The Exchange also enjoyed its highest daily volume total in its history during the third quarter. On August 29, 2006, volume reached 6,522,607 contracts, surpassing the previous record of 6,003,976 contracts set on November 29, 2005. The record total marked the second time total CBOT volume topped six million contracts.
Quarterly Metals Complex ADV – 11 Times Greater Than Third Quarter 2005
ADV in the CBOT Metals Complex continued to increase during the third quarter of 2006, as volume was 11 times greater than the same period in 2005. For the quarter, the Exchange’s Gold and Silver futures complexes each experienced ADV increases compared with the third quarter of 2005 – Gold futures volume was up 13-fold and Silver futures volume was up eight-fold.
For the month of September, the Exchange’s Metals complex accounted for 52 percent of listed Metals futures contracts in North America. The CBOT Gold complex saw ADV reach 52,464 contracts during September, nine times greater than September 2005. And September’s ADV in the Exchange’s Silver complex was 8,847 – eight times greater than the same month in 2005. In September the CBOT Gold and Silver complexes consisted of 54 percent and 39 percent share of the respective listed North American Gold and Silver futures markets.
The CBOT Metals Complex includes Full-sized (100 oz.) Gold futures and options contracts, mini-sized (33 oz.) Gold futures contracts, Full-sized (5,000 oz.) Silver futures and options contracts and mini-sized (1,000 oz.) Silver futures contracts.
Agricultural Complex Continues Steady Growth
During the third quarter, the CBOT launched daytime electronic trading of Agricultural futures contracts, side-by-side with its open auction environment. With two months of side-by-side trading complete, the Exchange has experienced volume growth across the Agricultural complex. For the third quarter, total Agricultural ADV was 489,901 contracts, a 40 percent increase over the third quarter of 2005. In September, ADV reached 484,784 contracts, up 77 percent compared with the same month in the prior year.
ADV increases in Corn and Wheat futures and options, contributed to the increased Agricultural volume totals at the CBOT. During September, the Corn and Wheat complexes grew by 129 percent and 114 percent, respectively, compared with September 2005. The Exchange also experienced increases in Soybean futures (40 percent), Soybean Meal futures (41 percent), and Soybean Oil futures (29 percent), when comparing September 2006 ADV to the same month in the previous year.
Open interest in the complex was 4,422,166 contracts as of September 28 – 59 percent greater than the same date in 2005, when Agricultural open interest was 2,777,615 contracts.
On September 28, CBOT electronically traded Agricultural futures experienced their highest volume ever for a single session, trading 242,929 contracts, up 57 percent from the previous record of 154,356 Agricultural futures contracts traded electronically on August 14, 2006.
Interest Rate Complex Continues Growth at Short, Long Ends of Yield Curve
Quarterly ADV within the CBOT Interest Rate complex was 2,506,623 contracts – an increase of 18 percent over the third quarter of 2005. Volume in the Interest Rate complex displayed growth at both the short end and long end of the yield curve in the quarter. At the short end of the curve (30-day Federal Funds futures and options, Two-year U.S. Treasury Note futures and options), third quarter’s ADV was 273,719 contracts, a 51 percent increase over the same quarter in 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 1,690,713 contracts, up 22 percent compared with the third quarter of 2005.
September’s ADV in the complex was 2,636,148 contracts, 16 percent greater than September 2005.
Early in the third quarter, the CBOT launched a new Binary options contract on the Target Federal Funds Rate. For the quarter, ADV for the Binary options was 678 contracts. ADV during September was 890 contracts. Open interest, which surpassed 10,000 contracts in less than two months of trading, was at 11,207 contracts as of September 28, 2006.
ADV in the CBOT Interest Rate Swap complex has continued to increase since early July, when new market makers Citigroup and Goldman Sachs began to provide liquidity. Swap complex ADV was 9,046 in September, three times greater than June 2006 – just before the
new market makers began working with CBOT market participants. Meanwhile, ADV for the quarter was 4,651 in the Swap complex, an increase of 45 percent compared with the same quarter in 2005. CBOT Interest Rate Swap futures, which are traded both side-by-side and via cash exchange facilities, offer the same price/yield relationship as traditional interest rate swaps, but counter-party credit risk is mitigated by the guarantee of the centralized clearinghouse.
Equity Index Complex ADV up Seven Percent Over Third Quarter 2005
The CBOT Equity Index complex also experienced ADV growth, both during the third quarter and the month of September. In September, the complex averaged 119,459 contracts traded per day, while ADV for the quarter was 110,425 contracts – respective increases of five percent and seven percent over the same periods in 2005.
CBOT Rate Per Contract
The following chart depicts the Exchange’s August 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.
