• Record October ADV for interest rate, energy, metals and agricultural products
• Record October ADV across U.S. Treasury and SOFR complexes
• All-time record monthly ADV in U.S. Treasury options and energy options

CME Group, the world’s leading derivatives marketplace, reported its October 2024 market statistics, with average daily volume (ADV) reaching 24.3 million contracts, the second-highest October volume ever. Market statistics are available in greater detail at https://cmegroupinc.gcs-web.com/monthly-volume.

October 2024 ADV across asset classes includes:

• Record October Interest Rate ADV of 12.5 million contracts
• Equity Index ADV of 5.9 million contracts
• Record October Energy ADV of 2.7 million contracts
• Record October Agricultural ADV of 1.8 million contracts
• Foreign Exchange ADV of 792,000 contracts
• Record October Metals ADV of 647,000 contracts

Additional October 2024 product highlights compared to October 2023 includes:

• Interest Rate ADV increased 6%
  • Record October U.S. Treasury futures ADV of 5.5 million contracts
  • Record October SOFR futures and options ADV of 5 million contracts
  • Record October Interest Rate options ADV of 3.1 million contracts
  • All-time record monthly U.S. Treasury options ADV of 1.5 million contracts
• Energy ADV increased 16%
  • All-time record monthly Energy options ADV of 528,000 contracts
  • Henry Hub Natural Gas futures ADV increased 22% to 562,000 contracts
  • WTI Crude Oil options ADV increased 45% to 282,000 contracts
• Agricultural ADV increased 23%
  • Record October Agricultural options ADV of 372,000 contracts
  • Corn futures ADV increased 61% to 412,000 contracts
  • Soybean options ADV increased 67% to 120,000 contracts
• Metals ADV increased 7%
  • Record October Metals options ADV of 115,000 contracts
• International ADV of 7.2 million contracts, with  EMEA ADV of 5.4 million contracts, Asia ADV of 1.5 million contracts and Latin America ADV of 135,000 contracts
• Micro Products ADV
  • Record Micro Bitcoin options of 1,100 contracts
  • Micro Gold futures ADV increased 67% to 110,000 contracts
  • Micro Bitcoin futures increased 332% to 50,000 contracts
  • Micro Ether futures increased 212% to 33,000 contracts
  • Micro E-mini Equity Index futures and options ADV of 2.3 million contracts represented 38.8% of overall Equity Index ADV and Micro WTI Crude Oil futures accounted for 3.8% of overall Energy ADV
• BrokerTec U.S. Repo average daily notional value (ADNV) increased 11% to $316.7 billion, European Repo ADNV increased 1% to €299.7 billion and U.S. Treasury ADNV increased 1% to $112.8 billion

CME BrokerTec sees record gains in U.S treasury and repo trading

CME Group’s BrokerTec market reported that average daily trading in U.S. Treasuries reached $113 billion in October. Notably, BrokerTec also reported a 65% increase in liquidity for 10-year notes compared to last year. Volatility, measured by fluctuations in treasury prices, actually eased 12% compared to last year.

BrokerTec’s repo markets, a vital part of the financial system where banks and investors lend and borrow short-term funds secured by Treasuries, similarly saw a rise in activity. The average daily volume in the U.S. repo market was $317 billion, up 11% year-over-year, driven by higher demand for overnight funding as economic uncertainties continued. BrokerTec noted particular activity in Treasury bonds of varying lengths, including 2-year, 5-year, and 20-year bonds, with a notable spike in 5-year Treasury repos around the October 28 auction.

In Europe, trading activity also picked up, with BrokerTec’s European repo market averaging €300 billion per day, up 4% from September. The European Central Bank (ECB) cut its key interest rate by 25 bps on October 17, a move that went into effect on October 23. This rate reduction spurred increased trading volume, as investors adapted to the ECB’s monetary policy shift.

CME Group Chief Economist Erik Norland noted the broad rise in global bond yields, with “U.S. Treasury yields climbing close to 50 bps across the board due to unexpectedly strong U.S. economic data and worries about future deficits. U.K. yields followed suit, rising about 40 bps as the government announced plans for significant new spending paired with tax hikes. Eurozone bond yields increased by 20-25 bps, although the European economic data were generally softer than those in the U.S.”

John Edwards, Global Head of BrokerTec, summarised the platform’s performance by noting an overall “14% year-over-year growth in average daily trading volume, reaching $850 billion across U.S. Treasuries, European bonds, and repo markets. As interest rates and fiscal policies continue to evolve, these high trading volumes reflect the ongoing uncertainty and heightened investor attention on global economic developments.”

• EBS Spot FX ADNV increased 15% to $58.3 billion and FX Link ADV increased 193% to 54,000 contracts ($5 billion notional)

CME Group’s FX Markets hit October highs

 CME Group, one of the leading markets for listed FX futures and options, has reported substantial increases in daily trading volumes compared to last year, setting new records in multiple areas last month.

FX futures and options continue to gain popularity, with average daily notional value (ADNV), a measure of total trading volume, reaching $88 billion year-to-date, marking an 8% increase from 2023. In October alone, the ADNV stood at $68 billion across nearly 800,000 contracts, up 10% year-over-year.

Notably, trading in some emerging market currency pairs saw rapid growth. Contracts in Chinese renminbi (CNH) surged, setting an all-time record on October 7, with 23,859 contracts (worth $2.4 billion) traded in a single day. Scandinavian currencies, particularly the Norwegian krone (NOK), Swedish krona (SEK), and South African rand (ZAR), also saw high levels of interest. The demand for Scandinavian currencies hit a new monthly high, driven by investors seeking diverse opportunities.

FX options also experienced increased trading volumes compared to last year. The Australian dollar (AUD) led the pack, with trading volumes up 125% compared to September 2023. Other strong performers included the Swiss franc (CHF), British pound (GBP), and Chinese renminbi, all of which saw significant jumps in options trading.

Data from the Commodity Futures Trading Commission (CFTC) shows that more investors are holding large open positions, indicating sustained interest in FX markets, especially in emerging economies. As of October 22, Brazilian real (BRL) futures led the way, with a record 106 large open interest holders—a 19% increase over last year. The Japanese yen (JPY) and Australian dollar (AUD) also saw notable increases in investor interest among the G7 currencies.

FX Link, which connects futures and spot FX trading, has been another area of growth. Year-to-date, it averaged $4 billion per day, marking a 91% jump from last year. In October, the ADNV for FX Link reached $5 billion, more than doubling last October’s total. Additionally, EBS, CME’s electronic trading platform for FX, reported an average of $58 billion in daily trading volume, up 15% from the previous October.

October’s trading took place against a backdrop of relatively low volatility. The CME Group Volatility Index (CVOL), which tracks volatility in major currencies, averaged 8.7 in October, down 15% from last year. This overall decline in volatility reflects fewer sudden swings in currency values across the board.

However, individual currencies did experience notable movements. According to CME Group’s Chief Economist Erik Norland, “the Japanese yen lost 6.3% of its value against the U.S. dollar in October, impacted by political uncertainty following Japanese elections.”

Other major currencies, like the euro (EUR) and British pound, also weakened by about 2.5% against the dollar, while commodity-dependent currencies such as the Australian dollar (AUD) and Canadian dollar (CAD) dropped 5% and 3%, respectively. Latin American currencies felt the effects of falling commodity prices, with the Chilean peso hit the hardest.

Paul Houston, CME Group’s Global Head of FX, highlighted that October was a landmark month, with $126 billion in notional value traded daily across FX futures, options, and cash markets.

• Customer average collateral balances to meet performance bond requirements for rolling 3-months ending September 2024 were $72.3 billion for cash collateral and $165.4 billion for non-cash collateral.

Source: CME