News Release

CME Group Reaches Second-Highest Monthly Volume Ever, Averaging 24.3 Million Contracts Per Day in August 2019

Wed Sep 04 2019

- 12 trading days with volume above 25 million contracts

- Record monthly average daily volume in Treasury futures and Metals

- Record APAC monthly average daily volume of 1.4 million contracts, up 84%

- Second-highest international monthly average daily volume of 6.1 million contracts, up 54%

CHICAGO, Sept. 4, 2019 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, reached average daily volume (ADV) of 24.3 million contracts during August 2019, up 53% from August 2018 and the second-highest monthly ADV on record. During a month that historically sees lower average daily volumes, August 2019 was the company's best August ever. Open interest (OI) at the end of August was 139 million contracts, up 21% from year-end 2018 and up 14% from August 2018.

Equity Index volume averaged 5 million contracts per day in August 2019, up 109% from August 2018 and the third-highest monthly ADV on record. Highlights include:

  • Record Micro E-mini Equity Index futures ADV of 854,000 contracts, nearly double the monthly average since May launch through July
  • E-mini S&P 500 futures and options ADV grew 72% to 2.9 million contracts
  • E-mini Nasdaq-100 futures and options ADV rose 84% to 622,000 contracts
  • E-mini Dow futures and options ADV increased 101% to 262,000 contracts
  • E-mini Russell 2000 futures and options ADV grew 66% to 163,000 contracts
  • Nikkei 225 (yen) futures and options ADV grew 103% to 56,000 contracts

Interest Rate volume averaged 13.7 million contracts per day in August 2019, up 59% from August 2018 and the third-highest monthly ADV on record.  Highlights include:

  • U.S. Treasury futures and options ADV increased to 8.1 million contracts, including a record 6.9 million Treasury futures, both up 46% from August 2018
  • Record 2-Year U.S. Treasury Note futures ADV, up 87% to 1.2 million contracts
  • Record Ultra 10-Year U.S. Treasury Note futures and options ADV, up 94% to 406,000 contracts
  • Record Ultra T-Bond futures and options ADV, up 38% to 342,000 contracts
  • Record SOFR futures and options ADV, up 555% to 40,000 contracts 
  • Eurodollar futures and options ADV grew 76% to 5.2 million contracts
  • 10-Year U.S. Treasury Note futures ADV increased 34% to 2.6 million contracts
  • 30-Year U.S. Treasury Note futures ADV rose 48% to 558,000 contracts
  • Fed Fund futures ADV rose 156% to 408,000 contracts
  • Weekly Treasury options ADV increased 65% to 192,000 contracts

Options volume averaged 4.7 million contracts per day in August 2019, up 49% from August 2018. Highlights include:

  • Interest Rate options ADV grew 64% to 3.1 million contracts
  • Equity Index options ADV rose 43% to 941,000 contracts
  • Agricultural options ADV increased 1% to 271,000 contracts
  • Energy options ADV increased 7% to 240,000 contracts
  • Metals options ADV grew 90% to 128,000 contracts

Metals volume averaged a record 885,000 contracts per day in August 2019, up 41% from August 2018. Highlights include:

  • Record Silver options ADV, up 82% to 16,000 contracts
  • Gold futures and options ADV increased 74% to 588,000 contracts
  • Silver futures and options ADV rose 39% to 156,000 contracts
  • Platinum futures and options ADV grew 25% to 23,000 contracts
  • Copper options ADV rose 106% to 3,000 contracts

Energy volume averaged 2.4 million contracts per day in August 2019, up 25% from August 2018. Highlights include:

  • WTI Crude Oil futures and options ADV increased 43% to 1.4 million contracts
  • Natural Gas futures and options ADV grew 10% to 520,000 contracts
  • Brent Crude Oil futures and options ADV rose 86% to 114,000 contracts

Agricultural volume averaged 1.5 million contracts per day in August 2019, up 4% from August 2018. Highlights include:

  • Grain and Oilseeds futures and options ADV rose 4% to 1.3 million contracts
  • Corn futures and options ADV grew 28% to 610,000 contracts
  • Hard Red Winter Wheat futures ADV increased 1% to 74,000 contracts
  • Live Cattle futures and options ADV rose 19% to 71,000 contracts

Foreign Exchange volume averaged 821,000 contracts per day in August 2019, down 7% from August 2018. Highlights include:

  • Japanese yen futures and options ADV rose 37% to 166,000 contracts
  • Canadian dollar futures and options ADV increased 3% to 79,000 contracts
  • Swiss franc futures and options ADV rose 3% to 28,000 contracts
  • Brazilian real futures and options ADV grew 54% to 12,000 contracts
  • FX Cross Rates futures and options ADV rose 24% to 9,000 contracts
  • Indian rupee futures and options ADV increased 41% to 4,500 contracts
  • South African rand futures and options ADV rose 41% to 4,000 contracts
  • Russian ruble futures and options ADV increased 72% to 3,400 contracts

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

  • U.S. Treasury average daily notional volume grew 65% to $211 billion
  • U.S. Repo average daily notional volume increased 22% to $267 billion
  • European Repo average daily notional volume increased 4% to €272 billion
  • Spot FX average daily notional volume increased 7% to $91 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)

 
 

Aug 2019

Aug 2018

 

Trading Days

22

23

 
       

PRODUCT LINE

Aug 2019

Aug 2018

Percent Change

Interest Rates

13,746

8,641

59%

Equity Indexes

4,964

2,373

109%

Foreign Exchange (FX)

821

883

-7%

Energy

2,438

1,949

25%

Agricultural Commodities

1,482

1,426

4%

Metals

885

626

41%

   Total

24,336

15,899

53%

       

VENUE

      Aug 2019

Aug 2018

Percent Change

Open outcry

1,275

931

37%

CME Globex

22,135

14,440

53%

Privately negotiated

926

527

76%



 

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands) 

 
 

3-Month Period Ending

PRODUCT LINE

Aug-19

Jul-19

Jun-19

May-19

Interest Rates

11,776

11,804

11,593

10,809

Equity Indexes

3,896

3,645

3,480

3,364

Foreign Exchange (FX)

852

852

874

870

Energy

2,363

2,394

2,498

2,399

Agricultural Commodities

1,589

1,732

1,839

1,621

Metals

816

711

633

567

   Total

21,292

21,138

20,918

19,630

         

VENUE

Aug-19

Jul-19

Jun-19

May-19

Open outcry

1,391

1,488

1,501

1,334

Electronic

18,963

18,735

18,505

17,553

Privately negotiated

938

914

912

743

 

Average Rate Per Contract (In dollars)

 
 

3-Month Period Ending

PRODUCT LINE

Jul-19

Jun-19

May-19

Apr-19

Interest Rates

0.481

0.476

0.473

0.486

Equity Indexes

0.650

0.676

0.703

0.753

Foreign Exchange (FX)

0.721

0.713

0.733

0.763

Energy

1.152

1.139

1.136

1.157

Agricultural Commodities

1.202

1.222

1.219

1.253

Metals

1.459

1.455

1.462

1.487

   Total

0.688

0.693

0.695

0.726

 

BrokerTec Fixed Income and EBS Foreign Exchange Average Daily Notional Volume

(in billion USD unless otherwise stated, single count)

 

PRODUCT LINE

Aug 2019

Aug 2018

Percent Change

U.S. Treasury1

211.3

127.8

65%

U.S. Repo

266.6

217.9

22%

European Repo (in EUR billions)

272.4

261.2

4%

Spot FX

90.7

84.7

7%

       

 [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

Jul-19

Jun-19

May-19

Apr-19

BrokerTec

48.9

48.5

48.4

46.9

EBS

48.7

48.6

48.5

46.2

         

[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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