CME Reports Record January ADV


Basel Committee Consults on Interest-Rate Risk

  • Highest-ever January ADV with 16% growth year-over-year
  • Record January interest rate ADV of 13.1 million contracts, up 27%
  • Record January options ADV of 6.1 million contracts, up 26%

CME Group, the world’s leading derivatives marketplace, reported its January 2024 market statistics, reaching a new overall average daily volume (ADV) record of 25.2 million contracts for the month, up 16% from January 2023. The company’s interest rate ADV saw double-digit growth, driven by its SOFR complex and U.S. Treasury futures. ADV also increased by double-digits across energy, agricultural and foreign exchange products. Market statistics are available in greater detail at https://cmegroupinc.gcs-web.com/monthly-volume.

January 2024 ADV across asset classes includes:

  • Record January Interest Rate ADV of 13.1 million contracts
  • Equity Index ADV of 6.6 million contracts
  • Record January Options ADV of 6.1 million contracts
  • Energy ADV of 2.5 million contracts
  • Agricultural ADV of 1.5 million contracts
  • Foreign Exchange ADV of 893,000 contracts
  • Metals ADV of 638,000 contracts

Additional January 2024 product highlights compared to January 2023 include:

  • Interest Rate ADV increased 27%
    • SOFR futures ADV increased 45% to 3.8 million contracts
    • SOFR options ADV increased 33% to 2.5 million contracts
    • 10-Year U.S. Treasury Note futures ADV increased 24% 1.9 million contracts
    • 5-Year U.S. Treasury Note futures ADV increased 27% to 1.3 million contracts

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

U.S. Treasuries

BrokerTec US Treasury ADV was up 2% YoY to  $108B in January. On January 31, $230B was traded, as market participants turned to the BrokerTec CLOB to manage risk in the face of new economic data and  FOMC policy guidance. Book depth remained strong during a  volatile start to the year.

BrokerTec launched RV Butterflies on January 29 , enabling traders to execute cash vs cash butterfly strategies without legging risk by leveraging the liquidity and determinism available in BrokerTec’s US Treasury CLOB. We have seen strong client interest and participation with strong volumes across the first three days. The product complements our existing RV Curve spreads, which saw ADV reach $2.25B in January, up 63% YoY.

U.S. Repo

Repo activity slowed during the first week of the year with ADV for January at $288B, up 11% YoY. There were fewer positions to finance in many dealer inventories and less ‘special’ securities in the market.

While total MMFs assets reached new records, just short of $6T, the cash from the RRP facility continued to move into Repo and Short duration securities. There was $1T at the facility on 12/29 but only $615B remained by 1/31/24. The FOMC left the Target Range unchanged at their January meeting at 5.25%-5.50%.

EU Repo 

In line with previous years, the first week of January started slowly across both Euro and UK Gilt Repo markets. Volumes started to increase as the month progressed, resulting in notional ADV of € 273B. January saw the first central bank meeting of the year, the ECB maintained their interest rates at current levels, the deposit rate is currently at 4%. Market participants are now speculating as to when the first wave of rate cuts will be implemented.

  • Options ADV increased 26%
    • Interest Rate options ADV increased 16% to 3.5 million contracts
    • Equity Index options ADV increased 37% to 1.7 million contracts
    • Energy options ADV increased 95% to 452,000 contracts
  • Energy ADV increased 23%
    • Record Natural Gas options ADV of 300,736 contracts
  • Agricultural ADV increased 23%
    • Soybean Meal futures ADV increased 47% to 166,000 contracts
    • KC HRW Wheat futures ADV increased 38% to 52,000 contracts
  • Foreign Exchange ADV increased 11%
    • Record Brazilian Real futures ADV of 20,456 contracts
    • Mexican Peso futures ADV increased 39% to 60,000 contracts
  • Metals ADV increased 2%
    • Aluminum futures ADV increased 134% to 10,000 contracts
  • International ADV increased 24% to 7.0 million contracts, with  EMEA ADV up 28%
  • Micro Products ADV
    • Micro E-mini Equity Index futures and options ADV of 2.2 million contracts represented 33% of overall Equity Index ADV and Micro WTI Crude Oil futures accounted for 4.4% of overall Energy ADV
  • BrokerTec U.S. Repo average daily notional value (ADNV) increased 11% to $288.2B and U.S. Treasury ADNV increased 2% to $107.7B

Source: CME





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