News Release

CME Group Reached Record Average Daily Volume of 15.6 Million Contracts in 2016, up 12 Percent from 2015

Wed Jan 04 2017

CHICAGO, Jan. 4, 2017 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that 2016 average daily volume (ADV) reached a record 15.6 million contracts, up 12 percent from 2015.  Five of CME Group's top ten daily volume days occurred within 2016, with three of those during the fourth quarter.  CME Group fourth-quarter 2016 ADV reached a 16.3 million contracts, up 24 percent from fourth-quarter 2015, while December 2016 ADV reached 15 million contracts, up 15 percent compared with December last year.  Full-year 2016 options volume averaged a record 3.1 million contracts per day, up 14 percent versus 2016, with electronic options averaging a record 1.7 million contracts per day, up 21 percent over the same period last year.  Open interest at the end of December was 103 million contracts, up 13 percent from year-end 2015, and daily open interest reached an all-time high of 122.6 million contracts on December 15, 2016.

Metals volume averaged a record 488,000 contracts per day in fourth-quarter 2016, up 49 percent from fourth-quarter 2015.  Highlights include:

  • Grew Gold futures and options ADV 51 percent to 279,000 contracts
  • Increased Silver futures and options ADV 45 percent to 80,000 contracts

Interest rate volume averaged a record 8.3 million contracts per day in fourth-quarter 2016, up 36 percent from fourth-quarter 2015.  Highlights include:

  • Grew Eurodollar futures ADV 47 percent to nearly 3 million contracts, and Eurodollar options ADV 21 percent to 1.3 million contracts
  • Grew Fed Fund futures ADV 46 percent to 123,000 contracts
  • Achieved Treasury futures ADV of 3.2 million contracts, up 32 percent, and Treasury options ADV of 664,000 contracts, up 44 percent
  • Reached highest quarterly ADV in Ultra 10-Year Treasury Note futures and options, launched in early January 2016, with nearly 100,000 contracts per day
  • Reached record levels in overall interest rate open interest of nearly 74 million contracts during December, with quarter-end open interest of 58 million contracts, up 25 percent from 47 million contracts at the same time last year

Energy volume averaged a record 2.6 million contracts per day in fourth-quarter 2016, up 27 percent from fourth-quarter 2015.  Highlights include:

  • Grew WTI Crude Oil futures and options ADV 45 percent to a record 1.4 million contracts
  • Maintained November 2016 month-end record level of WTI Crude Oil futures (CL) open interest of more than 2.1 million contracts during December, and finished quarter-end up 24 percent

Foreign exchange volume averaged 883,000 contracts per day in fourth-quarter 2016, up 13 percent from fourth-quarter 2015.  Highlights include:

  • Grew British Pound futures and options ADV 52 percent to 133,000 contracts
  • Achieved quarterly ADV record in European option and Mexican Peso options

Equity index volume averaged 2.7 million contracts per day in fourth-quarter 2016, up 10 percent from fourth-quarter 2015.  Highlights include:

  • Grew Equity Index options ADV 26 percent to a record 680,000 contracts
  • Achieved ADV of 42,000 contracts for S&P 500 and E-mini S&P 500 Wednesday Weekly options launched September 26, 2016

Agricultural volume averaged 1.2 million contracts per day in fourth-quarter 2016, down 1 percent from fourth-quarter 2015.  Highlights include:

  • Grew Hard Red Winter Wheat futures and options ADV 36 percent

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

 

 

 

ANNUAL AVERAGE DAILY VOLUME (ADV)

 

Total Exchange ADV
(in thousands)

 
 

2016

2015

 

Trading Days

252

253

 
       

PRODUCT LINE

2016

2015

Percent Change

Interest Rates

7,517

6,735

12%

Equity Indexes

3,061

2,743

5%

Foreign Exchange (FX)

858

872

-2%

Energy

2,432

1,970

23%

Agricultural Commodities

1,321

1,265

4%

Metals

460

345

34%

   Total

15,649

13,963

12%


VENUE

2016

2015

Percent Change

Open outcry

1,149

1,139

1%

CME Globex

13,766

12,185

13%

Privately negotiated

735

639

15%

 

QUARTERLY AVERAGE DAILY VOLUME (ADV)

 

Total Exchange ADV
(in thousands)

 
 

4Q 2016

4Q 2015

 

Trading Days

63

64

 
       

PRODUCT LINE

4Q 2016

4Q 2015

Percent Change

Interest Rates

8,300

6,097

36%

Equity Indexes

2,875

2,743

5%

Foreign Exchange (FX)

883

779

13%

Energy

2,586

2,032

27%

Agricultural Commodities

1,193

1,200

-1%

Metals

488

326

49%

   Total

16,325

13,178

24%


VENUE

 4Q 2016

4Q 2015

Percent Change

Open outcry

1,130

1,056

7%

CME Globex

14,375

11,420

26%

Privately negotiated

820

704

17%

 

MONTHLY AVERAGE DAILY VOLUME (ADV)

 

Total Exchange ADV
(in thousands)

 
 

Dec 2016

Dec 2015

 

Trading Days

21

22

 
       

PRODUCT LINE

Dec 2016

Dec 2015

Percent Change

Interest Rates

7,334

5,692

29%

Equity Indexes

2,846

3,110

-8%

Foreign Exchange (FX)

892

884

1%

Energy

2,575

2,055

25%

Agricultural Commodities

1,024

1,033

-1%

Metals

359

264

36%

   Total

15,030

13,039

15%


VENUE

Dec 2016

Dec 2015

 Percent Change

Open outcry

1,442

1,054

8%

CME Globex

13,070

11,312

16%

Privately negotiated

817

672

22%

 

 

ROLLING THREE-MONTH AVERAGES

 

Average Daily Volume (In thousands) 

 
 

3-Month Period Ending

PRODUCT LINE

Dec-16

Nov-16

Oct-16

Sep-16

Interest Rates

8,300

8,025

6,445

6,791

Equity Indexes

2,875

3,180

2,882

2,876

Foreign Exchange (FX)

883

909

786

772

Energy

2,586

2,541

2,358

2,294

Agricultural Commodities

1,193

1,173

1,110

1,156

Metals

488

496

395

431

   Total

16,325

16,323

13,975

14,319

         

VENUE

Dec-16

Nov-16

Oct-16

Sep-16

Open outcry

1,130

1,063

847

982

Electronic

14,375

14,493

12,508

12,672

Privately negotiated

820

767

620

665

 

Average Rate Per Contract (In dollars)

   
 

3-Month Period Ending

PRODUCT LINE

Nov-16

Oct-16

Sep-16

Aug-16

Interest Rates

0.496

0.505

0.508

0.504

Equity Indexes

0.682

0.673

0.676

0.693

Foreign Exchange (FX)

0.782

0.806

0.806

0.806

Energy

1.087

1.100

1.097

1.125

Agricultural Commodities

1.338

1.351

1.335

1.326

Metals

1.487

1.537

1.542

1.557

   Total

0.731

0.753

0.750

0.763

As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk.  CME Group exchanges offer 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.  Around the world, CME Group brings buyers and sellers together through its CME Globex® electronic trading platform and its exchanges based in Chicago, New York and London.  CME Group also operates one of the world's leading central counterparty clearing providers through CME Clearing and CME Clearing Europe, which offer clearing and settlement services across asset classes for exchange-traded and over-the-counter derivatives.  CME Group's products and services ensure that businesses around the world can effectively manage risk and achieve growth.

CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc.  CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc.  NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc.  COMEX is a trademark of Commodity Exchange, Inc.  All other trademarks are the property of their respective owners.  Further information about CME Group (NASDAQ: CME) and its products can be found at www.cmegroup.com.

CME-G

SOURCE CME Group

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