CME Group, the world’s leading derivatives marketplace, reported its September and Q3 2023 market statistics, reaching an average daily volume (ADV) of 22.7 million contracts in September, representing the company’s second-highest September ADV on record. Q3 ADV was 22.3 million contracts, the second-highest Q3 volume ever. Market statistics are available in greater detail at https://cmegroupinc.gcs-web.com/monthly-volume.

September 2023 ADV across asset classes includes:

• Interest Rate ADV of 10.2 million contracts
• Equity Index ADV of 7.1 million contracts
• Options ADV of 4.7 million contracts
• Energy ADV of 2.3 million contracts
• Agricultural ADV of 1.3 million contracts
• Foreign Exchange ADV of 1.2 million contracts
• Metals ADV of 517,000 contracts

Additional September 2023 product highlights compared to September 2022 include:

• Interest Rate
  • SOFR futures ADV increased 22% to 3.2 million contracts
  • SOFR options ADV increased 47% to 1.2 million contracts
• Equity Index
  • Record Equity Index options ADV of 1,622,622 contracts
• Energy ADV increased 28%
  • Record Micro WTI options ADV of 3,447 contracts
  • Natural Gas options ADV increased 81% to 141,000 contracts
• Agricultural ADV increased 11%
  • Record Feeder Cattle futures ADV of 21,741 contracts
  • Soybean options ADV increased 46% to 76,000 contracts
• Metals
  • Record Aluminum futures ADV of 6,788 contracts
  • Platinum futures ADV increased 32% to 35,000 contracts
• Micro E-mini futures and options represented 32.1% of overall Equity Index ADV, Micro WTI Crude Oil futures accounted for 4.5% of overall Energy ADV, Micro Bitcoin futures accounted for 0.1% and Micro Ether futures accounted for 0.1% of overall Equity Index ADV

Q3 2023 highlights across asset classes compared to Q3 2022 include:

• Interest Rate ADV of 11.0 million contracts, an increase of 6%
  • Record Ultra U.S. Treasury Bond futures of 308,238 contracts
  • Interest Rate options ADV increased 7% to 2.3 million contracts
  • SOFR futures ADV increased 44% to 3 million contracts
  • SOFR options ADV increased 101% to 1.2 million contracts
• Equity Index ADV of 6.4 million contracts
  • Record Equity Index options of 1,450,087 contracts
  • Record E-Mini S&P 500 options of 1,345,353 contracts
  • Record E-Mini Nasdaq 100 options of 76,191 contracts
• Options ADV of 4.4 million contracts, an increase of 15%
• Energy ADV of 2.1 million contracts, an increase of 16%
  • Energy options ADV increased 41% to 293,000 contracts
  • Natural Gas options ADV increased 62% to 141,146 contracts
• Agricultural ADV of 1.4 million contracts, an increase of 19%
  • Record Feeder Cattle futures ADV of 19,078 contracts
  • Agricultural options ADV increased 21% to 328,000 contracts
  • Soybean Oil futures ADV increased 19% to 142,000 contracts
• Foreign Exchange ADV of 942,000 contracts
• Metals ADV of 528,000 contracts, an increase of 6%
  • Record Aluminum futures ADV of 5,190 contracts
  • Micro Gold futures ADV increased 14% to 51,000 contracts
• BrokerTec U.S. Repo average daily notional value (ADNV) increased 4% to $286B

John Edwards, global head of BrokerTec, CME Group, said in a statement:  “BrokerTec US Treasury notional ADV was $99.9bn in September as participants focused on the long end of the curve following the September FOMC meeting. As a result, there was a selloff in the 10 Year Treasury, by over 40 basis points since 1 September.  Overall liquidity has remained resilient and book depth in the 10 Year is at its highest level since February 2022.

During the month, BrokerTec also announced the launch of RV Butterfly spreads, with client testing set to begin on 20 November. This complements the existing RV Curve spreads, which traded over 2.1bn ADV the week of 25 September, across 60+ clients to date.

BrokerTec US Repo notional ADV was $294.9bn in September, a 1% increase on August. There was more GC and GCF trading while we maintained similar levels of open positions in specials and saw increased activity in the 20-year sector.

Overall, EU Repo volumes were higher than the previous two months with notional ADV of €306.8bn. Activity increased as the month progressed in line with central bank activity with the ECB hiking interest rates on 14 September and the Bank of England leaving rates unchanged on 21 September.”

Erik Norland, senior economist at CME Group, said in a statement: “Long term bond yields rose worldwide, propelled by the BoJ’s easing of yield curve control, a hawkish Fed and worries about excessive government spending in Europe. Short term rates were more mixed with the Fed keeping investors on their toes for a possible further hike while the ECB raised rates but suggested that it may now be done.”

Source: CME