CME Sees Record February ADV, up 8% From Previous Month

February saw higher turnover across nearly all CME key product’s including interest rates, metals, FX and energy, which were all

February continues to reveal interesting trading results reported by trading venues and brokerages, with the latest coming from the group operator of the Chicago Mercantile Exchange (CME) which set a few records amidst market volatility last month.

Today the CME Group released its February 2016 results after a record-setting month across some of its key contracts for underlying markets that experienced heightened volatility last month, including across oil, FX, and stock market indices, as well as treasury products, among others.

CME saw a Year-over-Year (YoY) rise of 24.3% as it reported February 2016 volumes at 373,339,036 contracts, the grand total across its combined products, higher from 300,334,736 in February 2015 for its exchange totals.

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Even factoring the extra trading day that this February had over the same month last year, the results still grew by more than just one trading day’s worth of volume, and was higher by 8.1% when compared to January 2016 or Month-over-Month (MoM).

FX volumes up 3.4%

The company said that foreign exchange volumes at CME averaged 954,000 contracts per day in February and were up 3.4% MoM, 33.1% higher over YoY.

The 3.4% rise in FX turnover was up from 18,402,202 contracts traded in January to 19,033,939 recorded in February, an increase of 631,737 contracts as February had 20 days, versus 19 in the previous month.  Whereas the YoY change of 33.1% was up from 14,302,819  compared against February 2015 which had one less trading day than the current leap year that helped inflate the total FX turnover.

Eurodollar options reached an open-interest record of 39.6 million during February, as global market volatility was mirrored in currency markets causing traders to hold and increase their options positions as a hedge or way to speculate without worry of getting stopped-out (when compared to spot trading when volatility is high).

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Conversely, options premiums had become more expensive compared to previous months, yet that didn’t appear to stop traders at CME thus allowing the record open interest to be reached in eurodollar options – when compared for example to options volumes falling at Interactive Brokers last month. An excerpt using data from the reported CME figures, shown in the table below, provides a snapshot of the recent three-month rolling averages:

Using CME data
Using CME data

CME recorded average daily volume of 18.7 million contracts per day during February, up 18% YoY, with options volumes averaging 3.5 million through the month, also up 24% YoY. Electronic options were noted to have grown 38% YoY, while equity index volume grew 54% over the same period.

Open interest in treasury features also reached record highs as uncertainty over interest rate decisions from the FOMC loomed, pushing interest rate totals to 192,776,052 contracts or 13.6% higher MoM, up 16.5% YoY.

E-mini futures and options volumes were up 53% to 3.3 million contracts per day on average, and equity futures saw ADV total 2.8 million per day through February, climbing 60% YoY. However, equity index turnover was down 11.5% from January, as risk-aversion increased for stock market investors during February.

Volatility drove new records

As commodity market prices for oil fell sharply, the exchange’s energy volumes hit a record 2.7 million contracts per day in February 2016 as hedgers and speculators entered positions, thus helping that segment to rise up 13 percent on a YoY basis.

From the energy segment, the record number of contracts in February were spread across oil-related instruments including a record 2.4 million contracts of energy futures traded per day, a record 1.5 million of WTI crude oil futures traded, and record RBOB gasoline futures of 192,000 contracts per day. And, trailing with a record 23,000 ADV, was European gas oil futures in February.

Metals also benefited from the increased turnover during February, where the ADV was up 48% to 487,000 contracts, the 4th highest for the exchange, fueled by daily volume records in gold weekly options contracts, gold kilo futures, and e-micro gold futures, as investors speculated on the precious metals recent bullish momentum.  

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