CHICAGO, Dec. 4, 2018 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 21.7 million contracts per day in November 2018, up 21 percent from November 2017. Open interest at the end of November was 128 million contracts, up 4 percent from November 2017 and up 19 percent from year-end 2017.
Equity Index volume averaged 3.7 million contracts per day in November 2018, up 35 percent from November 2017. Highlights include:
Interest Rate volume averaged 12 million contracts per day in November 2018, up 27 percent from November 2017. Highlights include:
Options volume averaged 4.3 million contracts per day in November 2018, up 23 percent from November 2017. Highlights include:
Energy volume averaged a record 3.1 million contracts per day in November 2018, up 16 percent from November 2017. Highlights include:
Foreign Exchange volume averaged 904,000 contracts per day in November 2018, down 1 percent from November 2017. Highlights include:
Agricultural volume averaged 1.5 million contracts per day in November 2018, down 6 percent from November 2017. Highlights include:
Metals volume averaged 624,000 contracts per day in November 2018, down 17 percent from November 2017. Highlights include:
BrokerTec fixed income and EBS foreign exchange trading activity highlights, in terms of average daily notional value, include:
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 2018 | Nov 2017 | ||||
Trading Days | 21 | 21 | |||
PRODUCT LINE | Nov 2018 | Nov 2017 | Percent Change | ||
Interest Rates | 11,889 | 9,348 | 27% | ||
Equity Indexes | 3,679 | 2,725 | 36% | ||
Foreign Exchange (FX) | 904 | 915 | -1% | ||
Energy | 3,128 | 2,691 | 16% | ||
Agricultural Commodities | 1,460 | 1,552 | -6% | ||
Metals | 624 | 749 | -17% | ||
Total | 21,684 | 17,979 | 22% | ||
VENUE | Nov 2018 | Nov 2017 | P Percent Change | ||
Open outcry | 1,059 | 1,078 | -2% | ||
CME Globex | 19,909 | 16,268 | 22% | ||
Privately negotiated | 716 | 635 | 13% |
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending | ||||
PRODUCT LINE | Nov-18 | Oct-18 | Sep-18 | Aug-18 |
Interest Rates | 10,436 | 9,332 | 7,798 | 7,700 |
Equity Indexes | 3,973 | 3,501 | 2,671 | 2,645 |
Foreign Exchange (FX) | 972 | 963 | 944 | 961 |
Energy | 2,723 | 2,318 | 2,199 | 2,229 |
Agricultural Commodities | 1,314 | 1,306 | 1,348 | 1,584 |
Metals | 597 | 598 | 623 | 644 |
Total | 20,014 | 18,018 | 15,584 | 15,762 |
VENUE | Nov-18 | Oct-18 | Sep-18 | Aug-18 |
Open outcry | 1,096 | 1,050 | 938 | 937 |
Electronic | 18,240 | 16,356 | 14,082 | 14,270 |
Privately negotiated | 678 | 612 | 564 | 555 |
Average Rate Per Contract (In dollars)
3-Month Period Ending | ||||
PRODUCT LINE | Oct-18 | Sep-18 | Aug-18 | Jul-18 |
Interest Rates | 0.480 | 0.493 | 0.491 | 0.487 |
Equity Indexes | 0.731 | 0.761 | 0.780 | 0.799 |
Foreign Exchange (FX) | 0.719 | 0.743 | 0.738 | 0.733 |
Energy | 1.157 | 1.187 | 1.181 | 1.161 |
Agricultural Commodities | 1.244 | 1.258 | 1.269 | 1.268 |
Metals | 1.374 | 1.379 | 1.398 | 1.392 |
Total | 0.714 | 0.753 | 0.767 | 0.756 |
BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Value
(in billion USD unless otherwise stated, single count)
PRODUCT LINE | Nov 2017 | Nov 2018 | YoY % | Oct 2018 | MoM % | |||||
U.S. Treasury1 | 156.7 | 174.2 | 11% | 201.3 | -13% | |||||
U.S. Repo | 252.6 | 230.8 | -9% | 229.1 | 1% | |||||
European Repo (in EUR billions) | 240.4 | 252.7 | 5% | 266.3 | -5% | |||||
Spot FX | 82.3 | 81.6 | -1% | 88.7 | -8% |
12 Month ended November 30 | |||
PRODUCT LINE | 2017 | 2018 | % Change |
U.S. Treasury | 161.0 | 168.7 | 5% |
U.S. Repo | 226.7 | 238.6 | 5% |
European Repo (in EUR billions) | 222.3 | 257.4 | 16% |
Spot FX | 84.1 | 89.6 | 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.
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
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