• 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

CME Group, the world’s leading derivatives marketplace, reported its October 2023 market statistics, reaching an average daily volume (ADV) of 25.2 million contracts during the month, an increase of 11% over 2022 and the company’s highest-ever October ADV on record. Market statistics are available in greater detail at https://cmegroupinc.gcs-web.com/monthly-volume.

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

John Edwards, Managing Director, BrokerTec, said in an email:  “BrokerTec US Treasury notional ADV was $111.6bn in October, with market participants digesting the FOMC’s ‘higher for longer’ messaging as well as the war in the Middle East. Order book depth remained strong in the face of renewed volatility.

The yield curve continued to move towards dis-inversion, with the 2s-10s spread narrowing from -43bps to -15bps. This movement saw an increase in RV Curve trading to $1.9bn ADV, with RV Butterflies set to commence testing on 20 November, bringing an additional hedging tool to market participants.”

o   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

Source: CME