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Trading Volume: First Quarter 2004 Volume Report

Trading Volume: First Quarter 2004 Volume Report

1 May 2004 3:45pm EDT

Equity options and interest rate products boomed in the first quarter, giving U.S. exchanges a huge boost in volume. Overall, U.S. futures and options trading volume increased 41.9% over the same period in 2003, an increase of 201.5 million to a total of 682.3 million contracts traded. U.S. futures trading increased 29.0%, up 68.3 million to a total of 304.1 million. Trading in options on futures increased 22.5%, up 11.6 million to a total of 63.2 million. Trading in options on securities increased 62.9%, up 121.7 million to a total of 315.0 million.

U.S. Exchanges

Trading volume at Chicago Mercantile Exchange increased 24.8% to 182.9 million in the first quarter after the busiest trading month in the history of the exchange in March. The ratio of electronically traded Eurodollar volume to total Eurodollar volume reached 11% in the first quarter, helping to push Globex volume above 50% of total exchange volume for the first time ever. Volume at the Chicago Board of Trade rose by 43.5% to 136.6 million, with three quarters of the rise due to the increased volume in interest rate products.

Volume at the International Securities Exchange almost doubled, up 45.8 million to 92.0 million contracts traded in the first quarter of 2004. The Chicago Board Options Exchange showed a 48.4% increase to 94.6 million. The American Stock Exchange increased volume by 33.7% to 55.6 million, the Philadelphia Stock Exchange almost doubled its volume to 42.9 million contracts, and trading at the Pacific Exchange grew 48.3% to 28.8 million contracts.

U.S. Volume by Sectors

U.S. individual equity options trading had the greatest overall volume in a comparison by sectors, in addition to the largest volume increase in the first quarter. Trading in these products increased 114.1 million or 69.7% to a total of 277.8 million contracts traded.

Index product volume rose 22.2% in the first quarter of 2004, up 22.4 million over the year-ago period. CME's E-mini S&P 500 futures had a relatively quiet quarter, with volume flat at 42.5 million, but other index futures had very strong growth. Volume in the E-mini Nasdaq 100 rose 4.2 million or 27.2% in the first quarter, while the E-mini Russell 2000 jumped 2.8 million or 539.2%. Over at the CBOT, the Mini Dow Jones futures contract traded 154.2% more in the first quarter, up 2.8 million over the same period in 2003. On the options side, the CBOE's SPX contract led the way, with volume up 2.2 million or 24.3% to a total of 11.3 million contracts traded.

Interest rate products were the big driver in the futures world, with volume up 49.5 million or 33.8% in the first quarter. After a slow fourth quarter, CME’s Eurodollar contract set a new monthly volume record in March, and increased trading by 15.3 million or 34.7% in the first quarter. At the CBOT, 10-year Treasury notes volume increased by 14.0 million or 44.8% to a total of 45.2 million in the first quarter. Options on 10-year Treasury notes were up 43.5% to 12.7 million contracts.

Agricultural commodities trading increased 52.1% overall, up 11.7 million in the first quarter. A large percentage of that increase was at the CBOT, where the two largest U.S. agriculture futures contracts, corn and soybeans, increased trading by 68.0% (2.7 million) and 53.3% (1.9 million), respectively. Sugar, the most actively traded contract at the New York Board of Trade, traded 50.1% more in the first quarter of 2004 with a total of 2.7 million for that period after setting a record in trading volume in February, then surpassing that record in March.

U.S. energy trading was down slightly, from 32.2 million to 29.5 million in the first quarter. Energy futures were down slightly, by 3.5% to 24.8 million, while energy options sank 26.9% to 4.7 million contracts. Foreign currency trading jumped 50.9%, up 4.2 million to a total of 12.4 million for the first quarter. The gain was mainly in forex futures products, which increased by 54.3% to a total of 11.7 million.

Precious metals trading was up 36.7% or 1.9 million, with all U.S. precious metals contracts gaining in trading volume. At the New York Mercantile Exchange, gold futures were up 28.8% to 4.2 million and silver futures were up 45.9% to 1.3 million. Non-precious metals trading increased 23.8% to just under one million contracts.

Non-U.S. Exchanges

Outside the U.S., Eurex volume increased 9.3% to 289.6 million in the first quarter after setting a new monthly volume record in March. Eurex’s EuroBund topped the list of futures contracts with volume over 62.1 million, although trading in the product declined 5.7% over the first quarter of 2003. Eurex’s two other big interest rate products had better first quarters. The EuroBobl was up 8.8% to 42.2 million, while the EuroSchatz was up 13.8% to 34.7 million.

Euronext.liffe gained 29.8% in trading volume in the first quarter of 2004, up 53.8 million to 234.1 million contracts total for the period. Euronext.liffe’s Euribor interest rate contract gained 10.0 million contracts over the first quarter of 2003, up 30.2% to a total of 43.3 million in the first quarter of 2004. Universal stock futures saw a large gain at this exchange, with a gain of 58.2% to a total of over two million. Euronext.liffe agricultural commodities set a new monthly volume record in March, breaking the record previously set in October 2002 by 4.1% to total 0.7 million for that month, and up 19.9% to 2.0 million year-to-date.

The Mexican Derivatives Exchange gained 15.6%, up 6.1 million to a total of 45.2 million in the first quarter. The 28-Day Interbank Equilibrium Interest Rate (TIIE) was up 25.4% to 44.3 million contracts.

The Kospi’s skyrocketing volume hit a plateau in the first quarter after its move from the Korea Stock Exchange to the Korea Futures Exchange. Trading in the Kospi 200 options contract was down 50.5 million in the first quarter from the same trading period in 2003. Combined, the Kospi 200 futures and options contracts declined 55.4 million.

China continued to surprise with its rapid commodity trading growth. Last year, Dalian Commodity Exchange made a splash with soybeans, which were traded 372.8% more in 2003 than the previous year, up 47.3 million to a total of 60.0 million at year-end. In the first quarter of 2004 trading slowed, with volume down 20.7% or 3.4 million over first quarter 2003. Likewise, the rubber contract at Shanghai Futures Exchange grew by 22.7 million or 565.5% to a total of 26.8 million contracts at year-end 2003. In the first quarter of 2004, SHFE rubber trading declined 8.4% or 0.4 million contracts.

Asia’s newest breakout contract appears to be SHFE’s copper, which was up 431.9% or 8.3 million in the first quarter over year-ago volume, continuing a trend that began last year. Volume at the Taiwan Futures Exchange also skyrocketed, as volume in the Taiex options contract jumped 612.2% to 12.5 million contracts in the first quarter.

Non-U.S. volume totals for the first quarter were unavailable as of publication.

Top 20 Contracts by Volume

ContractExchange

Jan-Mar 04

Jan-Mar 03

% Change

Kospi 200 OptionsKofex607,428,635657,981,013-7.70%
Euro-Bund FuturesEurex62,145,66265,864,492-5.60%
3-Month Eurodollar FuturesCME59,434,77844,124,45234.70%
10-Year T-Note FuturesCBOT45,161,87331,187,61644.80%
TIIE 28 FuturesMexDer44,277,74635,319,83025.40%
3-Month Euribor FuturesEuronext43,303,85933,272,02130.20%
E-mini S&P 500 Index FuturesCME42,475,14542,035,2011.00%
Euro-Bobl FuturesEurex42,218,99738,794,8758.80%
Euro-Schatz FuturesEurex34,662,95130,463,71813.80%
DJ Euro Stoxx 50 FuturesEurex32,392,59633,421,503-3.10%
Interest Rate FuturesBM&F26,216,52811,428,331129.40%
3-Month Euribor OptionsEuronext22,867,40215,658,94246.00%
5-Year T-Note FuturesCBOT21,021,29315,147,77438.80%
DJ Euro Stoxx 50 OptionsEurex20,588,46116,842,40722.20%
CAC 40 Index OptionsEuronext20,035,52018,934,3785.80%
E-mini Nasdaq 100 FuturesCME19,808,27915,569,20827.20%
Eurodollar OptionsCME18,217,31923,909,990-23.80%
30-Year T-Bond FuturesCBOT17,476,08213,573,05028.80%
No. 1 Soybean FuturesDalian13,152,16416,590,718-20.70%
3-Month Sterling FuturesEuronext12,939,71310,400,30124.40%

U.S. Futures and Options Volume by Sector

Sector

Jan-Mar 04

Jan-Mar 03

% Change

Individual Equities278,670,718164,373,32169.50%
Interest Rates195,904,814146,410,54233.80%
Equity Indexes123,453,543101,007,23022.20%
Ag Commodities34,035,42022,381,41252.10%
Energy Products29,532,37132,176,390-8.20%
Foreign Currencies/Indexes12,389,4558,211,50450.90%
Precious Metals7,160,1085,237,97136.70%
NonPrecious Metals977,435789,54723.80%
Other180,165185,482-2.90%
TOTAL682,304,029480,773,39941.90%

Top 20 Derivatives Exchanges by Volume

Exchange

Jan-Mar 04

Jan-Mar 03

% Change

Korea Futures Exchange621,510,636678,045,824-8.30%
Eurex289,641,405265,012,5579.30%
Euronext234,077,525180,317,30429.80%
Chicago Mercantile Exchange182,690,652146,437,73424.80%
Chicago Board of Trade136,573,11795,150,58443.50%
Chicago Board Options Exchange94,591,72663,762,34548.40%
International Securities Exchange91,991,25446,201,97499.10%
Bovespa55,428,92530,131,35384.00%
American Stock Exchange55,380,99641,402,50133.80%
Bolsa de Mercadorias & Futuros45,284,52823,907,10189.40%
Mexican Derivatives Exchange45,197,10439,110,10015.60%
Philadelphia Stock Exchange42,919,32622,507,63390.70%
Nymex37,536,23637,947,352-1.10%
Pacific Exchange28,837,66519,443,39348.30%
Shanghai Futures Exchange22,625,9787,381,863206.50%
OM Stockholm20,514,22417,190,19219.30%
London Metal Exchange18,780,87917,119,1689.70%
Dalian Commodity Exchange17,289,81619,880,516-13.00%
Taiwan Futures Exchange16,433,9921,854,413786.20%
Sydney Futures Exchange13,350,35310,057,47032.70%

 

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