News Release

CME Group Reached Average Daily Volume of 16.5 Million Contracts in Second-Quarter 2017, up 9 Percent from Second-Quarter 2016

Wed Jul 05 2017
  • Averaged 16.6 million contracts per day in June 2017, up 1 percent from June 2016
  • Saw quarterly average daily volume records in Energy and Metals
  • Reached record open interest of 129 million contracts on June 14, 2017

CHICAGO, July 5, 2017 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that second-quarter 2017 average daily volume (ADV) reached 16.5 million contracts, up 9 percent from second-quarter 2016.  CME Group second-quarter 2017 options volume averaged 3.6 million contracts per day, up 21 percent versus second-quarter 2016, with electronic options averaging 2.2 million contracts per day, up 30 percent over the same period last year.  Second-quarter 2017 Interest Rate options and Energy options average daily volume grew 37 percent and 22 percent, respectively.  Open interest at the end of June was 113 million contracts, up 7 percent from the end-of-June 2016.

Interest rate volume averaged 8.2 million contracts per day in second-quarter 2017, up 21 percent from second-quarter 2016.  Highlights include:

  • Grew Eurodollar futures and options ADV 21 percent to 4 million contracts, including Eurodollar options ADV of 1.5 million contracts, up 40 percent, with 33 percent of these trades executed electronically, a quarterly record
  • Increased Treasury futures and options ADV 20 percent to 4 million contracts, including 30 percent growth in Treasury options ADV, with 80 percent traded electronically, a quarterly record
  • Achieved record Weekly Treasury options ADV of 136,000 contracts, up 61 percent
  • Hit record daily volume in Fed Fund futures of 907,000 contracts on June 14
  • Reached several consecutive records in overall Interest Rate open interest, peaking at 79 million contracts on June 15
  • Increased Ultra 10-Year Treasury Note futures and options open interest to a record 394,000 contracts

Energy volume averaged a record 2.6 million contracts per day in second-quarter 2017, up 13 percent from second-quarter 2016.  Highlights include:

  • Grew WTI Crude Oil futures and options ADV 20 percent to a record 1.5 million contracts, including WTI Crude Oil options growth of 25 percent to a record 230,000 contracts
  • Increased Natural Gas futures and options ADV 9 percent to 580,000 contracts, with 15 percent growth in electronic Natural Gas futures and options ADV
  • Grew Refined Products futures and options ADV 5 percent to 387,000 contracts
  • Reached Gasoline futures ADV of 204,000 contracts, up 8 percent
  • Hit record Heating Oil futures ADV of 169,000 contracts, up 6 percent
  • Achieved Henry Hub Natural Gas options ADV of 124,000 contracts, up 21 percent

Metals volume averaged a record 533,000 contracts per day in second-quarter 2017, up 14 percent from second-quarter 2016.  Highlights include:

  • Grew Gold futures and options ADV 8 percent to 296,000 contracts
  • Increased Silver futures and options ADV 28 percent to 108,000 contracts
  • Achieved 15 percent year-over-year growth for the quarter in Copper futures and options, which averaged 102,000 contracts per day

Foreign Exchange volume averaged 879,000 contracts per day in second-quarter 2017, up 5 percent from second-quarter 2016.  Highlights include:

  • Increased Japanese Yen futures and options ADV 10 percent to 165,000 contracts
  • Reached several daily ADV records on June 14, including total FX futures and options, FX futures, electronic FX futures and options, and Canadian dollar futures and options
  • Increased ADV of Emerging Market currency pairs futures and options, with South African Rand up 211 percent, Indian Rupee up 135 percent, Russian Ruble up 86 percent and Brazilian Real up 2 percent

Equity Index volume averaged 2.7 million contracts per day in second-quarter 2017, down 8 percent from second-quarter 2016.  Highlights include:

  • Increased Equity Index options ADV 7 percent to 654,000 contracts
  • Grew June 2017 E-mini Nasdaq-100 futures 49 percent to an average 410,000 contracts per day, and June 2017 E-mini Nasdaq-100 options 41 percent to an average 13,000 contracts per day
  • Achieved second-highest volume day for E-mini Nasdaq-100 futures, on June 9, with more than 1.1 million contracts traded, valued at $127 billion notional
  • Reached record quarterly average daily volume for E-mini S&P Select Sector Index futures, including a daily volume record of 122,000 contracts on June 12
  • Traded an average of 32,000 Monday Weekly S&P 500 options (E-mini and Standard) contracts during the quarter and 50,000 Wednesday Weekly S&P 500 (E-mini and Standard) contracts, which combined to make up 13 percent of the total Equity Index options ADV in second-quarter 2017

Agricultural volume averaged 1.5 million contracts per day in second-quarter 2017, down 13 percent from second-quarter 2016.  Highlights include:

  • Grew electronic Livestock futures ADV 44 percent to 133,000 contracts
  • Increased second-quarter 2017 Feeder Cattle, Live Cattle and Lean Hog futures and options ADV 61 percent, 29 percent and 26 percent, respectively, compared with second-quarter 2016
  • Achieved 37 percent growth in Hard Red Winter Wheat futures and options ADV, including a daily volume record on June 14 of 120,000 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

QUARTERLY AVERAGE DAILY VOLUME (ADV)

 

Total Exchange ADV

(in thousands)

       
 

Q2 2017

Q2 2016

 

Trading Days

63

64

 
       

PRODUCT LINE

Q2 2017

Q2 2016

Percent Change

Interest Rates

8,210

6,776

21%

Equity Indexes

2,707

2,957

-8%

Foreign Exchange (FX)

879

838

5%

Energy

2,632

2,322

13%

Agricultural Commodities

1,491

1,722

-13%

Metals

533

468

14%

   Total

16,453

15,082

9%

       

VENUE

Q2 2017

Q2 2016

Percent Change

Open outcry

1,115

1,075

4%

CME Globex

14,582

13,355

9%

Privately negotiated

756

651

16%

 

MONTHLY AVERAGE DAILY VOLUME (ADV)

 

Total Exchange ADV

(in thousands)

 
 

Jun 2017

Jun 2016

 

Trading Days

22

22

 
       

PRODUCT LINE

Jun 2017

Jun 2016

Percent Change

Interest Rates

7,457

7,322

2%

Equity Indexes

3,162

3,543

-11%

Foreign Exchange (FX)

1,014

1,018

0%

Energy

2,674

2,271

18%

Agricultural Commodities

1,735

1,805

-4%

Metals

512

483

6%

    Total

16,555

16,442

1%

       

VENUE

Jun 2017

Jun 2016

Percent Change

Open outcry

970

1,219

-20%

CME Globex

14,816

14,469

2%

Privately negotiated

769

753

2%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands) 

 

3-Month Period Ending

PRODUCT LINE

Jun-17

May-17

Apr-17

Mar-17

Interest Rates

8,210

8,645

9,142

9,169

Equity Indexes

2,707

2,724

2,802

2,766

Foreign Exchange (FX)

879

868

852

894

Energy

2,632

2,557

2,496

2,496

Agricultural Commodities

1,491

1,272

1,387

1,261

Metals

533

525

519

512

   Total

16,453

16,591

17,198

17,098

         

VENUE

Jun-17

May-17

Apr-17

Mar-17

Open outcry

1,115

1,261

1,398

1,362

Electronic

14,582

14,572

15,023

14,947

Privately negotiated

756

758

777

789

Average Rate Per Contract (In dollars)

 

3-Month Period Ending

PRODUCT LINE

May-17

Apr-17

Mar-17

Feb-17

Interest Rates

0.492

0.494

0.492

0.494

Equity Indexes

0.727

0.722

0.718

0.708

Foreign Exchange (FX)

0.808

0.826

0.823

0.822

Energy

1.113

1.125

1.130

1.129

Agricultural Commodities

1.281

1.323

1.334

1.365

Metals

1.459

1.485

1.496

1.501

   Total

0.734

0.736

0.731

0.737

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 Globex platform.  The company also offers clearing and settlement services across asset classes for exchange-traded and over-the-counter derivatives through its clearinghouses CME Clearing and CME Clearing Europe.  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, Globex and E-mini are trademarks of Chicago Mercantile Exchange Inc.  CBOT, Chicago Board of Trade, KCBT and Kansas City 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.  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.

CME-G

 

 

SOURCE CME Group

Alex Gorbokon, 312.930.3139, Chris Grams, 312.930.3435, news@cmegroup.com, www.cmegroup.com/media-room.html; Investor Contact, John Peschier, 312.930.8491

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