CME Reports Highest June Average Daily Volume

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  • Highest-ever June ADV, with Q2 volume up 25% year-over-year
  • Q2 Equity Index ADV grew 57%, including record Micro E-Mini S&P 500 futures volume
  • Record SOFR futures and options ADV, OI

CME Group, the world’s leading derivatives marketplace, today reported its Q2 and June 2022 market statistics, showing average daily volume (ADV) increased 25% to 23.1 million contracts during the second quarter, the company’s third-highest quarterly volume ever. June ADV increased 30% to 24 million contracts, representing the company’s highest June volume on record. Market statistics are available in greater detail at https://cmegroupinc.gcs-web.com/monthly-volume.

Q2 2022 highlights across asset classes compared to Q2 2021 include:

  • Equity Index ADV increased 57%
    • Record quarterly Micro E-mini S&P 500 futures ADV of 1,388,251 contracts
    • Record quarterly E-mini Nasdaq-100 options ADV of 58,731 contracts
    • E-mini S&P 500 options ADV increased 96%
    • Micro E-mini Dow Jones futures ADV increased 84%
    • Micro E-mini Nasdaq-100 futures ADV increased 80%
    • E-mini Russell 2000 options ADV increased 52%
    • E-mini Nasdaq-100 futures ADV increased 41%
    • E-mini Russell 2000 futures ADV increased 35%
    • E-mini Dow Jones futures ADV increased 28%
    • Micro E-mini Russell 2000 futures ADV increased 12%
  • Interest Rate ADV increased 24%
    • Record quarterly SOFR futures ADV of 1,629,384 contracts
    • Record quarterly SOFR options ADV of 222,777 contracts
    • 27 trading days when SOFR futures daily volume surpassed Eurodollar futures, with SOFR futures ADV in Q2 equivalent to 99% of Eurodollar futures ADV in the same period
    • 30-Day Fed Fund futures ADV increased 228%
    • 2-Year U.S. Treasury Note futures ADV increased 76%
    • 5-Year U.S. Treasury Note options ADV increased 61%
    • 5-Year U.S. Treasury Note futures ADV increased 30%
  • Foreign Exchange ADV increased 24%
    • Record quarterly Brazilian Real futures ADV of 17,042 contracts
    • Japanese Yen options ADV increased 119%
    • Japanese Yen futures ADV increased 49%
    • Canadian Dollar options ADV increased 33%
  • Options ADV increased 23%
    • Equity Index options ADV increased 92%
    • Foreign Exchange options ADV increased 27%
    • Energy options ADV increased 12%
    • Metals options ADV increased 11%
    • Interest Rate options ADV increased 9%
  • Cryptocurrency ADV increased 89%
    • Record quarterly Micro Ether futures ADV of 21,311 contracts
    • Record quarterly Ether futures ADV of 6,588 contracts
    • Bitcoin futures ADV increased 12%
    • Micro Bitcoin futures ADV increased 3%
  • ADV outside the United States increased 21% to 6.3 million contracts in Q2, including 40% growth in Latin America, 36% in Asia and 15% in EMEA

June 2022 ADV across asset classes includes:

Additional June 2022 product highlights compared to June 2021 include:

  • Equity Index ADV increased 80%
    • Micro E-mini Nasdaq-100 futures ADV increased 131%
    • E-mini Nasdaq-100 options ADV increased 129%
    • Micro E-mini S&P 500 futures ADV increased 122%
    • E-mini S&P 500 options ADV increased 106%
    • Micro E-mini Dow Jones futures ADV increased 98%
    • E-mini S&P 500 futures ADV increased 55%
    • E-mini Nasdaq-100 futures ADV increased 53%
    • Nikkei 225 futures ADV increased 53%
    • E-mini Russell 2000 futures ADV increased 46%
    • E-mini Russell 2000 options ADV increased 45%
    • E-mini Dow Jones futures ADV increased 33%
    • Micro E-mini Russell 2000 futures ADV increased 35%
  • Options ADV increased 28%
    • Equity Index options ADV increased 101%
    • Interest Rate ADV increased 17%
    • Foreign Exchange options ADV increased 7%
    • Energy options ADV increased 2%
  • Foreign Exchange ADV increased 25%
    • Japanese Yen options ADV increased 92%
    • Japanese Yen futures ADV increased 66%
    • British Pound futures ADV increased 21%
    • Euro FX futures ADV increased 17%
    • E-Mini Euro FX futures ADV increased 10%
  • Interest Rate ADV increased 24%
    • Record monthly SOFR futures ADV of 1,985,508 contracts, with record open interest (OI) of 6,371,384 contracts on June 30
    • Record monthly SOFR options ADV of 411,779, with record OI of 7,241,361 contracts on June 30
    • 17 trading days when SOFR futures daily volume surpassed Eurodollar futures, with SOFR futures ADV in June equivalent to 117% of Eurodollar futures ADV in the same period
    • 2-Year Eris SOFR Swap futures ADV increased 544%
    • 30-Day Fed Fund futures ADV increased 238%
    • 2-Year U.S. Treasury Note futures ADV increased 85%
    • 5-Year U.S. Treasury Note options ADV increased 29%
    • 5-Year U.S. Treasury Note futures ADV increased 27%
  • Cryptocurrency ADV increased 74%
    • Record monthly Ether futures ADV of 8,988 contracts
    • Bitcoin futures ADV increased 54%
  • ADV outside the United States increased 28% to 6.9 million, including 43% in Asia, 35% growth in Latin America, and 24% in EMEA
  • Micro E-mini futures and options represented 40% of overall Equity Index ADV, Micro WTI Crude Oil futures accounted for 6% of overall Energy ADV, Micro Bitcoin futures accounted for 0.2% and Micro Ether futures accounted for 0.2% of overall Equity Index ADV, respectively
  • BrokerTec European Repo average daily notional value (ADNV) increased 23% to €358B, U.S. Repo ADNV increased 17% to $262B, and U.S. Treasury ADNV increased 16% to $128B
  • EBS Spot FX ADNV increased 7% to $65.4B

Source: CME Group

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