Metals

The COMEX Aluminum Futures contract (ALI) continued to display positive signs of development during the month of July. Average Open Interest rose 89% MoM in July to 477 contracts (11.9k MT), the highest level in more than 17-months. Average daily volume rose +20% MoM in July to 687 contracts (17.2k MT), the second highest monthly total on record and a 90% increase YoY. Trading during the first week of August has been exceptionally strong, with an average daily volume of 2,256 contracts.

Energy

On Friday August 6th,  Micro Crude Oil futures (MCL) crossed an important milestone of 1 million traded since launch. Despite the low volatility environment in WTI Crude markets, strong activity in MCL is reflective of the robust client demand and the vital role WTI Crude plays in commodity trading. A press release was published along with testimonials from our retail channel partners.

Additional stats to demonstrate the high level of participation we have seen in the market:

  • 29% of MCL volume is traded during Non-US Hours (5.00 PM – 7.00 AM CST) which is higher than CL futures with 20% of CL futures traded during Non-US hours
  • Open Interest in MCL has grown steadily since launch with OI on 6 Aug at high of 12,018 contacts, up from 662 contracts on 12 July (Chart Below)
  • Participation from 14 liquidity providers in MCL as of Aug 6th
  • Over 80 unique firms participating in MCL
  • Over 9,000 unique users trading MCL since launch (Chart Below)
  • Over 4,000 MCL participants have not traded any other crude products (CL or QM futures) in 2021

FX

On August 3rd, the CFTC reported FX Futures Large Open Interest Holders (LOIH) of 1,247 (+17% YoY), approximately 5% below the all-time high-level set-in February 2020 (1,310) and +33% from the March 2020 low (941). Asset managers have primarily driven this increase, with recent record asset manager net long positions set in EUR (384k; $56.6bn), CAD (71.9k; $5.8bn) and GBP (26.4k; $2.3bn). LOIH growth in the emerging market currency pairs has also been strong, with EM LOIH of 322 +32% YoY and recent records in ZAR (44 on 3 Aug), RUB (58 on 6 Jul) and EUR/JPY (29 on 3 Aug).

Ags

SAS volume in June: futures volume of 3,160 lots; open interest of 873 lots at month-end. Black Sea wheat volume in June: futures volume of 31,379 lots (new record high), 500 lot’s options traded; open interest (across F&O) of 24,780 lots at month-end. Get the latest highlights for international grains here.

Equities

S&P 500 Annual and Quarterly Dividend Futures trading continues to grow, offering market participants the opportunity to hedge a view on the U.S. dividend market. S&P 500 Annual Dividend futures (SDA) YTD ADV is 3,243 (+20% vs. 2020) and OI is averaging 789.2K (+19% vs. 2020). S&P 500 Quarterly Dividend futures (SDI) Q3-21 ADV to-date is 261 and OI is averaging 4.8K. There was a record 2,352 SDI contracts traded on July 27th.

Rates

Micro Treasury Yield Futures launch this upcoming Monday, August 16, 2021. As noted below, the listings include Micro 2-Year, 5-Year, 10-Year, and 30-Year Yield Futures contracts. All contracts are micro sized, traded in yield terms and cash-settled.

For more information, CME Group staff recently conducted a webinar that dives deeper into the fundamentals and key futures concepts of the new Micro US Treasury contract. Below is a quick summary of the contracts’ specifications, which can also be found in the SER or on the CME website.

Original report published on CME Group.

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