News Release

CME Group Averaged 20.2 Million Contracts Per Day in Third-Quarter 2019, Up 30% from Third-Quarter 2018

Wed Oct 02 2019
  • September average daily volume rose 13% to 19.7 million contracts per day
  • Record quarterly Metals average daily volume of 821,000 contracts, up 32%

CHICAGO, Oct. 2, 2019 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 20.2 million contracts during third-quarter 2019, up 30% from third-quarter 2018. September 2019 volume averaged 19.7 million contracts per day, up 13% from September 2018. Open interest (OI) at the end of September was 127 million contracts, up 10% from year-end 2018 and up 6% from September 2018.

Metals volume averaged 818,000 contracts per day in September 2019, up 37% from September 2018, and reached its second-highest monthly ADV on record. Highlights include:

  • Record Gold futures OI of 659,000 contracts on September 24
  • Record quarterly Gold futures ADV, up 51% to 469,000 contracts
  • Record Platinum futures OI of 99,300 contracts on September 13
  • Record Platinum futures ADV, up 21% to 37,000 contracts
  • Record Silver options ADV, up 109% to 17,000 contracts
  • Gold futures and options ADV increased 61% to 549,000 contracts
  • Silver futures and options ADV rose 57% to 149,000 contracts
  • Copper options ADV rose 45% to 3,000 contracts

Equity Index volume averaged 4 million contracts per day in September 2019, up 18% from September 2018. Highlights include:

  • E-mini S&P 500 futures and options ADV grew 3% to 2.4 million contracts
  • E-mini Russell 2000 futures and options ADV grew 14% to 214,000 contracts
  • E-mini Dow futures and options ADV increased 4% to 194,000 contracts

Options volume averaged 4.1 million contracts per day in September 2019, up 16% from September 2018. Highlights include:

  • Interest Rate options ADV grew 23% to 2.7 million contracts
  • Equity Index options ADV rose 9% to 678,000 contracts
  • Metals options ADV grew 96% to 102,000 contracts

Interest Rate volume averaged 9.9 million contracts per day in September 2019, up 16% from September 2018.  Highlights include:

  • Record quarterly 2-Year U.S. Treasury Note futures increased 81% to 762,000 contracts
  • Record quarterly Ultra 10-Year U.S. Treasury Note futures, up 65% to 267,000 contracts
  • Record 153,000 SOFR futures contracts traded on September 17
  • Record SOFR futures ADV of 58,000 contracts
  • U.S. Treasury futures and options ADV increased 26% to 5.2 million contracts
  • Eurodollar options ADV grew 14% to 1.5 million contracts
  • Fed Fund futures ADV rose 129% to 494,000 contracts
  • Weekly Treasury options ADV increased 10% to 218,000 contracts

Energy volume averaged 2.8 million contracts per day in September 2019, up 10% from September 2018. Highlights include:

  • Record 6.4 million Energy futures and options contracts traded on September 16, including a record 3.68 million WTI Crude Oil futures contracts and a record 464,000 NY Harbor ULSD futures contracts
  • WTI Crude Oil futures and options ADV increased 19% to 1.6 million contracts
  • Brent Crude Oil futures and options ADV rose 30% to 132,000 contracts
  • Natural Gas options ADV grew 3% to 120,000 contracts

Foreign Exchange volume averaged 1.1 million contracts per day in September 2019, down 6% from September 2018. Highlights include:

  • Record FX Link daily volume of 41,013 contracts, representing $4.27 billion in notional value, on September 18
  • Japanese yen futures and options ADV rose 9% to 159,000 contracts
  • Canadian dollar futures and options ADV increased 3% to 101,000 contracts

Agricultural volume averaged 1.2 million contracts per day in September 2019, down 8% from September 2018. Highlights include:

  • Livestock futures and options ADV rose 7% to 191,000 contracts
  • Soybean futures ADV grew 4% to 172,000 contracts
  • Live Cattle futures and options ADV rose 3% to 88,000 contracts
  • Hard Red Winter Wheat futures ADV increased 1% to 40,000 contracts

BrokerTec fixed income and EBS foreign exchange trading activity highlights include: 

  • U.S. Treasury average daily notional volume grew 17% to $172 billion
  • U.S. Repo average daily notional volume increased 28% to $288 billion
  • European Repo average daily notional volume increased 4% to €281 billion
  • Spot FX average daily notional volume decreased 10% to $78 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)

 
 

Sep 2019

Sep 2018

 

Trading Days

20

19

 
       

PRODUCT LINE

Sep 2019

Sep 2018

Percent Change

Interest Rates

9,945

8,597

16%

Equity Indexes

3,985

3,375

18%

Foreign Exchange (FX)

1,060

1,132

-6%

Energy

2,777

2,514

10%

Agricultural Commodities

1,160

1,255

-8%

Metals

818

598

37%

   Total

19,746

17,472

13%

           

VENUE

      Sep 2019

Sep 2018

Percent Change

Open outcry

1,171

1,048

12%

CME Globex

17,770

15,730

13%

Privately negotiated

806

695

16%

 

QUARTERLY AVERAGE DAILY VOLUME (ADV)

 
         

Total Exchange ADV

(in thousands)

 
   
 

3Q 2019

3Q 2018

   

Trading Days

64

63

   
         

PRODUCT LINE

3Q 2019

3Q 2018

Percent Change

 

Interest Rates

10,868

7,798

39%

 

Equity Indexes

3,931

2,671

47%

 

Foreign Exchange (FX)

850

944

-10%

 

Energy

2,456

2,199

12%

 

Agricultural Commodities

1,320

1,348

-2%

 

Metals

821

623

32%

 

   Total

20,247

15,584

30%

 
             

VENUE

 3Q 2019

3Q 2018

Percent Change

Open outcry

1,177

938

26%

CME Globex

18,282

14,082

30%

Privately negotiated

788

564

40%

 

ROLLING THREE-MONTH AVERAGES
Average Daily Volume 
(In thousands) 

   
 

3-Month Period Ending

PRODUCT LINE

Sep-19

Aug-19

Jul-19

Jun-19

Interest Rates

10,868

11,776

11,804

11,593

Equity Indexes

3,931

3,896

3,645

3,480

Foreign Exchange (FX)

850

852

852

874

Energy

2,456

2,363

2,394

2,498

Agricultural Commodities

1,320

1,589

1,732

1,839

Metals

821

816

711

633

   Total

20,247

21,292

21,138

20,918

         

VENUE

Sep-19

Aug-19

Jul-19

Jun-19

Open outcry

1,177

1,391

1,488

1,501

Electronic

18,282

18,963

18,735

18,505

Privately negotiated

788

938

914

912

 

Average Rate Per Contract (In dollars)

   
 

3-Month Period Ending

PRODUCT LINE

Aug-19

Jul-19

Jun-19

May-19

Interest Rates

0.488

0.481

0.476

0.473

Equity Indexes

0.627

0.650

0.676

0.703

Foreign Exchange (FX)

0.724

0.721

0.713

0.733

Energy

1.145

1.152

1.139

1.136

Agricultural Commodities

1.232

1.202

1.222

1.219

Metals

1.445

1.459

1.455

1.462

   Total

0.688

0.688

0.693

0.695

 

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

         

PRODUCT LINE

Sep 2019

Sep 2018

Percent Change

 

U.S. Treasury1

172.0

147.3

17%

 

U.S. Repo

288.2

225.9

28%

 

European Repo (in EUR billions)

281.0

269.1

4%

 

Spot FX

77.8

86.1

-10%

 
   

 [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

Aug-19

Jul-19

Jun-19

May-19

BrokerTec

49.4

48.9

48.5

48.4

EBS

49.7

48.7

48.6

48.5

         
   

[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 ratesequity indexesforeign exchangeenergyagricultural 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. 

CME-G

 

SOURCE CME Group

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