CME Rate Recaps

Highlights

• Record use of extremely liquid CME Eurodollar and Treasury Options, and Eurodollar and Fed Fund Futures for risk management in times of interest rate uncertainty
• Participation and open interest reach new highs in CME SOFR Futures

• Eurodollar Futures ADV: 3.9M, +55% YoY
• Record Fed Funds Futures ADV: 588K, +112% YoY

Eurodollar Options:

Treasury Options: 2 expirations every week (Wed and Fri)

• ADV: 1.1M, +17% YoY
• Electronic ADV: 877K (253K during European and Asian hours)

SOFR Futures:

• Open Interest reached new high of 168K contracts ($533B notional) with record 99 OI holders in Jun
• Floating-rate note issuance hit a record $36B in June** (source Bloomberg)
• 27 institutions have issued $148B since Fannie Mae's inaugural SOFR notes in June 2018

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Equity Derivatives Monthly - May 2019

The Australian sharemarket performed strongly last month in the wake of the Federal election. SPI future volumes increased by nearly 10% compared to May 2018 however Index and Single Stock option volumes declined slightly last month compared to the same time last year.

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ASX Grains Focus

In the April 2019 ASX Grains Focus monthly report:

Average volume for the month of April, as expected this time of year, with Open Interest still above seasonal norms. There has been a decline in the May19/Jan20 EA Wheat spread from 58 to 20 range.

Eastern Australian Wheat futures saw a sharp sell off in the last few days of trading, and this saw the ASX Jan vs CBOT Dec premium come in. During the month of April it moved to 98.4 area to retract back down to mid 70's.

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Equity Derivatives Monthly - March 2019

SPI volumes have broken another record with over 2.2million contracts trading in March up 20% year on year and up 10% since last roll/previous record (December).

Single Stock Options and Index Options saw a slight decline, however Total Return Single Stock (TORESS) LEPOs were at their highest level since June 2017 with an increase of 232% compared with March 2017.

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Australian Grains Market

March 2019

March 2019 delivery saw a total of 47,180 tonnes being tendered substantially higher than the March 2018 delivery of 27,740 tonnes, proving the ASX futures are continuing to be used for physical delivery as well as a price/risk management tool.

Aggregate Open Interest in the East Australia Wheat contract (9892 lots) still remains substantially higher than the last couple of years at this time.

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CME Group: Political Brinkmanship

Could U.S. political brinkmanship cause a government shutdown and technical debt default, putting the economy at risk in the fourth quarter?

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CME Group: Crude Oil Insights Monthly Report

Highlights:

• Benchmark crude futures averaged 7% higher in February compared with January, continuing to be buoyed by growing optimism over a US-China trade deal. However, by early March, the rally had stalled. The path to a trade agreement has been tough and the negotiating teams have been working through major hurdles right into the final stages, especially around the structural changes Washington has demanded of Beijing and the implementation mechanism.

• As a rising tide of crude from the Permian begins to flow to refineries and export terminals along the US Gulf Coast, the market needs a reliable and transparent value for the barrels at oil  terminals on the USGC. The recently-launched WTI Houston crude futures contract aims to serve that purpose.

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ASX Equity Derivatives Monthly - February 2019

SPI volumes were still strong against the previous month but down compared to the record volume we saw in February 2017 due to lower volatility. Single stock options had a slight increase in volumes whilst Index options followed the futures trend down.

Australian equities did perform better than all other asset classes last month with good gains across several sectors. A-REITs saw the strongest returns and Financials were helped by the relief that the Royal Commission was not as bad as feared for the banks.

VIX remained flat hovering from 13 down to 12 by month end.

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CME Group: Market Movers - March Crop Production Report

Industry experts Dave Hightower and Dan Basse preview the March Crop Production report to be released on 8^th March 2019.

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Phase Transitions: Major changes for markets to navigate

From the rising cost of capital to the trade war and key demographic changes, markets have to navigate through a series of phase transitions in 2019.

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What's in store for Markets in 2019? Key themes to watch

Markets could see elevated volatility in 2019 as the lag effects of the trade war and massive tax cuts that have widened the budget deficit, resulting in a jump in Treasury yields, hit home. And, the deceleration in the growth of corporate profits could make it a challenging year for equities and test the pace of Fed rate hikes.

• Will lag effects of interest rate hikes, trade war with China show up in 2019?
• Oil market overwhelmed by rising supply; U.S. shale producers keep pumping
• Could equities volatility escalate in 2019 as bond yields rise amid growing budget deficit?
• FX markets could be driven by country-specific issues from UK to Brazil to China

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US Election Risk?

Hedge market-moving impacts with equity options

The November 6 U.S. Midterm elections are fast approaching, and the uncertainty of new policies or a divided congress can impact volatility and stock prices.

In the November 2016 U.S. election, equity index options volume rapidly rose overnight, with 655K E-mini S&P 500 options traded before the U.S. market opened the next day. Similarly, 475K+ contracts were traded overnight around the Brexit vote in June 2016.

Take advantage of the around-the-clock liquidity of our futures and options products to help you stay ahead of this election.

• Use Monday and Wednesday options: E-mini and standard S&P 500 options expiring on November 5 (E1AX8 and S1AX8) and November 7 (E1CX8 and S1CX8).
• Use S&P Select Sector futures, across 11 sectors, to further express your view and complement your trading strategy.

ASX Equity Derivatives Monthly - September 2018

Strong SPI volumes led equity derivative markets in September increasing by 15% compared with last year.

We had a record day with 666,674 SPI contracts traded on Tuesday the 18th thanks to large roll activity.

Single stock and Index option volumes were subdued compared with last year, however further trades in ASX Equity FlexClear and improved weekly option volumes provided some positive notes.

In general market news, VIX looked to be on the rise early in the month thanks to weaker equity markets but as market conditions improved VIX retreated back to its recent levels and finished the month a touch over 10.5.

The resource sector was the ASX 200 standout performer in September, helped by the strength in iron ore and oil prices. All other sector/market themes eased back, with financials again suffering a notable loss.

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CME Group: Market Movers - Looking ahead to the October Crop Report

Industry experts Dave Hightower, Founding Principal of The Hightower Report, and Dan Basse, President of AgResource Company, preview the October Crop report and discuss why this report will be more focused on supply vs. demand.

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ASX Grains Focus

In the September 2018 ASX Grains Focus monthly report:

• Total traded volume of 10,381 lots across EA Wheat contracts, approaching 10,611 lot monthly record set in December 2016
• Prices continue to trend higher with high of $450 in the Jan'19 EA Wheat contract
• Record dry conditions persist in much of NSW

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CME Group: Market Movers - Looking ahead to the September Crop Report

Industry experts Dave Hightower, Founding Principal of The Hightower Report, and Dan Basse, President of AgResource Company, preview the September 12 USDA report discussing corn and soybean yields in advance of its publication.

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ASX Grains Focus

In the August 2018 ASX Grains Focus monthly report:

• Record trading volume for the Calendar Yr with 9,750 lots
• High price of $410 in Eastern Australian Wheat

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ASX Grains Focus

In the July 2018 ASX Grains Focus monthly report:

• Record dry conditions persist across East Coast cropping regions
• ASX Grain futures flat price and basis trade at contract highs
• Increasing activity in ASX red crop wheat futures

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CME Products: Top 20 Futures for July 2018 8am-8pm (AEST)

CME Group: Trade war implications for the economy and markets

Fallout from the escalating Sino-U.S. trade war is rippling through financial and commodity markets and if prolonged could impede growth in both nations.

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Equity Derivatives Monthly - July 2018

2017/18 Financial Year in Review

It was the year of the index for equity derivatives. Index futures volumes up 13% and index options volumes up 20% compared with FY 16/17. Average daily volume for the year was 55,000 (index futures) and 50,000 (index options) equating to $8.5 and $3.1 billion notional value traded per day.

Interestingly non-roll months drove the increased futures turnover up 20% for the year thanks to increased volatility in February and April. Whilst index option weekly expiries continue to grow now accounting for 1 in every 5 trades in index options.

June Statistics

June 2018 saw the Australian market close at its highest level in 10 years (6194) up 3.4% for the month. The ASX200 outperformed global markets due to strength in the resource and energy sectors and a turnaround in the performance of the banks after pressure on prices related to the Royal Commission.

World market growth was characterised by continued strength in developed markets; particularly in the US, after a strong US reporting season. Europe was soft while Asia (excluding Japan) and emerging markets (EM) were off by 2-3%.

Record volumes in SPI futures with just under 2 million contracts trading up 8% vs 2017. VIX is slightly up from last month currently at 13.5 and hovering between 12.5 and 13.5 for the month.

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CME Group: Looking ahead to the July Crop Report

Is the USDA forecasting politics instead of pure model/survey for their July WASDE report? Industry exports Dave Hightower, Founding Principal of the Hightower Report, and Dan Basse, President of AgResource Company discuss this and more.

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ASX Grain Focus

In the July 2018 ASX Grains Focus monthly report:

• Australian wheat basis firm with patchy rain across East Coast
• BOM's El Nino watch upgraded from "Inactive" to "Watch"
• ABARES decrease Australian wheat production estimate

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CME Group: Factors likely to shape Fed's interest rate path in H2 2018

Video highlights:

• Fed could hike rates at least once in H2 2018 as core inflation edges up
• A second rate increase in H2 is possible but dependent on inflation data
• Fed aiming for 'rate neutrality', when Fed funds rate equals core inflation
• 10-year Treasury Note at 3% could be a floor, not ceiling, if inflation strengthens

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CME Group: OPEC Watch Tool

Stay up to date with the latest probabilities of the OPEC meeting expected outcomes with the CME OPEC Watch Tool.

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