CME Group Reports Highest-Ever October ADV of 25.2 Million Contracts

November 012 2023 - CME Group has unveiled its market statistics for October 2023, reporting a highest-ever October ADV of 25.2 million contracts during the month, an increase of 11% over 2022. October 2023 ADV represents the highest for this month in CME Group's history, particularly within the interest rate sector.

●       Overall volume grew 11% over October 2022

●       Strongest October in company history for interest rate ADV

●       Record equity index options volume driven by E-mini S&P 500 contracts

●       Continued growth across SOFR and U.S. Treasury complexes

Expert Commentary on BrokerTec's Monthly Volumes

U.S. Treasuries: John Edwards, Global Head of BrokerTec, CME Group, highlighted a robust notional ADV of $111.6 billion. Edwards noted, "Market participants are adjusting to the Federal Open Market Committee's 'higher for longer' interest rate stance amidst geopolitical tensions. Despite this, order book depth remains resilient amid the volatility."

EU Repo: Edwards also reported stable EU Repo volumes with a notional ADV of €295.5 billion, signaling investor anticipation of a shift in Central Bank policies.

US Repo: An ADV of $284.9 billion was observed, influenced by trading dynamics across General Collateral (GC) and specific securities demand.

Insights on Yield Movements and Global Economic Indicators

Erik Norland, Senior Economist at CME Group, provided an analysis of yield trends, noting a surge in U.S. 10-year yields and a decade-high increase in Japanese government bond yields. Norland also observed that yield movements were not uniform across all regions, citing varied economic data.

FX Market Overview and Trends

Paul Houston, Global Head of FX at CME Group, shed light on the FX market's performance:

• Trading Volumes: CME Group's FX futures and options reached a Year-To-Date (YTD) ADV of 937,000 contracts, with EBS Spot ADV at $50.8 billion in October, reflecting the market's reduced volatility.
• Open Interest: A 5.7% increase to 2.1 million contracts in CME Group FX futures was reported YTD.
• Currency Performance: Diverse currency movements were observed, with detailed data showcasing the behaviour of AUD, CHF, BRL, MXN, ZAR, and CNH in futures and options.

Houston emphasised, "The CME Group Volatility Index (CVOL) indicates that FX volatility expectations have moderated from the elevated levels seen in the latter part of 2022."

Detailed October Market Highlights

October 2023 ADV across asset classes includes:

●        Record October Interest Rate ADV of 11.8 million contracts

●        Equity Index ADV of 8.0 million contracts

●        Record October Options ADV of 5.6 million contracts

●        Energy ADV of 2.3 million contracts

●        Agricultural ADV of 1.5 million contracts

●        Foreign Exchange ADV of 935,000 contracts

●        Metals ADV of 605,000 contracts

Additional October 2023 product highlights compared to October 2022 include:

●        Interest Rate ADV increased 21%

o   SOFR futures ADV increased 61% to 3.2 million contracts

o   SOFR options ADV increased 59% to 1.4 million contracts

o   5-Year U.S. Treasury Note futures ADV increased 25% to 1.3 million contracts

o   10-Year U.S. Treasury Note options ADV increased 30% to 863,000 contracts

o   2-Year U.S Treasury Note futures ADV increased 33% to 675,000 contracts

●        Options ADV increased 23%

o   Record Equity Index options ADV of 1,931,536 contracts – with record E-mini S&P 500 options ADV of 1,809,924 contracts

o   Interest Rate options ADV increased 12% to 2.8 million contracts

o   Energy options ADV increased 82% to 398,000 contracts

o   Agricultural options ADV increased 39% to 287,000 contracts

o   Metals options ADV increased 66% to 102,000 contracts

●        Energy ADV increased 28%

o   Natural Gas futures ADV increased 38% to 421,000 contracts

o   WTI Crude Oil options ADV increased 56% to 188,000 contracts

●        Agricultural ADV increased 28%

o   Record Soybean Meal futures ADV of 189,948 contracts

o   Live Cattle futures ADV increased 30% to 65,000 contracts

●        Metals ADV increased 24%

o   Record Aluminum futures ADV of 6,633 contracts

o   Gold options ADV increased 76% to 86,000 contracts

●        International ADV increased 26% to 7.2 million contracts

●        Micro Products ADV

o   Micro E-mini Equity Index futures and options ADV of 2.8 million contracts represented 35% of overall Equity Index ADV and Micro WTI Crude Oil futures accounted for 5.1% of overall Energy ADV