• Highest Q4 and December ADV in company history
• Record annual ADV across interest rate, options and agricultural products
• Record annual ADV reached outside the U.S.

 CME Group, the world’s leading derivatives marketplace, today reported its full-year, Q4 and December 2023 market statistics, showing it reached a record average daily volume (ADV) of 24.4 million contracts during the year, an increase of 5% over 2022.

Q4 ADV increased 17% to a record 25.5 million contracts and December ADV increased 20% to a record 23.0 million contracts. Annual, quarterly and monthly market statistics are available in greater detail at https://cmegroupinc.gcs-web.com/monthly-volume.

Full-year 2023 highlights across asset classes include:

• Interest Rate ADV increased 16% to a record 12.5 million contracts
  • Record annual SOFR futures and options ADV of 5,121,842 contracts
  • Record annual U.S. Treasury futures and options ADV of 6,785,867 contracts
  • Record annual 30-Day Fed Funds futures ADV of 441,991 contracts
• Options ADV increased 23% to a record 5.1 million contracts
  • Record annual Interest Rate options ADV of 2,916,259 contracts
  • Record annual Equity Index options ADV of 1,430,072 contracts
  • Record annual Agricultural options ADV of 307,617 contracts
• Energy ADV increased 5% to 2.1 million contracts
  • Record annual Natural Gas options ADV of 150,138 contracts
• Agricultural ADV increased 17% to a record 1.5 million contracts
• Metals ADV increased 15% to 599,000 contracts
• ADV outside the United States increased 8% to a record 6,838,836 contracts, including 13% in EMEA and 11% growth in Latin America

Q4 2023 highlights across asset classes include:

• Interest Rate ADV increased 36% to 13.3 million contracts
  • Record quarterly U.S. Treasury futures and options ADV of 7,725,355 contracts

• Options ADV increased 30% to 5.4 million contracts
  • Record quarterly Equity Index options ADV of 1,693,400 contracts
• Energy ADV increased 18% to 2.2 million contracts
• Agricultural ADV increased 26% to a record 1.5 million contracts
  • Record quarterly Soybean Meal futures ADV of 175,110 contracts
• Metals ADV increased 20% to 609,000 contracts
  • Record quarterly Platinum futures ADV of 28,072 contracts

December 2023 highlights across asset classes include:

• Interest Rate ADV increased 44% to a December record of 11.4 million contracts
  • SOFR futures and options ADV increased 92% to 5.3 million contracts, with record OI of 60,891,125 contracts on December 13

STIR history made.#SOFR futures and options traded 1.28 billion contracts in 2023, surpassing the highest annual volume ever recorded in Eurodollars. pic.twitter.com/Ly2gB5h32p

— CME Group Interest Rates (@Interest_Rates) January 2, 2024

• U.S. Treasury futures and options ADV increased 44% to 5.8 million contracts
  • 30-Day Fed Funds futures ADV increased 37% to 314,000 contracts
• Options ADV increased 36% to a December record of 5.1 million contracts
  • Interest Rate options ADV increased 36% to 2.9 million contracts
• Equity Index options ADV increased 35% to 1.6 million contracts
  • Energy options ADV increased 45% to 303,000 contracts
• Energy ADV increased 13% to 2 million contracts
  • Natural Gas futures ADV increased 42% to 495,000 contracts
• Agricultural ADV increased 14% to a record 1.2 million contracts
  • Soybean Meal futures ADV increased 12% to 149,000 contracts
• Foreign Exchange ADV increased 10% to a record 1.1 million contracts
  • Japanese Yen futures ADV increased 27% to 214,000 contracts

Paul Houston, Global Head of FX, CME Group, said in an email:

• “CME Group FX futures and options achieved full-year ADV of 955K contracts.
• Total EBS spot ADV in December was $52.6B.
• Full-year average Open Interest (OI) across CME Group FX futures was 2.1M contracts in December, up 5.6%.
• CME Group FX Link full-year ADV was 22K contracts ($2B notional).
• Comparing December 2023 to December 2022: (in contract volume terms ADV)

o   FX futures

o   AUD +15%, JPY +25%, CNH +90%, MXN +8%, BRL +53% NZD +10%.

o   FX options

o   AUD +33%, CHF +597%, JPY +105%.

• According to CFTC data, as of 26 December:

o   Emerging Market futures average full-year Large Open Interest Holders (LOIH) was 273 +3% YoY, driven by growth in Mexican peso futures LOIH (164; +4% YoY), Brazilian real futures LOIH (75; +15% YoY) and South African rand futures (34; +6% YoY).

o   Among the G7 currency pairs, Japanese yen futures full-year LOIH was 134; +7% YoY.

• The CME Group Volatility Index (CVOL) shows that FX volatility expectations in December continued to trend down from the historically elevated levels seen in the second half of 2022. The combined G5 CVOL index averaged 7.6 in December, down 24% from December 2022 and down 28% from FY 2022.

CME FX futures and options – all time records hit during 2023

The CME Group FX futures and options business continued to reach new all-time traded volume and open interest records during 2023, including the highest ever single day traded volume and the highest ever total open interest for the futures and options complex.

• Highest volume: 3,153,558 contracts, 8 March
• Highest open interest: 3,264,463 contracts, 9 March

We also saw all-time records for individual currency pairs:

• Highest ever single day volume for:

o EUR record 8 March 2023 – 1,130,560 contracts

o BRL record 27 Nov 2023 – 130,744 contracts

o MXN record 9 March 2023 – 335,954 contracts

o CAD record 8 March 2023 – 263,750 contracts

o AUD record 13 Sept 2023 – 387,118 contracts

o CNH record 9 November 2023 – 13,626 contracts

• Highest ever Open Interest for

o EUR record – 14 Dec – 864,437 contracts

o AUD record – 18 September 2023 – 297,433 contracts

o MXN record – 9 March 2023 – 463,806 contracts”

• Metals ADV increased 36% to a record 556,000 contracts
  • Record Aluminum futures ADV of 10,294 contracts
• Micro Products ADV
  • Micro E-mini futures and options had an ADV of 1.9 million contracts, representing 28.1% of overall Equity Index ADV, while Micro WTI Crude Oil futures accounted for 4.9% of overall Energy ADV
• BrokerTec U.S. Repo average daily notional value (ADNV) increased 17% to $313.5B and U.S. Treasury ADNV increased 8% to $91.3B.

John Edwards, Global Head of BrokerTec, CME Group, said in an email:

“BrokerTec saw EU Repo volumes of €267B in December, with a good first half of the month and the usual seasonal slowdown in market activity as we approached year-end. Liquidity in EU Repo remained robust over the year-end period, when historically bonds become scarcer. German General Collateral, (the largest European basket) traded around a 45bp premium over the turn.

There was a strong uptick in U.S. Repo activity in December with ADV reaching $313B on the back of both increased specials activity across several sectors, along with surprising GC volatility. Additional supply and quantitative tightening continue to put pressure on rates. This allows some clients to invest new assets in Repo and, at times, move some of their cash from the RRP facility.

BrokerTec US Treasury ADV was $91B in December, up 8% YoY as market participants continued to digest FOMC policy guidance. Book depth in the US Treasury CLOB remained strong in the face of renewed volatility in Q4.

The yield curve continued to be in focus as our RV Curve ADV reached $2.2B in Q4, more than double Q3 levels. BrokerTec is also expanding the RV product suite to include Butterfly strategies, with go-live planned for January 2024.”

Source: CME