The CBOT experienced another record-setting month in November, setting new highs for total Agricultural volume (14,602,741 contracts), Agricultural futures volume (12,121,361 contracts) and Agricultural options volume (2,481,380 contracts). ADV for the Agricultural complex was 695,369 contracts in November, up 88 percent over November 2005. Increases on both the CBOT electronic trading platform and the open auction environment contributed to November’s record Agricultural trading volume. November’s Agricultural complex electronic ADV was 222,514 contracts, a 26 percent increase compared with October 2006. Open auction Agricultural ADV was 449,553 contracts in November, up 29 percent over the same month last year. Year-to-date, total ADV in the Agricultural complex is 40 percent greater than the same period in 2005.
Record volume totals in the CBOT Corn complex contributed to the overall growth in Agricultural trading volume. The new Corn complex record, 7,879,086 contracts traded in November, led to a 142 percent ADV increase compared with November 2005. The CBOT also experienced increases in its Wheat complex (45 percent), Soybean complex (51 percent), Oats complex (62 percent), and Rough Rice complex (44 percent) when comparing ADV from November 2006 to ADV from November 2005.
Metals Complex Sets Monthly Records; ADV 8 Times Greater Than November 2005
November marked the fourth consecutive month in which the CBOT Gold futures complex accounted for greater than 50 percent market share of the North American listed Gold futures market. During November, the Exchange’s Full-sized (100 oz.) Gold futures set a monthly ADV record – 57,683 contracts traded each day, 11 times greater than the ADV in November 2005. Total ADV in the CBOT Gold Complex was 67,622 in November 2006, a 9-fold increase compared with the same month a year earlier. Volume for Full-sized Gold options, which began trading in the open auction environment during November, was 30,988 contracts – a 46 percent gain compared with October 2006.
CBOT Full-sized (5,000 oz.) Silver futures also set a monthly record in November, as ADV reached 8,607 contracts, 12 times greater than November 2005. The new record contributed to ADV growth across the CBOT Silver complex. In November, 10,568 Silver futures and options contracts were traded at the CBOT each day, 6 times greater than the ADV total from the same month last year.
Volume increases in Gold and Silver futures led to record ADV across the CBOT Metals complex. November 2006 ADV for the Metals complex was a record 78,189 contracts, 8 times greater than the same month in 2005.
ADV in CBOT Financial Complex Up 22 Percent Compared With November 2005
CBOT Financial complex ADV was 3,089,895 in November, an increase of 22 percent compared with November 2005. Volume in the Financial complex again displayed growth at both the short end and long end of the yield curve. At the short end of the curve (30-day Federal Funds futures and options, Two-year U.S. Treasury Note futures and options), November’s ADV was 296,053 contracts, a 63 percent increase over November 2005. And on the long end of the curve (10-year U.S. Treasury Note futures and options, 30-year U.S. Treasury Bond futures and options), ADV reached 2,103,427 contracts, up 24 percent compared with last November.
Record monthly ADV totals for 10-year Treasury Note futures and 2-year Treasury Note futures led to an overall monthly ADV record for CBOT Financial futures – 2,716,716 contracts and a 24 percent increase compared with the total from last year. The new CBOT 10-year U.S. Treasury Note futures monthly ADV record is 1,353,037, 31 percent greater than the total from November 2005. 5-year U.S. Treasury Note futures set a new ADV record, with 639,216 contracts trading each day, 7 percent greater than the same month last year. And the new ADV record for 2-year U.S. Treasury Note futures is 229,831, an 88 percent increase over November 2005.
Electronic trading of Financial options contracts contributed to November’s ADV growth within the Financial complex. An average of 86,821 Financial options were traded electronically each day during November – 106 percent greater than the same month in 2005. Of the 373,179 Financial options trades executed at the CBOT in November, 23 percent were executed electronically. Year-to-date, ADV for electronically-traded Financial options is 72,840 contracts – 147 percent greater than the same period in 2005.
Equity Index Complex ADV Increases By 24 Percent Over November 2005
ADV in the CBOT Equity Index complex was 117,195 in November, an increase of 24 percent compared with November 2005. Mini-sized Dow Jonessm futures contracts contributed to growth within the Equity Index complex, as ADV rose to 110,621 in November, 27 percent greater than the same month in the prior year.
CBOT Rate Per Contract
The following chart depicts the Exchange’s October 2006 three-month rolling average rate per contract (in dollars), and the two preceding three-month periods’ average rates per contract. Average rate per contract represents total exchange and clearing revenue divided by total reported trading volume. Average rates per contract can be affected by exchange and clearing fee price levels, and the customer, product, venue and transaction mix.
