Cboe Global Markets, Inc., the world’s leading derivatives and securities exchange network, reported December and full year 2023 trading volume statistics and projected rate per contract/net revenue capture for the fourth quarter of 2023 across its global business lines.
The data sheet “Cboe Global Markets Monthly Volume & RPC/Net Revenue Capture Report” contains an overview of certain December and full year 2023 trading statistics and market share by business segment, volume in select index products, and RPC/net capture, which is reported on a one-month lag, across business lines.
|
Average Daily Trading Volume (ADV) by Month |
Year-To-Date |
|||||||
|
Dec 2023 |
Dec 2022 |
% Chg |
Nov |
% |
Dec 2023 |
Dec 2022 |
% |
|
|
Multiply-listed options (contracts, k) |
10,472 |
10,615 |
-1.4 % |
10,436 |
0.3 % |
10,814 |
10,784 |
0.3 % |
|
Index options (contracts, k) |
3,984 |
3,222 |
23.7 % |
3,972 |
0.3 % |
3,800 |
2,847 |
33.4 % |
|
Futures (contracts, k) |
201.1 |
191 |
5.2 % |
203 |
-0.9 % |
223 |
218 |
2.3 % |
|
U.S. Equities – On-Exchange (matched shares, mn) |
1,670 |
1,345 |
24.2 % |
1,350 |
23.7 % |
1,414 |
1,614 |
-12.4 % |
|
U.S. Equities – Off-Exchange (matched shares, mn) |
68 |
70 |
-3.0 % |
72 |
-5.8 % |
78 |
90 |
-13.7 % |
|
Canadian Equities (matched shares, k) |
151,854 |
152,571 |
-0.5 % |
137,443 |
10.5 % |
136,110 |
91,769 |
48.3 % |
|
European Equities (€, mn) |
8,816 |
8,522 |
3.4 % |
8,922 |
-1.2 % |
9,398 |
10,829 |
-13.2 % |
|
Cboe Clear Europe Cleared Trades (k) |
83,648 |
95,940 |
-12.8 % |
97,892 |
-14.6 % |
1,172,028 |
1,499,898 |
-21.9 % |
|
Cboe Clear Europe Net Settlements (k) |
770 |
821 |
-6.2 % |
869 |
-11.4 % |
10,045 |
10,341 |
-2.9 % |
|
Australian Equities (AUD, mn) |
777 |
661 |
17.6 % |
681 |
14.2 % |
704 |
784 |
-10.2 % |
|
Japanese Equities (JPY, bn) |
192 |
59 |
223.3 % |
182 |
5.9 % |
177 |
143 |
23.5 % |
|
Global FX ADNV ($, mn) |
45,600 |
35,870 |
27.1 % |
47,272 |
-3.5 % |
44,706 |
40,906 |
9.3 % |
|
1 Canadian Equities data includes MATCHNow and NEO (now operating as Cboe Canada) from June 2022 onwards. Before June 2022 it included MATCHNow only. |
|
2 Cboe Clear Europe figures are totals (not ADV) for the months and years-to-date. As of April 2023, data has been restated to reflect both On-Book and Off-Book cleared trades. |
December and Full Year 2023 Trading Volume Highlights
US Options
- Total volume across Cboe’s four options exchanges was 3.7 billion contracts in 2023, the fourth consecutive record-breaking year
- Total options ADV reached an all-time high of 14.6 million contracts traded per day in 2023
- Cboe’s proprietary product suite set several volume records for the year, including:
- S&P 500 Index (SPX) options traded a total of 729.3 million contracts, with an ADV of 2.9 million contracts
- Cboe Volatility Index (VIX) options traded a total of 185.7 million contracts, with an ADV of 743 thousand contracts
- Trading in SPX options set a new single-day volume record on December 14, 2023 with 4.8 million contracts traded
Global FX
- Global FX reported several records for full year 2023, including:
- Overall Spot ADV of $43.6 billion
- Cboe SEF (Swap Execution Facility) Non-Deliverable Forwards ADV of $1.1 billion
Fourth-Quarter 2023 RPC/Net Revenue Capture Guidance
The projected RPC/net capture metrics for the fourth quarter of 2023 are estimated, preliminary and may change. There can be no assurance that our final RPC for the three months ended December 31, 2023, will not differ materially from these projections.
|
(In USD unless stated otherwise) |
Three-Months Ended |
|||
|
Product: |
4Q Projection |
Nov-2023 |
Oct-2023 |
Sept-2023 |
|
Multiply-Listed Options (per contract) |
0.061 |
0.057 |
0.056 |
0.055 |
|
Index Options |
0.909 |
0.901 |
0.900 |
0.894 |
|
Total Options |
0.298 |
0.293 |
0.286 |
0.270 |
|
Futures (per contract) |
1.748 |
1.726 |
1.714 |
1.753 |
|
U.S. Equities – Exchange (per 100 touched shares) |
0.015 |
0.021 |
0.022 |
0.022 |
|
U.S. Equities – Off-Exchange (per 100 touched shares) |
0.142 |
0.136 |
0.135 |
0.129 |
|
Canadian Equities (per 10,000 touched shares) |
CAD 3.925 |
CAD 3.909 |
CAD 3.907 |
CAD 3.976 |
|
European Equities (per matched notional value) |
0.230 |
0.231 |
0.229 |
0.232 |
|
Australian Equities (per matched notional value) |
0.161 |
0.159 |
0.155 |
0.155 |
|
Japanese Equities (per matched notional value) |
0.235 |
0.236 |
0.242 |
0.257 |
|
Global FX (per one million dollars traded) |
2.616 |
2.609 |
2.627 |
2.643 |
|
Cboe Clear Europe Fee per Trade Cleared |
€ 0.010 |
€ 0.009 |
€ 0.010 |
€ 0.010 |
|
Cboe Clear Europe Net Fee per Settlement |
€ 0.923 |
€ 0.922 |
€ 0.919 |
€ 0.927 |
The above represents average revenue per contract (RPC) or net capture is based on a three-month rolling average, reported on a one-month lag. Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.
- For Options and Futures, the average RPC represents total net transaction fees recognized for the period divided by total contracts traded during the period for options exchanges: BZX Options, Cboe Options, C2 Options and EDGX Options; futures include contracts traded on Cboe Futures Exchange, LLC (CFE).
- For U.S. Equities, “net capture per 100 touched shares” refers to transaction fees less liquidity payments and routing and clearing costs divided by the product of one-hundredth ADV of touched shares on BZX, BYX, EDGX and EDGA and the number of trading days for the period.
- For U.S. Equities – Off-Exchange, “net capture per 100 touched shares” refers to transaction fees less OMS/EMS costs and clearing costs divided by the product of one-hundredth ADV of touched shares on BIDS Trading and the number of trading days for the period.
- For Canadian Equities, “net capture per 10,000 touched shares” refers to transaction fees divided by the product of one-ten thousandth ADV of shares for MATCHNow and the number of trading days for the period and includes revenue from NEO (now operating as Cboe Canada) from June 2022.
- For European Equities, “net capture per matched notional value” refers to transaction fees less liquidity payments in British pounds divided by the product of ADNV in British pounds of shares matched on Cboe Europe Equities and the number of trading days.
- For Australian Equities, “net capture per matched notional value” refers to transaction fees less liquidity payments in Australian Dollars divided by the product of ADNV in Australian Dollars of shares matched on Cboe Australia and the number of trading days.
- For Japanese Equities, “net capture per matched notional value” refers to transaction fees less liquidity payments in Japanese Yen divided by the product of ADNV in Japanese Yen of shares matched on Cboe Japan and the number of trading days.
- For Global FX, “net capture per one million dollars traded” refers to transaction fees less liquidity payments, if any, divided by the Spot and SEF products of one-thousandth of ADNV traded on the Cboe FX Markets and the number of trading days, divided by two, which represents the buyer and seller that are both charged on the transaction.
- For Cboe Clear Europe, “Fee per Trade Cleared” refers to clearing fees divided by number of non-interoperable trades cleared and “Net Fee per Settlement” refers to settlement fees less direct costs incurred to settle divided by the number of settlements executed after netting.
Source: Cboe
