• Record May interest rate ADV, with all-time highest daily U.S. Treasury volume on May 28
• Record May metals ADV
• International volume up 12% year-over-year

CME Group, the world’s leading derivatives marketplace, reported its May 2024 market statistics set a new average daily volume (ADV) record of 26 million contracts for the month, up 4% from May 2023. The company’s interest rate and metals products also reached May ADV records, as its deeply liquid U.S. Treasury complex hit a new single-day record of 34,350,339 contracts on May 28. Market statistics are available in greater detail at https://cmegroupinc.gcs-web.com/monthly-volume.

May 2024 ADV across asset classes includes:

• Record May Interest Rate ADV of 14.4 million contracts
• Equity Index ADV of 5.8 million contracts
• Options ADV of 4.8 million contracts
• Energy ADV of 2.5 million contracts
• Agricultural ADV of 1.7 million contracts
• Record May Metals ADV of 866,000 million contracts
• Foreign Exchange ADV of 896,000 contracts

Additional May 2024 product highlights compared to May 2023 include:

• Interest Rate ADV increased 3%
  • All-time record U.S. Treasury futures and options volume of 34,350,339 contracts on May 28
  • 5-Year U.S. Treasury Note futures ADV increased 15% to 2.4 million contracts
  • 2-Year U.S. Treasury Note futures ADV increased 22% to 1.4 million contracts
  • Ultra 10-Year U.S. Treasury Note futures ADV increased 46% to 868,000 contracts

John Edwards, Global Head of BrokerTec, CME Group, said in an email that BrokerTec transacted $736B in average daily notional value (ADNV) in May across benchmark cash U.S. Treasuries and U.S. and EU Repo on its dealer-to-dealer CLOB and D2C RFQ and streaming platforms.

E.U. Repo

Volumes for E.U. Repo remained steady during May with €298B in ADNV, up 1% compared to April. As the month progressed, volumes increased. On 10 May, we saw the highest Term Adjusted ADNV since January 2022 and during the last week of May daily volumes were consistently above €300B.

U.S. Repo

In May, U.S. Repo ADNV was $274B. May saw reduced U.S. Repo activity after the FOMC meeting made it clear that the Fed would not be easing rates soon, leading many traders to close out positions.

U.S. Treasuries

BrokerTec U.S. Treasury May ADNV was $84B as treasury volatility, measured by CME Group’s CVOL index, receded to its lowest level in over two years. Liquidity on the US Treasury CLOB continued to grow with the average top of book depth in the 10Y Note increasing by 48% YoY.  Market participants continue to monitor changing economic conditions, inflation expectations, and treasury issuance in anticipation of FOMC actions for the rest of the year.

• Energy ADV increased 22%
  • Record May Henry Hub Natural Gas futures ADV of 578,682 contracts
  • Record May Henry Hub Natural Gas options ADV of 243,589 contracts
  • All-time record WTI Calendar Spread options volume of 199,300 contracts on May 31
  • All-time record WTI Weekly options volume of 46,215 contracts on May 31
  • NY Harbor ULSD futures ADV increased 34% to 169,000 contracts
• Agricultural ADV increased 9%
  • Soybean Meal futures ADV increased 31% to 171,000 contracts
  • Chicago SRW Wheat futures ADV increased 22% to 138,000 contracts
• Metals ADV increased 33%
  • All-time monthly record Micro Copper futures ADV of 30,928 contracts
  • All-time monthly record Copper options ADV of 19,689 contracts
• International ADV increased 12% to 7.5 million contracts, with EMEA ADV up 17% and Latin America up 10%
• Micro Products ADV
  • Micro E-mini Equity Index futures and options ADV of 2 million contracts represented 35.6% of overall Equity Index ADV and Micro WTI Crude Oil futures accounted for 2.9% of overall Energy ADV
  • All-time monthly record Micro Ether futures ADV of 27,477 contracts
• Customer average collateral balances to meet performance bond requirements for rolling 3-months ending April 2024 were $75.6 billion for cash collateral and $159 billion for non-cash collateral

Source: CME