Global Derivatives ADV Up 12% Year-over-Year; U.S. Equity Options ADV Up 17%
NYSE Liffe U.S. Crosses One Million Contracts in Total Exchange Open Interest European Cash ADV Up 9%; U.S. Cash ADV Down 11%
NYSE Euronext (NYX) today announced trading volumes for its global derivatives and cash equities exchanges for December 2011[1]. Global derivatives average daily volume (“ADV”) of 7.5 million contracts in December 2011 increased 11.8% versus the prior year with U.S. equity options increasing 17.1%. Cash equities ADV in December 2011 were mixed, with European cash trading ADV increasing 9.0% and U.S. cash trading ADV decreasing 10.6% from December 2010 levels.
Highlights
• NYSE Euronext global derivatives ADV in December 2011 of 7.5 million contracts increased 11.8% compared to December 2010, but decreased 10.1% from November 2011 levels.
• NYSE Euronext European derivatives products ADV in December 2011 of 3.4 million contracts increased 4.2% compared to December 2010, but decreased 13.4% from November 2011 levels. Excluding Bclear, NYSE Liffe’s trade administration and clearing service for OTC products, European derivatives products ADV decreased 8.3% compared to December 2010 and decreased 29.5% from November 2011.
• NYSE Euronext U.S. equity options (NYSE Arca and NYSE Amex) ADV of 3.9 million contracts in December 2011 increased 17.1% compared to December 2010 levels, but decreased 7.3% from November 2011. NYSE Euronext’s U.S. options exchanges accounted for 27.7% of total U.S. consolidated equity options trading in December 2011, up from 23.1% in December 2010, but down from a record 28.1% in November 2011.
• NYSE Liffe U.S. ADV of approximately 89,600 contracts increased from 13,000 contracts in December 2010 and increased from 88,500 contracts in November 2011.
• NYSE Liffe U.S. reached one million lots in total Exchange Open Interest in December 2011, less than one year after introducing its suite of interest rate futures contracts, underscoring the liquidity across asset classes and continued high levels of customer participation. Open interest market share in Eurodollar futures represented 10% of open interest traded on our nearest competitor.
• NYSE Euronext European cash products ADV of 1.3 million transactions in December 2011 increased 9.0% compared to December 2010, but decreased 19.9% from November 2011 levels.
• NYSE Euronext U.S. cash products (NYSE, NYSE Arca and NYSE Amex) handled ADV of 1.8 billion shares in December 2011 decreased 10.6% compared to December 2010 and decreased 14.9% compared to November 2011. NYSE Euronext’s Tape A matched market share in December 2011 was 33.4%, down from 35.0% in December 2010 and down from 34.1% in November 2011.
• There were a total of 21 trading days in Europe and the U.S. in December 2011 compared to 23 trading days in Europe and 22 trading days in the U.S. in December 2010.
• The preliminary average net revenue per transaction type (as defined below) for each of the primary trading venues in the fourth quarter of 2011 is included below:
| 3Q11 Actual | 4Q11 Preliminary | |
| European Derivatives (ex. Bclear)1 | $0,679 | $0,698 |
| U.S. Derivatives2 | $0,154 | $0,148 |
| European Cash3 | $0,635 | $0,579 |
| U.S. Cash4 | $0,038 | $0,039 |
1 Average net revenue per contract, excluding Bclear.
2 Average net revenue per contract.
3 Average net revenue per transaction.
4 Average net revenue per 100 shares handled.
Derivatives Trading
European Derivatives
• NYSE Euronext European derivatives products ADV in December 2011 was 3.4 million futures and options contracts, an increase of 4.2% from December 2010, but a decrease of 13.4% from November 2011.
• The 3.4 million in European derivatives futures and options contracts ADV in December 2011 consisted of 2.2 million contracts executed through our full-service LIFFE CONNECT trading platform and 1.2 million contracts, or 36.0%, executed through Bclear, NYSE Liffe’s trade administration and clearing service for OTC products. Excluding Bclear, European derivatives products ADV decreased 8.3% compared to December 2010 and decreased 29.5% from November 2011.
• In the fourth quarter of 2011, European derivatives products ADV of 3.6 million contracts was 3.3% below prior year levels. The 3.6 million in futures and options contracts ADV in the fourth quarter of 2011 consisted of 2.7 million contracts executed through LIFFE CONNECT trading platform and 0.9 million contracts, or 24.0%, executed through Bclear. Excluding Bclear, European derivatives products ADV in the fourth quarter of 2011 decreased 4.5% compared to the prior year period.
• For the full-year 2011, European derivatives products ADV of 4.5 million contracts was 5.7% below prior year levels. The 4.5 million in futures and options contracts ADV For the full-year 2011 consisted of 3.3 million contracts executed through the LIFFE CONNECT trading platform and 1.1 million contracts, or 25.5%, executed through Bclear.
• Total fixed income products ADV of 1.4 million contracts in December 2011 decreased 8.2% from December 2010 and decreased 36.7% from November 2011. In the fourth quarter of 2011, total fixed income products ADV of 1.8 million contracts was 0.9% below prior year levels. For the full-year 2011, total fixed income products ADV of 2.3 million contracts was 1.2% below prior year levels.
• Total equity products (including Bclear) ADV of 2.0 million contracts in December 2011 increased 14.4% compared to December 2010 and increased 14.2% from November 2011. The 2.0 million contracts in equity products ADV consisted of 1.5 million contracts in individual equity products ADV and 0.5 million contracts in equity index products ADV. The 1.5 million contracts in individual equity products ADV consisted of 1.1 million in futures contracts, which represented a 43.8% increase compared to December 2010 and 0.5 million in options contracts, which represented a 15.2% decrease compared to December 2010. The average net rate per contract for individual equity futures contracts is significantly lower than other products traded on NYSE Liffe. In the fourth quarter of 2011, total equity products ADV of 1.7 million contracts was 5.9% below prior year levels. For the full-year 2011, total equity products ADV of 2.1 million contracts was 10.8% below prior year levels.
• Total commodities products ADV of 68,000 contracts in December 2011 increased 6.4% compared to December 2010 and was down 0.9% compared to November 2011. In the fourth quarter of 2011, total commodities product ADV of 72,000 contracts was 4.2% above prior year levels. For the full-year 2011, total commodities product ADV of 81,000 contracts was 24.8% above prior year levels. U.S. Derivatives
• NYSE Euronext U.S. equity options (NYSE Arca and NYSE Amex) ADV of 3.9 million contracts in December 2011 increased 17.1% compared to December 2010, but decreased 7.3% compared to November 2011. In the fourth quarter of 2011, U.S. equity options ADV of 4.3 million contracts was 15.4% above prior year levels. For the full-year 2011, U.S. equity options ADV of 4.4 million contracts was 20.0% above prior year levels.
• Total U.S. consolidated equity options ADV decreased 2.4% to 14.2 million contracts in December 2011 compared to December 2010 and decreased 5.9% compared to November 2011. In the fourth quarter of 2011, U.S. consolidated equity options ADV of 15.5 million contracts was 2.4% above prior year levels. For the full-year 2011, U.S. consolidated equity options ADV of 16.8 million contracts was 17.0% above prior year levels.
• NYSE Euronext’s U.S. options exchanges accounted for 27.7% of the total U.S. consolidated equity options trading in December 2011, up from 23.1% in December 2010, but down from a record 28.1% in November 2011.
• NYSE Liffe U.S. ADV of approximately 89,600 contracts increased from 13,000 contracts in December 2010 and increased from 88,500 contracts in November 2011. In the fourth quarter of 2011, U.S. futures and futures options ADV was 91,200 contracts compared to 14,900 contracts in the prior year quarter. For the full-year 2011, U.S. futures and futures options ADV of 81,200 contracts was 401.3% above prior year levels, driven by the launch of interest rate futures contracts in March 2011.
• NYSE Liffe U.S. reached one million lots in total Exchange Open Interest in December 2011, less than one year after introducing its suite of interest rate futures contracts, underscoring the liquidity across asset classes and continued high levels of customer participation. Open interest market share in Eurodollar futures represented 10% of open interest traded on our nearest competitor.
Cash Trading
European Cash
• NYSE Euronext European cash products ADV of 1.3 million transactions in December 2011 increased 9.0% compared to December 2010, but decreased 19.9% compared to November 2011.
• In the fourth quarter of 2011, European cash products ADV of 1.6 million transactions was 13.2% above prior year levels. • For the full-year 2011, European cash products ADV of 1.7 million transactions was 17.1% above prior year levels. U.S. Cash
• NYSE Euronext U.S. cash products handled ADV in December 2011 decreased 10.6% to 1.8 billion shares compared to December 2010 and decreased 14.9% from November 2011.
• In the fourth quarter of 2011, U.S. cash products handled ADV was 2.1 billion shares, down 4.5% from prior year levels. • For the full-year 2011, U.S. cash products handled ADV was 2.3 billion shares, down 12.1% from prior year levels.
• NYSE Euronext’s Tape A matched market share in December 2011 was 33.4%, down from 35.0% in December 2010 and down from 34.1% in November 2011. Exchange Traded Funds • NYSE Euronext U.S. matched exchange-traded funds ADV (included in volumes for Tape B and Tape C) of 248 million shares in December 2011 increased 15.7% compared to December 2010, but decreased 22.7% compared to November 2011.
• In the fourth quarter of 2011, NYSE Euronext U.S. matched exchange-traded funds ADV of 323 million shares was 16.9% above prior year levels.
• For the full-year 2011, NYSE Euronext U.S. matched exchange-traded funds ADV of 324 million shares was 2.6% below prior year levels.
Other Metrics • On December 22, 2011, BlueNext S.A., a joint venture with Caisse des Dépôts, reached a settlement with the French tax authorities regarding its liability arising from a tax audit for the period January 2006 through May 2009. The settlement amount, including penalties, is €31.8 million. NYSE Euronext will record its 60% share of the joint venture’s settlement amount during the quarter ending December 31, 2011 as a non-recurring charge.
• The average EUR/USD exchange rate for the fourth quarter of 2011 of $1.35 represented a decrease of 4.6% from the third quarter of 2011 and a decrease of 0.8% compared to the fourth quarter of 2010.
• The average GBP/USD exchange rate for the fourth quarter of 2011 of $1.57 represented a decrease of 2.4% from the third quarter of 2011 and a decrease of 0.5% compared to the third quarter of 2010. [1]All NYSE Euronext derivatives transactions count buy and sell orders together as a single transaction. NYSE Euronext European equities transactions count each buy and sell order as separate transactions, NYSE Euronext U.S. equities transactions count buy and sell orders together as a single transaction.
Appendix: the Monthly Transaction Activity Data Table.
