CME Group Averaged 17.8 Million Contracts Per Day in January 2019

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Feb 04, 2019, 07:30 ET

CHICAGO, Feb. 4, 2019 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 17.8 million contracts per day in January 2019, down 6 percent from January 2018. Open interest at the end of January was 122 million contracts, down 1 percent from January 2018 and up 5 percent from year-end 2018.

Equity Index volume averaged 3.3 million contracts per day in January 2019, up 7 percent from January 2018. Highlights include:

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 500 Wednesday Weekly options ADV rose 56 percent to 4,000 contracts

Interest Rate volume averaged 9.6 million contracts per day in January 2019, down 1 percent from January 2018. Highlights include:

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 January 2019, down 12 percent from January 2018. Highlights include:

Metals options ADV increased 9 percent to 62,000 contracts

Agricultural volume averaged 1.1 million contracts per day in January 2019, down 15 percent from January 2018. Highlights include:

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 January 2019, down 20 percent from January 2018. Highlights include:

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 January 2019, down 23 percent from January 2018. Highlights include:

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 January 2019, down 26 percent from January 2018. Highlights include:

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 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)

	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 % Change	Dec 2018	MoM % Change
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.

As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) enables clients to trade futures, options, cash and OTC markets, optimize portfolios, and analyze data – empowering market participants worldwide to efficiently manage risk and capture opportunities. CME Group exchanges offer the widest range of global benchmark products across all major asset classes based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals. The company offers futures and options on futures trading through the CME Globex® platform, fixed income trading via BrokerTec and foreign exchange trading on the EBS platform. In addition, it operates one of the world's leading central counterparty clearing providers, CME Clearing. With a range of pre- and post-trade products and services underpinning the entire lifecycle of a trade, CME Group also offers optimization and reconciliation services through TriOptima, and trade processing services through Traiana.

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SOURCE CME Group