Welcome to Futures Industry
Galen Burghardt and Will Acworth
Published 3/10/2009

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For the global futures and options industry, 2008 was a wild year. Several major market participants, including some of the largest players in the markets, vanished from the scene. Counterparty credit risk shot to the top of market user worries. Volatility skyrocketed and liquidity evaporated, especially after Lehman Brothers declared bankruptcy in September, and volume for some of the industry’s biggest and best-known contracts took a definite turn for the worse.

Despite all the turbulence, the overall growth trend was still positive. The total number of futures and options contracts traded on the 69 exchanges tracked by the Futures Industry Association rose 13.7% over 2007. Volume in the U.S., the epicenter of the credit crisis, rose 14.0% from 2007, and Europe and Asia did even better (see Global Volume by Region table).

But there was no question that the pace of growth, which had been so strong for so long, slowed down considerably. 2008’s global growth rate of 13.7% was a far cry from the 30.9% increase recorded in 2007 and the 18.9% increase in 2006.

The Big Chill

After shooting upward for several years, the growth in global futures and options trading decelerated sharply in 2008.

More importantly, the relatively benign overall numbers mask some sharp divergences among the different categories of products, especially in the U.S. Trading volume on the U.S. futures exchanges rose only 4.4% over 2007. What a contrast to the volume on the U.S. options exchanges, which shot up 25.1% on the back of an explosion in volatility. 

Equity products across the board had a tremendous year, as did the commodity products, but the credit crisis put a big dent in the trading of interest rate products. On a global basis, interest rate volumes sank 14.4% relative to 2007, the first time in many years that we have had such a big setback.

Long-term interest rate futures were especially hard hit. Ten-year Treasury futures trading tumbled 26.5% from 2007; Euro bund futures fell 23.8%; and JGB futures slid 21.5%. Short-term interest rate products were mixed, with Euribor futures up slightly, Eurodollar futures down slightly, and Euroyen futures way down by 42.6%.

Part of the reason why the interest rate category was down on a worldwide basis was a staggering drop in the trading of TIIE futures, the Mexican short-term interest rate contract. Total volume in that contract, which last year ranked seventh largest among the world’s interest rate contracts, plunged 73.8% to 57.9 million. It appears, however, that this was more related to a market user preference for a larger contract size than to the global financial turmoil that affected interest rate trading in other countries.

In September 2007 Mexder introduced 10-year swap futures as an alternative to using large strips of the TIEE contracts as an interest rate hedge. Volume in the swap futures contract, which is 1,000 times larger in size than the TIEE, reached 171,000 in 2008. Mexder officials estimate that once the different sizes are taken into account, the level of trading activity in 2008 was effectively the same as in 2007, except that market users now have a more efficient size for their interest rate hedges.

Interestingly, Mexder’s 10-year government bond contract took off last year, with volume soaring 154% to 3.0 million contracts. And trading in the Cete 91 day contract rose 45.3% to 4.1 million. These are still minnows in global terms, but it is good to see a healthy interest rate complex beginning to take shape outside the traditional financial centers in the developed world. 

After Lehman

In our past articles on global volume trends, we have typically looked at volume on an annual basis. This year, however, had two distinct phases, with the major futures and options markets in the U.S. and Europe taking on a very different tone after the Lehman collapse in September. Volatility surged across the entire marketplace and in certain products liquidity in the final part of the year was considerably less than what we have come to expect.
These effects were especially strong at the CME Group. If we take out the New York Mercantile Exchange to get a clearer picture of what happened in the financial arena, we can see that volume in the legacy CME and CBOT products really dropped off in the last part of the year, with fourth quarter volume down 22% from the third quarter. It’s not unusual to see a year-end slowdown, but this year there was clearly something else at work.  

What is really scary is that the slump seemed to steepen at year-end. Eurodollar futures trading in November and December combined plunged 45.9% compared to  November and December of 2007. Ten-year Treasury volume was down a stunning 65% during the same period. Hopefully this will turn out to be a cyclical downturn, but we probably will not know for sure until well into 2009.

Because of the way the futures industry works, it is difficult to get a clear view on how much volume comes from the various types of trading firms that participate in our markets. Each exchange has its own way of tracking the identity of its customers, and it may not always know who the end-customer is. 

Fortunately the CME Group has given us a window into this. In its year-end financial results presentation, the exchange broke out its fourth quarter volume by customer segment (see CME table and pie graph). The data only covers the third and fourth quarters of 2008, so we cannot make any comparisons to 2007. All the same, the data gives us a sense for how the different customer groups were behaving in the last part of the year.

One observation is that hedge funds pulled back the most. The number of contracts traded by the top 25 hedge funds fell by 32% from the third to the fourth quarter, a much larger reduction than the exchange-wide decline of 22%. Hedge funds, as we all know, faced one of their most difficult years ever in 2008 and many were forced to wind down their trading activities in order to reduce leverage, exit losing strategies and meet redemption calls.

It is also interesting to see that traditional customers such as pension funds pulled back the least. The amount of volume traded by these customers, which is more likely to be driven by a desire to hedge market risk, fell by only 13%. If the CME continues to publish this information, it will be interesting to see if the decline in this segment turns out to be a temporary dip or a more serious long-term decline in hedging activity.

Volatility and Liquidity

As shown in the volatility comparisons table, 2008 was about 83% more volatile than 2007. And in the wake of the credit bombshells dropped in September, the last four months of 2008 were about 85% more volatile than the previous eight months. 

One of the astonishing things about these comparisons is the completeness of the sweep. In normal times, one can expect volatility to rise in some markets and fall in others. Not this time. Not one of the markets shown was less volatile in 2008 than it had been the previous year. Interest rate and equity index products were the most volatile, but even the commodity contracts were way above normal. Volatilities for wheat, soy, crude oil and gold were all above 50%.

The rise in market volatility definitely took its toll on liquidity. For several years, the combined effect of increases in trading volume and decreases in volatility was to reduce dramatically the costs of trading futures. As shown in the Index of Implied Bid/Ask Spreads chart, the costs of trading bottomed out in 2005 and took a sharp turn north in 2008. These index values are calculated simply as the ratio of price volatility to the square root of trading volume, a measure that is consistent with our understanding of the determinants of market liquidity.

In the three futures markets that we have chosen here—Eurodollars, 10-year Treasury notes, and the E-mini S&P 500—the cost of filling a typical large order increased dramatically during the last four months of the year. And in both of the interest rate markets, where trading volumes were falling, the depth of book—a key measure of liquidity—fell sharply as well. 

One way of measuring this is to estimate the average number of contracts available at the best five bid or ask prices in the limit order book. That is, if one found 4,000 contracts at the best five bid prices, and 3,000 contracts at the best five ask spreads, we would report the average of these two, or 3,500. 

If we apply this approach to these three contracts, we see a very steep drop-off in liquidity in the last part of the year in the interest rate contracts. For Eurodollar futures, the depth of book was generally 4,000 to 5,000 contracts during the first eight months of the year, but only 1,000 to 2,000 contracts during the last four months. In Treasures, the drop was even more pronounced. The depth of book fell from over 6,000 in August to under 2,000 post Lehman and to just 400 at year-end. 

Trading volume in the E-mini stock index futures never did fall, however. As a result, while the market impact of filling a stock index futures order went up substantially, the demand for trading these contracts remained high, and the depth of the book appears to have been unaffected by the increase in volatility. There was a brief plunge below 2,000 in September, a couple of dips below 3,000 in October, and from then on the depth of book stayed more or less at the same level as the first part of the year.

While the loss of liquidity and market depth was pronounced in the outright markets for interest rate contracts, it was almost catastrophic in the case of the spread market for Treasury futures. The market for the calendar roll appears briefly for a few days in the month preceding expiration. Once the roll is completed, the roll market packs up its tents and goes home until the next quarter. The accompanying Treasury Calendar Roll chart shows the average number of contracts (spreads) on the bid or offer for the first five bids or first five offers during the three most active days of this market. 

Traditionally, this market is one of the most liquid on the planet. The volatility of the spread is low, and a trader usually can find tens of thousands of contracts on both the bid and the offer. For example, in the Jun08/Sep 08, the average number of spreads bid or offered was more than 20,000 during the most active three days. The Sep08/ Dec08 spread market was even deeper. One could find more than 50,000 contracts on the bid or offer during the most active day. 

Then came the collapse of the credit market, which brought more than price and interest rate volatility. It also caused the term lending market to evaporate. Not only were banks not lending to one another, the term repo market, also one of the most liquid and actively traded financing markets in the world, stopped working as well. As a result, cash/futures arbitrage, which can usually be counted on to produce fair prices and liquid markets for the futures, dried up. 

As the cash/futures arbitrage went away, so did the liquidity of the Treasury futures roll market. During the most active three days of the Dec08/Mar09 roll market, one was hard pressed to find as many as 1,000 spreads on either side of the market.

Emerging Markets

The good news is that if we step back from the heart of the crisis and look at the global picture, it looks a lot brighter. It almost seems as if the farther we go from Chicago and London, the less we see the effects of the credit crisis. 

For example, most of the big emerging markets that have been moving up the volume tables in the last several years kept right on growing in 2008. Exchanges in China, India, Russia, South Africa, and even Turkey turned in huge increases in volume. Some of these markets may be difficult to access right now because of regulatory issues or technological complications, but the basic trend is very positive. 

We also saw a real surge in interest in trading gold products, especially in Asia. As Bennett Voyles explained in his article in the Outlook 09 issue, more and more exchanges are trading gold futures, and two of the newest entrants—Taiwan and Russia—really took off in 2008. (See Top 20 Metals Contracts Table)

Perhaps the best indicator of how much interest there was in gold comes from the old Comex contracts, which migrated to the Globex platform last year when CME took over the New York Mercantile Exchange. Comex gold futures volume soared 53.1% to 38.4 million contracts in 2008, which is astounding for a contract that has been around as long as that one has. 

Another measure of the popular interest in gold is in the explosion in the volume of options traded on the exchange-traded funds that hold physical gold. The leader in that segment of the market is the SPDR Gold Trust ETF, which is listed on the New York Stock Exchange under the symbol GLD. The fund was launched in November 2004 and now ranks as one of the biggest ETFs in the U.S. in terms of assets under management. GLD options, which began trading this past June, proved to be a real hit, with 8.6 million contracts traded in less than six months.

The other side of that story is the long delay in bringing those options to the market. Because of the hybrid nature of the product—options on shares in a fund that holds a physical commodity—the two U.S. agencies that regulate derivatives could not agree on which agency should have jurisdiction. Along came the Treasury Department’s blueprint for financial reform, which recommended a consolidation of regulatory functions, and the two agencies suddenly saw the wisdom in cooperation. In March 2008, the heads of the Securities and Exchange Commission and the Commodity Futures Trading Commission signed an agreement by which they promised to streamline the approval process for hybrid products, and singled out the gold ETF options as the first example of the new era in cooperation. 

The other big trend in 2008 was a big uptick in the use of OTC clearing facilities such as CME’s Clearport and NYSE Liffe’s Bclear. Everyone in the OTC markets learned a painful lesson about counterparty risk in 2008, and the message about the benefits of clearing is getting a more receptive audience. One of the best examples of this is in the energy sector, natural gas in particular, which went through its own credit crisis earlier this decade after the Enron collapse. The OTC natural gas market in the U.S. has come around to a near complete embrace of clearing, and the two main players in this game—Intercon­tinentalExchange and CME Group—are reporting a booming business. 

ICE generally has not been willing to disclose how many contracts it is clearing, but occasionally it lets slip some tantalizing detail. For example, in its year-end financial review the exchange revealed that it cleared an average of 678,000 OTC energy contracts per day in the fourth quarter, roughly equal with the fourth quarter of 2007. In comparison, CME processed 489,000 OTC energy contracts per day through its Clearport service in the fourth quarter of 2008, up 58% on the year-ago quarter. 

The other area where OTC clearing has made deep inroads is in the European equity derivatives markets. NYSE Liffe’s Bclear service has attracted most of the attention, but Eurex has caught up rapidly. In both cases, the exchanges offer clearing for OTC transactions in futures and options based on indices or single stocks.

Liffe reported a total of 481.6 million in equity products volume in 2008. Of that total, 190.9 million contracts, almost two thirds of which were single stock futures, were transacted off-exchange and brought into the Bclear service for clearing. In other words, only 60% of Liffe’s equity futures and options trades are actually taking place on the exchange. 

It is also worth noting that this side of the business is growing much more rapidly than classic order-book trading. Bclear volume in 2008 was 55% higher than in 2007, while the comparable on-exchange volume in equity products actually declined by 1.5%. 

Eurex does not break out the OTC cleared volume in quite the same way, but there is no question that it has become a big part of the exchange’s equity derivatives business. For example, of the 64.3 million equity index futures and options cleared in December, only 53% were traded through the order book. Of the 18.7 million equity options cleared in December, only 47.5% were traded through the order book. And of the 2.5 million single stock futures that were cleared in December, less than 1% were transacted through the exchange’s order book.

One of the interesting things about this line of business is that it is effectively pan-European. While the underlying stocks are traded mostly on national exchanges, the Liffe and Eurex OTC clearing services are wide open for business from anywhere in the European Union. Eurex naturally does most of its single stock futures and options business on German and Swiss names, but French, Dutch, Finnish and Spanish names make up a sizeable part of its volume. Likewise, a large part of Liffe’s Bclear volume comes from the core Euronext markets of Amsterdam, London and Paris, but it also captures a lot of business related to German and Spanish names.

Exchange Rankings

One of the side-effects of the credit crisis is that the stock prices of the publicly traded exchanges, which have tended to track the ups and downs of volume, have taken a real beating. That in turn has pretty much halted the mergers and acquisitions frenzy that we had been seeing for much of the past decade. 

The focus now is on integration. As the exchange group table shows, there are several exchange holding companies that consist of several large subsidiaries that many of us still view as separate entities. The New York Mercantile Exchange, the world’s largest energy futures exchange, is now part of the CME Group, and the Philadelphia Stock Exchange, the third largest U.S. equity options exchange, is now part of the Nasdaq OMX Group. 

This has considerably changed the complexion of the exchange rankings. When we did our volume article last year, CME’s acquisition of the Chicago Board of Trade boosted it into first place in the global derivatives exchange rankings. This year, however, the decline in interest rate futures trading held the CME-CBOT combination back just enough for KRX to move ahead.

Of course, now that CME has absorbed Nymex, the group as a whole remains in first place. On a combined basis, CME plus CBOT plus Nymex had 3.28 billion contracts traded in 2008, versus just 2.87 billion at the Korean exchange. Within CME, legacy CBOT trading was down 6.7%, legacy CME was up 6.6%, and legacy Nymex was up 19.8%. In other words, it was the energy products traded and cleared by Nymex that did most of the pulling last year for the CME train. That acquisition is looking smarter all the time. 

The same applies to Eurex. On its own, the German-Swiss exchange would have ranked behind KRX with 2.17 billion contracts traded. But Eurex owns the International Securities Exchange, the second largest equity options exchange in the U.S. On a combined basis, Eurex plus ISE had total volume of 3.17 billion contracts in 2008, moving it ahead of KRX and just behind CME. 

Looking a little bit lower in the exchange rankings, consolidation also affected the competitive balance among the U.S. options exchanges. The Chicago Board Options Exchange and ISE are still battling it out at the top, with 33.3% and 28.1% of the overall market, respectively. At the next tier down, however, the American Stock Exchange and NYSE Arca are now part of the same overall group, as are PHLX and the newly launched Nasdaq Options Market. On a consolidated basis, NYSE Euronext and Nasdaq OMX are almost equally matched, NYSE with a combined market share of 17.4% and Nasdaq OMX with 16.2%. The Boston Options Exchange has only a 5% market share but it is growing more rapidly than the industry, with volume up 37.6% vs. 25.1% for the sector as a whole. 

Moving to Asia, markets in India and China showed little impact from the crisis wracking Western financial markets. The National Stock Exchange of India, the second largest exchange in the region after KRX, reported a 55.4% increase in volume to 590.2 million contracts, driven mainly by a huge jump in index options trading. The Multi Commodity Exchange of India saw volume rise 36.8% to 94.3 million contracts, making it the fourth largest commodity futures exchange in the region. 

All three Chinese exchanges continued to grow very rapidly. Dalian Commodity Exchange, the largest of the two agricultural futures exchanges, rose 68.7% to 313.2 million contracts. The increase there was driven mainly by more active trading in soybean and soy oil futures. The Shanghai Futures Exchange rose 63.9% to 140.3 million, driven by strong growth in several existing products, notably its zinc, aluminum and fuel oil futures.

The Zhengzhou Commodity Exchange, which used to be the third largest exchange, grew 139.2% to 222.6 million contracts, making it the fastest growing derivatives exchange in the world. The jump in volume was driven mainly by a spectacular increase in its white sugar futures contracts, up 264% to 165.5 million contracts. Although ZCE’s contract is five times smaller than the benchmark sugar contract traded on ICE Futures U.S., the volume of trading was so great that ZCE’s market comes out slightly ahead in size. It’s no wonder that commodity traders worldwide increasingly look to these Chinese markets for price discovery.

That said, China’s markets have shown that they can quickly lose their allure. The volume of trading in wheat futures, the Zhengzhou exchange’s original mainstay, fell 29.4% to 27.5 million contracts. And aluminum futures trading on the SHFE has ridden a roller coaster, rising to 13.9 million contracts in 2006, plunging to 4.8 million in 2007, then rebounding to 14.8 million in 2008. 

Another amazing growth story is in South Africa, where the Johannesburg Stock Exchange, the home of the old Safex exchange, has become one of the top 10 derivatives exchanges in the world. Last year its volume rose 55.8% to 513.6 million contracts. The real story behind the JSE’s growth is the success of its single stock futures. Last year the JSE traded 431.2 million single stock futures, up 62.4% on the previous year. The JSE is now the largest single stock futures market on the planet, followed by India’s NSE at 225.8 million, Eurex at 130.2 million, NYSE Liffe at 124.1 million, Russia’s RTS at 83.7 million at Russia’s RTS, Spain’s Meff at 46.2 million, and OneChicago bringing up the rear at four million contracts.

Outlook for 2009

Looking back at 2008, it is astonishing just how complex the volume trends were. It seems almost as if the more closely we examine the data, the more confusing it gets. 

Are we headed for a severe decline in trading volume this year, as the data from the interest rate futures sector seems to suggest? Or are we instead going to be carried forward by the huge growth in emerging markets such as China and India? Can we sustain the incredible growth of equity index products that we saw in 2008, or will volume in those products decline as volatility gradually normalizes? And how much volume will come into the industry from the over-the-counter markets, now that counterparty credit risk has grabbed everyone’s attention?

There is no question that the year-over-year comparisons are not going to look very good. January of 2008 was an incredibly active month, with all sorts of volume records set on the U.S. exchanges. July was even bigger, and then in September we hit an all-time record of 1.9 billion contracts traded. It is going to take a long time before we get back to that level of trading, given all the deleveraging that has taken place and the decline in liquidity. 

It is important to keep this all in perspective, however. As the implied bid-ask spread chart shows, trading conditions have gotten significantly worse, but only compared to how things were two or three years ago. If we go back to the early part of the decade, the spreads were much wider, which is another way of saying that even now the futures markets are much more efficient than they used to be. Part of that comes from the advances in electronic trading that we have been talking about for so many years. Those advances are not likely to go away. And as the Eurodollar price discovery chart shows, the futures markets are still performing their core function in a very effective way. So there is good reason to expect that sooner or later those market participants who have pulled back from using these markets because of the financial crisis will eventually return for all the reasons they came in the first place. We just don’t know when. 

Galen Burghardt is senior vice president and director of research at Newedge and a member of the editorial advisory board of Futures Industry. He thanks Lauren Lei in the research department of Newedge for her contribution to the article. Will Acworth is editor of Futures Industry.

An Astonishing Piece of Price Discovery
Early in the year, people who traded Eurodollar futures began to express concerns about the true meaning of the British Bankers Association’s measure of thee-month LIBOR and the integrity of the cash settlement process. What made these concerns especially unsettling is that we have two huge derivatives markets—swaps and Eurodollar futures—whose usefulness to the world depends on this process working. 

If it had not been such a serious concern, it would have been amusing for those of us who are veterans of conversations about cash settlement versus delivering or settling to traded prices or rates. It’s as if the world forgot why the three-month CD contract went out of favor (credit concerns about the banks whose CDs were deliverable) and why the Eurodollar contract gained the upper hand (it settled to an abstract rate that seemed to be free from manipulation or individual banks’ credit problems). 

In spite of these concerns, the Eurodollar futures contract turned in one of the most astonishing feats of price discovery futures markets have ever seen. When the credit crisis really exploded in September, the term deposit market completely faded. Term deposit markets lost most of their liquidity. Any efforts to calculate term forward rates produced ridiculous answers. And in the midst of this, the Eurodollar futures market had to cope with the question of where the Dec 08 contract would settle. 

Consider, then, the paths that three different measures of three-month Libor rates took from the onset of the credit crisis in September through the expiration of the Dec 08 Eurodollar contract. These three rates are the rate implied by the Dec 08 Eurodollar contract, the value of three-month Libor as posted by the BBA, and a traded three-month deposit rate as measured by Bloomberg. 

For the first few days following Sept. 15, all three rates tended to rise. Then, around Sept. 25, the Eurodollar futures rate began to drift down on a glide path that would take it to about two percent in very early November. At the same time, both the BBA rate and the traded rate continued to climb and reached their peaks in early October. After this point, they too began to fall until they finally converged with the Eurodollar futures rate at expiration. Even during the last few weeks of the Eurodollar contract’s life, its implied rate clearly led the BBA and the traded rate. — Galen Burghardt

Source: Newedge



Global Listed Derivatives Volume
   Jan-Dec 2008  Jan-Dec 2007  % Change
Futures  8,291,625,474   7,217,729,477   14.9%
Options  9,361,078,147   8,308,902,627   12.7%
Total Volume  17,652,703,621   15,526,632,104   13.7%
Note: Based on the number of futures and options traded and/or cleared by 69 exchanges worldwide.
Global Listed Derivatives Volume by Category
Category  Jan-Dec 2008  Jan-Dec 2007  % Change
Equity Index  6,488,620,434  5,499,833,555  18.0%
Individual Equity  5,511,194,380  4,400,437,854  25.2%
Interest Rates  3,204,838,617  3,745,176,350  -14.4%
Agricultural  888,828,194  640,683,907  38.7%
Energy  580,404,789  496,770,566  16.8%
Currency  577,156,982  459,752,816  25.5%
Precious Metals  180,370,074  150,976,113  19.5%
Non-Precious Metals  175,788,341  106,859,969  64.5%
Other  45,501,810  26,140,974  74.1%
Total  17,652,703,621  15,526,632,104  13.7%
Note: Based on the number of futures and options traded and/or cleared by 69 exchanges worldwide.
Global Listed Derivatives Volume by Region  
  Jan-Dec 2008   Jan-Dec 2007 % Change
Asia-Pacific   4,974,727,462  4,289,600,329  16.0%
Europe  4,167,116,664  3,592,095,161  16.0%
North America  6,995,493,016  6,137,204,923  14.0%
Latin America  854,405,219  1,048,627,318 -18.5%
Other *  660,961,260  459,104,373  44.0%
Global Total  17,652,703,621  15,526,632,104  13.7%
* Other consists of exchanges in South Africa, Turkey, Israel and Dubai.
Note: Location of exchanges is determined by country of registration.

Breakdown by Region 

Jan-Dec 2008

Source: Newedge




Volatility Comparisons % Increase in Volatility
2008 over 2007 Last 4 months over first 8 months
Eurodollar Futures* 114.2% 44.1%
10 Year Treasury Note Futures 91.0% 46.8%
Euribor Futures*
172.4% 44.3%
Euro-Bund Futures
70.7% 38.0%
E-mini S&P 500 Index Futures
134.1% 214.3%
DJ Euro Stoxx 50 Index Futures
135.8% 145.1%
CBOT Wheat Futures
51.0% 2.5%
CBOT Corn Futures
30.9% 56.5%
CBOT Soybean Futures 91.8% 65.3%
Nymex Natural Gas Futures 0.6% 58.8%
Nymex Crude Oil Futures 80.2% 153.2%
ICE Brent Crude Oil Futures 82.8% 134.9%
Comex Copper Futures 30.1% 112.9%
Comex Gold Futures 77.2% 74.9%
Averages 83.05%
* Eurodollar and Euribor volatilities were calculated in basis points.  All others were calculated as relative price volatilities.
Source:  Newedge


CME Volume by Customer Segment 
  Average Daily Volume*
 Q3 08  Q4 08  Q/Q  Change
Proprietary trading firms, primarily algorthmic  4.0 3.0   -25%
Proprietary trading of banks and investment banks 1.8  1.4  -21%
Top 25 Hedge Funds 1.0  0.7  -32%
Other (includes small member firms and individual members) 2.5  1.9  -22%
Non-members (includes pension funds, index funds, long-only
mutual funds, insurance companies, corporates, active individual traders)
2.0  1.8  -13%
Total  11.4  8.9  -22%
* Legacy CME and CBOT products only. Nymex products not included. Data for prior periods not available.
Source: CME Group


Top Derivatives ExchangesWorldwide
Ranked by Number of Futures and Options Traded and/or Cleared in 2008*
This year's ranking of the world's top derivatives exchanges takes into account the wave of mergers and acquisitions that has transformed the exchange landscape over the past several years. The ranking is based on the number of futures and options traded and/or cleared at the parent company level. For a breakout of volume by each affiliated exchange, see the exchange groups table elsewhere in this issue of the magazine.
Rank   Exchange Jan-Dec 2008  Jan-Dec 2007  % Change
1 CME Group (includes CBOT and Nymex) *  3,277,645,351  3,158,383,678  3.8%
2 Eurex (includes ISE) *  3,172,704,773  2,704,209,603  17.3%
3 Korea Exchange  2,865,482,319  2,777,416,098 3.2%
4 NYSE Euronext (includes all EU and US markets) *  1,675,791,242  1,525,247,465  9.9%
5 Chicago Board Options Exchange (includes CFE) *  1,194,516,467  945,608,754  26.3%
6 BM&F Bovespa *  741,889,113  794,053,775  -6.6%
7 Nasdaq OMX Group (includes all EU and US markets) *  722,107,905  551,409,855  31.0%
8 National Stock Exchange of India   590,151,288  379,874,850 55.4%
9 JSE South Africa  513,584,004  329,642,403  55.8%
10 Dalian Commodity Exchange  313,217,957  185,614,913  68.7%
11 Russian Trading Systems Stock Exchange  238,220,708  143,978,211  65.5%
12 IntercontinentalExchange (includes US, UK and Canada markets) *  234,414,538  194,667,719  20.4%
13 Zhengzhou Commodity Exchange    222,557,134 93,052,714 139.2%
14 Boston Options Exchange  178,650,541  129,797,339  37.6%
15 Osaka Securities Exchange  163,689,348  108,916,811  50.3%
16 Shanghai Futures Exchange  140,263,185  85,563,833  63.9%
17 Taiwan Futures Exchange  136,719,777  115,150,624  18.7%
18 Moscow Interbank Currency Exchange  131,905,458  85,386,473  54.5%
19 London Metal Exchange  113,215,299  92,914,728  21.8%
20 Hong Kong Exchanges & Clearing  105,006,736  87,985,686  19.3%
21 Australian Securities Exchange (includes SFE) *  94,775,920  116,090,973  -18.4%
22 Multi Commodity Exchange of India  94,310,610  68,945,925  36.8%
23 Tel-Aviv Stock Exchange  92,574,042  104,371,763  -11.3%
24 Mercado Español de Opciones y Futuros Financieros  83,416,762  51,859,591  60.9%
25 Mexican Derivatives Exchange  70,143,690  228,972,029  -69.4%
26 Tokyo Financial Exchange  66,927,067  76,195,817  -12.2%
27 Singapore Exchange  61,841,268  44,206,826  39.9%
28 Turkish Derivatives Exchange  54,472,835  24,867,033  119.1%
29 Mercado a Termino de Rosario  42,216,661  25,423,950  66.1%
30 Tokyo Commodity Exchange  41,026,955  47,070,169  -12.8%
31 Italian Derivatives Exchange   38,928,785 37,124,922  4.9%
32 Bourse de Montreal  38,064,902  42,742,210  -10.9%
33 Tokyo Stock Exchange  32,500,438  33,093,785  -1.8%
34 National Commodity & Derivatives Exchange  24,639,710  34,947,872  -29.5%
35 Oslo Stock Exchange  16,048,430  13,967,847  14.9%
36 Budapest Stock Exchange  13,369,425  18,827,328  -29.0%
37 Warsaw Stock Exchange  12,560,518  9,341,958  34.5%
38 Tokyo Grain Exchange  8,433,346  19,674,883  -57.1%
39 Athens Derivatives Exchange  7,172,120  6,581,544  9.0%
40 Malaysia Derivatives Exchange  6,120,032  6,202,686  -1.3%
41 OneChicago  4,012,281  8,105,963  -50.5%
42 Kansas City Board of Trade  3,965,924  4,670,955  -15.1%
43 Climate Exchange (includes ECX and CCFE) *  3,295,908  1,322,079  149.3%
44 Central Japan Commodity Exchange   3,272,665 6,549,417  -50.0%
45 Thailand Futures Exchange  2,148,620  1,230,666  74.6%
46 New Zealand Futures Exchange  1,459,088  1,651,038  -11.6%
47 Minneapolis Grain Exchange  1,409,002  1,826,807 -22.9%
48 Wiener Boerse  1,129,619  1,316,895  -14.2%
49 Dubai Mercantile Exchange  330,379  223,174  48.0%
50 Kansai Commodities Exchange  183,999  164,743  11.7%
51 Mercado a Termino de Buenos Aires  155,755  177,564  -12.3%
52 US Futures Exchange  22,955  8,110  183.0%
* See the exchange groups table for a breakdown of volume among affiliated exchanges.
 Note: Ranking does not include exchanges that do not report their volume to the FIA.


Exchange Groups

The wave of mergers and acquisitions in recent years has created several companies that own as many as eight subsidiary derivatives exchanges. In addition, several exchanges have formed subsidiaries to enter new market segments. The following table shows a breakdown of group futures and options volume by subsidiary exchange.

  2008 2007 % Change
Sydney Futures Exchange
74,605,556  91,121,162  -18.1%
Australian Stock Exchange  20,170,364  24,969,811  -19.2%
Australian Securities Exchange  94,775,920  116,090,973  -18.4%
Bolsa de Mercadorias & Futuros 391,614,615   426,363,492 -8.2%
Bolsa de Valores de São Paulo  350,274,498  367,690,283  -4.7%
BM&F Bovespa  741,889,113  794,053,775  -6.6%
Chicago Board Options Exchange  1,193,355,070   944,472,459 26.4%
CBOE Futures Exchange  1,161,397  1,136,295  2.2%
CBOE Holdings  1,194,516,467  945,608,754  26.3%
European Climate Exchange 
2,811,586  1,038,321  170.8%
Chicago Climate Futures Exchange  484,322  283,758  70.7%
Climate Exchange  3,295,908  1,322,079  149.3%
Chicago Mercantile Exchange 
1,893,402,536  1,775,429,438  6.6%
Chicago Board of Trade  960,777,756  1,029,568,803  -6.7%
New York Mercantile Exchange  423,465,059  353,385,437  19.8%
CME Group   3,277,645,351  3,158,383,678  3.8%
Eurex 2,165,043,183  1,899,861,926  14.0%
International Securities Exchange  1,007,661,590   804,347,677 25.3%
Eurex   3,172,704,773  2,704,209,603  17.3%
ICE Futures Europe 
150,138,547  137,432,635  9.2%
ICE Futures U.S.  80,954,781  53,782,919  50.5%
ICE Futures Canada  3,321,210  3,452,165  -3.8%
IntercontinentalExchange*  234,414,538  194,667,719  20.4%
* does not include OTC transactions or ECX products  
Philadelphia Stock Exchange 
547,456,114  407,972,525  34.2%
Nasdaq OMX Group (Nordic markets)  143,426,572  143,437,330  0.0%
Nasdaq Options Market (U.S.)  31,225,219  0 NA
Nasdaq OMX Group   722,107,905  551,409,855  31.0%
Liffe U.K. 
809,450,611  695,974,929  16.3%
NYSE Arca Options  416,938,764  335,838,547  24.1%
American Stock Exchange  207,285,283  240,383,466  -13.8%
Liffe Amsterdam  142,136,885  159,827,511  -11.1%
Liffe Paris  96,440,021  90,868,890  6.1%
NYSE Liffe  1,837,543  NA
Liffe Brussels  1,212,244  1,348,884  -10.1%
Liffe Lisbon 489,891  1,005,238  -51.3%
NYSE Euronext   1,675,791,242  1,525,247,465  9.9%
Note: Volume based on the number of futures and options contracts traded and/or cleared.


Top 20 Interest Rate Futures and Options Worldwide
Ranked by Number of Contracts Traded in 2008
Rank   Contract Jan-Dec 2008  Jan-Dec 2007  % Change
1 Eurodollar Futures, CME  596,974,081   621,470,328 -3.9%
2 Euro-Bund Futures, Eurex  257,827,619  338,319,416  -23.8%
3 10 Year Treasury Note Futures, CME  256,770,689  349,229,371  -26.5%
4  Euribor Futures, Liffe  228,487,462  221,411,485  3.2%
5 Eurodollar Options on Futures, CME   228,224,397 313,032,284  -27.1%
6 Euro-Schatz Futures, Eurex  174,226,719  181,101,310  -3.8%
7 5 Year Treasury Note Futures, CME  168,127,469   166,207,391 1.2%
8 One Day Inter-Bank Deposit Futures, BM&F  166,983,583  221,627,417  -24.7%
9 Euro-Bobl Futures, Eurex  155,090,861  170,909,055  -9.3%
10 Euribor Options on Futures, Liffe  106,730,522   74,276,297 43.7%
11 Short Sterling Futures, Liffe  104,572,875  119,675,947  -12.6%
12 30 Year Treasury Bond Futures, CME  89,464,546  107,630,211  -16.9%
13 2 Year Treasury Note Futures, CME  79,311,002  68,610,392  15.6%
14 Short Sterling Options on Futures, Liffe  59,079,440  50,747,710  16.4%
15 TIIE 28 Futures, Mexder  57,881,101  220,608,024  -73.8%
16 10 Year Treasury Note Options on Futures, CME  56,753,688  61,528,219  -7.8%
17 Euro-Bund Options on Futures, Eurex  33,317,879  44,441,961  -25.0%
18 3 Year Treasury Bond Futures, ASX  26,116,381  33,585,015  -22.2%
19 Long Gilt Futures, Liffe  24,717,249  27,367,489  -9.7%
20  Euroyen Futures, TFX  22,372,133  38,952,553  -42.6%


Top 20 Equity Index Futures and Options Worldwide
Ranked by Number of Contracts Traded and/or Cleared in 2008
Rank   Contract Jan-Dec 2008  Jan-Dec 2007  % Change
1 Kospi 200 Options, KRX  2,766,474,404  2,709,844,077  2.1%
2 E-mini S&P 500 Futures, CME  633,889,466  415,348,228  52.6%
3 DJ Euro Stoxx 50 Futures, Eurex  432,298,342  327,034,149  32.2%
4 DJ Euro Stoxx 50 Options, Eurex  400,931,635  251,438,870  59.5%
5 SPDR S&P 500 ETF Options *  321,454,795   141,614,736 127.0%
6 Powershares QQQ ETF Options *  221,801,005  185,807,535  19.4%
7 S&P CNX Nifty Futures, NSE India  202,390,223  138,794,235  45.8%
8 S&P 500 Options, CBOE  179,019,155  158,019,723  13.3%
9 iShares Russell 2000 ETF Options *  151,900,495  154,059,054  -1.4%
10 S&P CNX Nifty Options, NSE India  150,916,778  52,707,150 186.3%
11 Financial Select Sector SPDR ETF Options *   119,671,026 39,130,620  205.8%
12 E-mini Nasdaq 100 Futures, CME  108,734,456  95,309,053  14.1%
13 Dax Options, Eurex  104,939,881  91,850,835  14.3%
14 Nikkei 225 Mini Futures, OSE  95,446,729  49,107,059  94.4%
15 Taiex Options, Taifex  92,757,254  92,585,637  0.2%
16 RTS Index Futures, RTS  87,469,405  34,228,973  155.5%
17 TA-25 Options, TASE  81,483,701   94,520,236 -13.8%
18 Kospi 200 Futures, KRX  64,835,148  47,758,294  35.8%
19 Mini-sized $5 DJIA Futures, CME  55,348,312  40,098,882  38.0%
20 CAC 40 Futures, Liffe  49,242,000  44,668,975  10.2%
* Traded on multiple U.S. options exchanges


Top 20 Agricultural Futures and Options Worldwide
Ranked by Number of Contracts Traded and/or Cleared in 2008
Rank   Contract Jan-Dec 2008  Jan-Dec 2007  % Change
1 White Sugar Futures, ZCE  165,485,978  45,468,481  264.0%
2 No. 1 Soybeans Futures, DCE  113,681,550  47,432,721  139.7%
3 Soy Meal Futures, DCE   81,265,439 64,719,466  25.6%
4 Corn Futures, CME  59,957,118  54,520,152  10.0%
5 Corn Futures, DCE  54,976,724  59,436,742  -7.5%
6 Rubber Futures, SHFE  46,461,103  42,191,727  10.1%
7 Soy Oil Futures, DCE  43,695,993  13,283,866  228.9%
8 Soybean Futures, CME  36,373,096  31,726,316  14.6%
9 Strong Gluten Wheat Futures, ZCE  27,509,312  38,982,788  -29.4%
10 Sugar #11 Futures, ICE Futures U.S.  27,019,704   21,263,799 27.1%
11 Corn Options on Futures, CME  20,992,582  14,691,277  42.9%
12 Wheat Futures, CME  19,011,928  19,582,706  -2.9%
13 Soybean Oil Futures, CME  16,928,361  13,170,914  28.5%
14 Soybean Meal Futures, CME  13,354,174  12,213,315  9.3%
15 Soybean Options on Futures, CME  9,806,935  8,215,582  19.4%
16 Live Cattle Futures, CME  9,801,360  8,587,973  14.1%
17 Sugar #11 Options on Futures, ICE Futures U.S.  9,179,779  5,548,668  65.4%
18 Lean Hog Futures, CME  8,505,138  7,264,832  17.1%
19 Rapeseed Oil Futures, ZCE  6,429,404   659,612 874.7%
20 Palm Oil Futures, DCE  6,302,478   339,175 1758.2%

Top 20 Energy Futures and Options Worldwide
Ranked by Number of Contracts Traded and/or Cleared in 2008
Rank   Contract Jan-Dec 2008  Jan-Dec 2007  % Change
1 Light, Sweet Crude Oil Futures, CME  134,674,264  121,525,967  10.8%
2 Brent Crude Oil Futures, ICE Futures Europe  68,368,145  59,728,941  14.5%
3 WTI Crude Oil Futures, ICE Futures Europe   51,091,712  51,388,362 -0.6%
4 Natural Gas Futures, CME  38,730,519  29,786,318  30.0%
5 Light Sweet Crude Oil Options on Futures, CME  35,255,326  28,398,793  24.1%
6 Henry Hub Natural Gas Swap Futures, CME *  31,401,575  16,207,044  93.8%
7 European Style Natural Gas Options, CME *  31,158,326  29,921,068  4.1%
8 Fuel Oil Futures, SHFE  30,810,540  12,005,094  156.6%
9 Gas Oil Futures, ICE Futures Europe  28,805,192  24,509,884  17.5%
10 NY Harbor RBOB Gasoline Futures, CME  20,522,571  19,791,439  3.7%
11 Crude Oil Futures, MCX  20,507,001  13,938,813  47.1%
12 No. 2 Heating Oil Futures, CME  19,583,052  18,078,976  8.3%
13 Henry Hub Penultimate Swap Futures, CME *   12,352,928 10,117,889  22.1%
14 miNY Crude Oil Futures, CME  5,641,145  5,185,214  8.8%
15 Gasoline Futures, Tocom  4,054,761  7,529,706  -46.1%
16 European Style Crude Oil Options, CME *  3,580,861  1,879,999  90.5%
17 Natural Gas Options on Futures, CME  2,336,287  5,051,879  -53.8%
18 Crude Oil Average Price Options, CME *  2,227,738  1,445,930  54.1%
19 Panhandle Basis Natural Gas Swap Futures, CME *  2,017,371  1,497,748  34.7%
20 ECX CFI Futures, European Climate Exchange  1,991,276  980,780  103.0%
* cleared via Clearport

Top 20 Metals Futures and Options Worldwide 
Ranked by Number of Contracts Traded and/or Cleared in 2008
Rank   Contract Jan-Dec 2008  Jan-Dec 2007  % Change
1 High Grade Primary Aluminum Futures, LME    48,307,389 40,229,693 20.1%
2 Gold Futures, Nymex  38,377,367  25,060,440  53.1%
3 Copper Futures, LME  26,507,242  21,420,450  23.7%
4 Zinc Futures, SHFE 23,538,897 10,215,449 130.4%
5 Copper Futures, SHFE  20,773,258  16,328,011  27.2%
6 Special High Grade Zinc Futures, LME  16,120,770  12,556,285  28.4%
7 Gold Futures, Tocom  15,163,975  18,203,194  -16.7%
8 Aluminum Futures, SHFE  14,788,920  4,823,552  206.6%
9 Copper Futures, MCX  14,277,796  15,375,506  -7.1%
10 Gold Futures, MCX  14,024,217  7,604,891  84.4%
11 Silver M Futures, MCX  12,913,443  6,258,376  106.3%
12 Silver Futures, MCX  10,972,676  9,183,273  19.5%
13 Gold M Futures, MCX  10,027,147  2,735,595  266.5%
14 Silver Futures, Nymex  8,917,183  6,817,137  30.8%
15 SPDR Gold Shares ETF Options* 8,602,428 NA  

Platinum Futures, Tocom





Standard Lead Futures, LME




18 Gold Mini Futures, Tocom  5,736,883  455,212  1160.3%
19 NT Dollar Gold Futures, Taifex ** 5,314,069  NA
20 Primary Nickel Futures, LME  5,202,609  3,792,788 37.2% 
* Began trading in June 2008 on multiple US options exchanges
**Taifex began trading NT dollar gold futures in January 2008


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