News Release

CME Group Reached Average Daily Volume of 18 Million Contracts in November 2017, up 21 Percent from October

Mon Dec 04 2017

CHICAGO, Dec. 4, 2017 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that November 2017 average daily volume (ADV) reached 18 million contracts, down 14 percent from the record November 2016 average daily volume, but up 21 percent compared with October 2017 and representing the second highest monthly average daily volume to date in 2017.  CME Group November 2017 options volume averaged 3.5 million contracts per day, down 18 percent versus November 2016, with electronic options averaging 2.2 million contracts per day, down 6 percent from the same period last year.  Open interest at the end of November was 123 million contracts, up 9 percent from the end of November 2016.

Agricultural volume averaged 1.6 million contracts per day in November 2017, up 14 percent from November 2016, and up 32 percent from October 2017.  Highlights include:

  • Corn futures and options ADV was up 27 percent to 582,000 contracts
  • Electronic Agricultural options ADV increased 16 percent to 156,000 contracts
  • Livestock futures ADV grew 20 percent to 135,000 contracts

Metals volume averaged a record 749,000 contracts per day in November 2017, up 4 percent from November 2016, and up 33 percent from October 2017.  Highlights include:

  • Gold futures and options ADV was up 11 percent to 453,000 contracts, with record Gold futures ADV of 416,000 contracts
  • Silver futures and options ADV was up 13 percent to 126,000 contracts
  • Copper options ADV increased 158 percent

Energy volume averaged 2.7 million contracts per day in November 2017, down 3 percent from November 2016, but up 12 percent from October 2017.  Highlights include:

  • WTI Crude Oil futures ADV was up 1 percent to 1.3 million contracts
  • Electronic Natural Gas futures and options ADV increased 18 percent to 566,000 contracts
  • Natural Gas options rose 18 percent in ADV to 151,000 contracts
  • Heating Oil futures ADV increased 1 percent to 169,000 contracts

Foreign exchange volume averaged 915,000 contracts per day in November 2017, down 7 percent from November 2016, but up 3 percent from October 2017.  Highlights include:

  • British pound futures and options reached ADV of 159,000 contracts, up 16 percent
  • Emerging market currency pairs futures and options saw increased ADV, with Indian rupee up 185 percent, Russian ruble up 70 percent, South African rand up 37 percent and Brazilian real up 8 percent

Equity Index volume averaged 2.7 million contracts per day in November 2017, down 14 percent from November 2016, but up 22 percent from October 2017.  Highlights include:

  • E-mini Nasdaq 100 futures and options ADV grew 22 percent to 325,000 contracts, including 28 percent growth in End of Month (EOM) E-mini Nasdaq 100 options and 49 percent growth in Weekly E-mini Nasdaq 100 options
  • S&P 500 EOM options achieved 73 percent growth and E-mini S&P 500 EOM options saw 5 percent growth
  • Following CME Group's launch of Russell 2000 futures in July, they averaged 109,000 contracts per day in November

Interest rate volume averaged 9.3 million contracts per day in November 2017, down 21 percent from November 2016, but up 23 percent from October 2017.  Highlights include:

  • Overall Interest Rate futures and options open interest hit a record 79 million contracts on November 22
  • Treasury futures reached record daily volume of 13.3 million contracts on November 27
  • 2-Year Treasury futures and options ADV increased 28 percent to a record 701,000 contracts, including 95 percent growth in 2-Year Treasury options ADV
  • Ultra-Treasury Bond futures and options ADV increased 21 percent to a record 238,000 contracts and Ultra 10-Year Treasury Note futures and options increased 32 percent to a record 195,000 contracts

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 2017

Nov 2016



Trading Days

21

21








PRODUCT LINE

Nov 2017

Nov 2016

Percent Change

Interest Rates

9,348

11,848

-21%


Equity Indexes

2,725

3,179

-14%


Foreign Exchange (FX)

915

987

-7%


Energy

2,691

2,772

-3%


Agricultural Commodities

1,552

1,363

14%


Metals

749

718

4%


   Total

17,979

20,867

-14%







VENUE

Nov 2017

Nov 2016

Percent Change

Open outcry

1,077

1,441

- 25%


CME Globe

16,268

18,378

-11%


Privately negotiated

635

1,048

-39%


 

ROLLING THREE-MONTH AVERAGES


Average Daily Volume (In thousands) 



3-Month Period Ending

PRODUCT LINE

Nov-17

Oct-17

Sep-17

Aug-17

Interest Rates

8,379

7,844

7,424

7,199

Equity Indexes

2,667

2,658

2,624

2,665

Foreign Exchange (FX)

1,014

976

971

898

Energy

2,579

2,617

2,693

2,695

Agricultural Commodities

1,284

1,231

1,381

1,580

Metals

657

615

611

563

   Total

16,580

15,942

15,704

15,600






VENUE

Nov-17

Oct-17

Sep-17

Aug-17

Open outcry

1,106

1,025

889

858

Electronic

14,872

14,349

14,264

14,139

Privately negotiated

604

568

552

603

 

Average Rate Per Contract (In dollars)




3-Month Period Ending

PRODUCT LINE

Oct-17

Sep-17

Aug-17

Jul-17

Interest Rates

0.471

0.485

0.490

0.489

Equity Indexes

0.732

0.738

0.734

0.740

Foreign Exchange (FX)

0.783

0.796

0.801

0.803

Energy

1.077

1.072

1.062

1.100

Agricultural Commodities

1.257

1.251

1.269

1.275

Metals

1.319

1.376

1.420

1.459

   Total

0.726

0.749

0.761

0.759

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 Globe 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, Globe 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 Clear Port 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 and have been licensed for use by Chicago Mercantile Exchange Inc.  All other trademarks are the property of their respective owners.

CME-G

 

SOURCE CME Group

Media Contacts: Chris Grams, 312.930.3435; Alex Rapoport, 312.930.3193, news@cmegroup.com, www.cmegroup.com/media-room.html; Investor Contact: John Peschier, 312.930.8491

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