CME Group Averaged 18.2 Million Contracts Per Day in November 2019

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Dec 03, 2019, 07:30 ET

CHICAGO, Dec. 3, 2019 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 18.2 million contracts during November 2019. Open interest (OI) at the end of November was 131 million contracts.

Interest Rate volume averaged 10.3 million contracts per day in November 2019. Highlights include:

2-Year U.S. Treasury Note futures and options ADV grew 20% to 1.2 million contracts
Ultra 10-Year U.S. Treasury Notes futures and options ADV rose 20% to 307,000 contracts
SOFR futures ADV increased 306% to 48,000 contracts

Options volume averaged 3.3 million contracts per day in November 2019. Highlights include:

Metals options ADV increased 21% to 67,000 contracts

Equity Index volume averaged 2.7 million contracts per day in November 2019. Highlights include:

E-mini Russell 2000 futures and options ADV increased 17% to 2,700 contracts
S&P 500 Annual Dividend futures ADV grew 128% to 1,900 contracts

Energy volume averaged 2.2 million contracts per day in November 2019. Highlights include:

NGLs & Plastics futures and options ADV grew 29% to 14,000 contracts

Agricultural volume averaged 1.4 million contracts per day in November 2019. Highlights include:

Livestock futures and options ADV increased 8% to 173,000 contracts
Soybean futures ADV rose 4% to 171,000 contracts
Live Cattle futures and options ADV grew 10% to 85,000 contracts
Hard Red Winter Wheat futures and options ADV increased 21% to 82,000 contracts
Lean Hog futures and options ADV grew 5% to 75,000 contracts

Metals volume averaged 804,000 contracts per day in November 2019. Highlights include:

Record Gold futures ADV, up 56% to 483,000 contracts
Silver futures and options ADV rose 8% to 128,000 contracts
Platinum futures and options ADV grew 12% to 20,000 contracts
Copper futures and options ADV rose 48% to 2,900 contracts

Foreign Exchange volume averaged 688,000 contracts per day in November 2019. Highlights include:

Swiss Franc futures and options ADV increased 17% to 27,000
Brazilian real futures and options ADV grew 224% to 14,000 contracts

BrokerTec fixed income trading activity highlights include:

European Repo average daily notional volume increased 3% to €260 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)

	Nov 2019	Nov 2018
Trading Days	20	21

PRODUCT LINE	Nov 2019	Nov 2018	Percent Change
Interest Rates	10,258	11,889	-14%
Equity Indexes	2,735	3,679	-26%
Foreign Exchange (FX)	688	904	-24%
Energy	2,247	3,128	-28%
Agricultural Commodities	1,450	1,460	-1%
Metals	804	624	29%
Total	18,182	21,684	-16%

VENUE		Nov 2019	Nov 2018	P Percent Change
Open outcry		892	1,059	-16%
CME Globex	16,559		19,909	-17%
Privately negotiated	730		716	2%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands)

	3-Month Period Ending
PRODUCT LINE	Nov-19	Oct-19	Sep-19	Aug-19
Interest Rates	9,570	10,771	10,868	11,776
Equity Indexes	3,367	4,102	3,931	3,896
Foreign Exchange (FX)	849	889	850	852
Energy	2,431	2,490	2,456	2,363
Agricultural Commodities	1,291	1,307	1,320	1,589
Metals	746	775	821	816
Total	18,253	20,334	20,247	21,292

VENUE	Nov-19	Oct-19	Sep-19	Aug-19
Open outcry	1,021	1,147	1,177	1,391
Electronic	16,504	18,393	18,282	18,963
Privately negotiated	728	795	788	938

Average Rate Per Contract (In dollars)

	3-Month Period Ending
PRODUCT LINE	Oct-19	Sep-19	Aug-19	Jul-19
Interest Rates	0.502	0.500	0.488	0.481
Equity Indexes	0.612	0.612	0.627	0.650
Foreign Exchange (FX)	0.702	0.720	0.724	0.721
Energy	1.127	1.137	1.145	1.152
Agricultural Commodities	1.230	1.234	1.232	1.202
Metals	1.366	1.414	1.445	1.459
Total	0.689	0.693	0.688	0.688

BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Volume
(in billion USD unless otherwise stated, single count)

PRODUCT LINE	Nov 2019	Nov 2018	Percent Change
U.S. Treasury¹	131.4	174.2	-25%
U.S. Repo	229.8	230.8	-3%
European Repo (in EUR billions)	259.9	252.7	3%
Spot FX	62.0	81.6	-24%

^[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.

BrokerTec Fixed Income and EBS Foreign Exchange 3-Month Trailing Average Revenue (U.S. dollars in millions)²

	3-Month Period Ending
BUSINESS LINE	Oct-19	Sep-19	Aug-19	Jul-19
BrokerTec	50.5	51.1	49.4	48.9
EBS	49.5	49.6	49.7	48.7

^[2] This data is representative of the subset of legacy NEX Group plc business revenue that flows into the Clearing and Transaction Fees line of the CME Group Income Statement along with revenue generated by CME Group futures and options volume, as well as over-the-counter swaps cleared.

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.

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. BrokerTec, EBS, TriOptima, and Traiana are trademarks of BrokerTec Europe LTD, EBS Group LTD, TriOptima AB, and Traiana, Inc., respectively. 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.

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SOURCE CME Group