OneChicago, the electronic trading joint venture between the Chicago Board Options Exchange Incorporated (CBOE), the Chicago Mercantile Exchange (CME) and the Chicago Board of Trade (CBOT), says that 272,719 security futures contracts were traded at the Exchange in May, a 5% increase over May 2005. Average daily volume (ADV) was 12,396. Year-to-date volume is up 40% over 2005. Open interest stood at 802,854 contracts on 31 May.
The top five single stock futures contracts by volume in May were Altria Group Inc. (MO1C) Merck & Co. Inc. (MRK1C) Bank Of America Corp. (BAC1C) Pfizer (PFE1C) United Technologies Corp. (UTX1C) The Exchange lists 205 futures on single stocks, including futures on the DIAMONDS Trust, as well as five OneChicago Select Indexes, a series of customer-designed narrow-based security index futures.
OneChicago rules permit block and EFP trading and a substantial percentage of the Exchange’s volume results from such trades.