7,590

8,210

Equity Indexes

2,624

2,665

2,548

2,707

Foreign Exchange (FX)

971

898

901

879

Energy

2,693

2,695

2,653

2,632

Agricultural Commodities

1,381

1,580

1,517

1,491

Metals

611

563

533

533

   Total

15,704

15,600

15,742

16,453






VENUE

Sep-17

Aug-17

Jul-17

Jun-17

Open outcry

889

858

923

1,115

Electronic

14,264

14,139

14,149

14,582

Privately negotiated

552

603

671

756

 

Average Rate Per Contract (In dollars)




3-Month Period Ending

PRODUCT LINE

Aug-17

Jul-17

Jun-17

May-17

Interest Rates

0.490

0.489

0.491

0.492

Equity Indexes

0.734

0.740

0.731

0.727

Foreign Exchange (FX)

0.801

0.803

0.807

0.808

Energy

1.062

1.100

1.096

1.113

Agricultural Commodities

1.269

1.275

1.300

1.281

Metals

1.420

1.459

1.449

1.459

   Total

0.761

0.759

0.749

0.734

As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk.  Through its exchanges, CME Group offers the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals.  CME Group provides electronic trading globally on its CME Globex platform.  The company also offers clearing and settlement services across asset classes for exchange-traded and over-the-counter derivatives through CME Clearing.  CME Group's products and services ensure that businesses around the world can effectively manage risk and achieve growth.

CME Group, the Globe logo, CME, Chicago Mercantile Exchange, Globex and E-mini are trademarks of Chicago Mercantile Exchange Inc.  CBOT and Chicago Board of Trade are trademarks of Board of Trade of the City of Chicago, Inc.  NYMEX, New York Mercantile Exchange and ClearPort are trademarks of New York Mercantile Exchange, Inc.  COMEX is a trademark of Commodity Exchange, Inc.  Dow Jones, Dow Jones Industrial Average, S&P 500 and S&P are service and/or trademarks of Dow Jones Trademark Holdings LLC, Standard & Poor's Financial Services LLC and S&P/Dow Jones Indices LLC, as the case may be, and have been licensed for use by Chicago Mercantile Exchange Inc.  All other trademarks are the property of their respective owners.

CME-G

 

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SOURCE CME Group

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