CFTC Annual Report 1997

Futures Contract Market Review/Estimated Average Open Interest, 12-Month Volume of Trading and Deliveries/Cash Settlement by Commodity and Exchange for Fiscal Years Ending September 30, 1996, and September 30, 1997

Monthend
Open Interest

Volume of
Trading

Total Contracts
Settled by Delivery
or Cash Settlement

Contract
Unit

(Contracts)

(Contracts)

(Contracts)

1995-96 1996-97 1995-96 1996-97 1995-96 1996-97
Chicago Board of Trade(CBT)
Wheat 5,000 Bu. 88,154 81,196 5,690,938 4,861,526 5,744 9,807
Corn 5,000 Bu. 411,667 315,286 20,335,842 16,659,122 14,442 5,538
Oats 5,000 Bu. 12,845 9,693 548,236 388,890 1,367 2,908
Rough Rice 200,000 Lbs. 4,461 5,790 128,135 156,956 3,178 3,573
Soybeans 5,000 Bu. 187,677 162,900 13,711,569 14,655,013 28,110 12,164
Soybean Oil 60,000 Lbs. 84,904 96,497 4,831,037 5,134,940 108,045 128,769
Soybean Meal 100 Tons 92,488 102,287 6,028,850 6,286,970 30,373 1,380
Fosfa Edible Oil Index 100 Tons 0 0 0 0 0 0
U.S. Corn Yield Insurance Yield est x 100 49 75 338 773 96 89
Iowa Corn Yield Insurance Yield est x 100 218 36 1,486 229 670 88
Illinois Corn Yield Insurance Yield est x 100 11 17 27 151 4 17
Nebraska Corn Yield Insurance Yield est x 100 9 5 26 18 5 2
Ohio Corn Yield Insurance Yield est x 100 13 10 40 54 8 3
Indiana Corn Yield Insurance Yield est x 100 2 3 12 11 2 1
Diammonium Phosphate 100 Tons 177 48 4,224 905 810 233
Anhydrous Ammonia 100 Tons 34 11 458 60 133 23
U.S. Treasury Bonds $100,000 416,508 525,646 82,732,197 93,422,575 54,702 56,409
2-Year U.S. Treasury Notes $200,000 19,724 29,498 655,164 896,909 17,702 3,674
10-Year U.S. Treasury Notes $100,000 286,732 344,621 21,507,470 22,661,759 35,967 34,572
Lt Treasury Notes - Inflation Indexed $100,000 0 10 0 22 0 2
5-Year U.S. Treasury Notes $100,000 171,128 205,863 11,536,231 12,401,459 65,864 23,895
30-Day Federal Funds $5,000,000 20,532 27,822 653,691 805,370 54,117 72,047
Municipal Bond Index $1,000 x Index 12,445 16,869 947,134 911,877 17,179 22,246
Canadian Bonds CD 100,000 0 0 0 0 0 0
Mexico Brady Bond Index $1,000 x Index 20 0 63 0 0 0
Argentine Brady Bond Index $1,000 0 0 2 0 0 0
Yield Curve 3-Year / 2-Year $25,000 x 100 YCS 0 4 0 20 0 5
Yield Curve 5-Year / 2-Year $25,000 x 100 YCS 0 49 0 753 0 323
Yield Curve 10-Year / 2-Year $25,000 x 100 YCS 0 60 0 306 0 135
Yield Curve 10-Year / 5-Year $25,000 x 100 YCS 0 166 0 557 0 170
Yield Curve 30-Year / 10-Year $25,000 x 100 YCS 0 178 0 991 0 479
Yield Curve 30-Year / 2-Year $25,000 x 100 YCS 0 129 0 862 0 247
Yield Curve 30-Year / 5-Year $25,000 x 100 YCS 0 78 0 534 0 174
Eastern Catastrophe Ins. Ql Loss/EP x $25,000 178 0 0 0 0 0
Eastern Catastrophe Ins Sc Q $200 0 10 0 0 0 10
Chicago Board of Trade (CBT) -- continued
1000 Troy Ounce Silver 1,000 Tr. Oz. 2,601 1,847 46,496 31,116 1,926 1,428
5000 Troy Ounce Silver 5,000 Tr. Oz. 4 2 346 27 17 6
Gold (1 Kilogram) 352 Tr. Oz. 624 382 18,305 11,881 262 260
Gold, 100 Troy Oz 100 Tr. Oz. 12 21 186 387 13 0
Structural Plywood Panel Index 100,000 Sq. Ft. 0 0 0 0 0 0
Total CBT 1,813,217 1,927,109 169,378,503 179,293,023 440,736 380,677
Kansas City Board of Trade (KCBT)
Wheat 5,000 Bu. 38,195 40,304 1,866,945 1,853,098 4,986 6,904
Value Line Stock Index $500 x Index 595 362 34,624 17,720 770 497
Stock Index Future, MVL $100 x Index 1,500 1,637 126,872 157,325 1,738 1,346
Natural Gas 10,000 MM BTUs 3,360 1,979 108,622 91,120 4,222 6,184
Total KCBT 43,650 44,282 2,137,063 2,119,263 11,716 14,931
Minneapolis Grain Exchange (MGE)
Wheat 5,000 Bu. 19,459 18,573 985,967 1,058,471 3,448 1,882
White Wheat 5,000 Bu. 832 932 13,879 14,622 1,348 1,641
Barley 180,000 Lbs. 7 52 95 599 0 10
White Shrimp 5,000 Lbs. 8 15 104 441 33 19
Black Tiger Shrimp 5,000 Lbs. 35 25 497 602 137 125
Total MGE 20,341 19,597 1,000,542 1,074,735 4,966 3,677
MidAmerica Commodity Exchange (MCE)
Wheat 1,000 Bu. 5,430 3,848 164,379 124,395 2,002 1,970
Corn 1,000 Bu. 13,039 9,051 474,813 384,146 1,637 2,247
Oats - Old 1,000 Bu. 194 153 8,213 5,673 74 109
Live Hogs 15,000 Lbs. 630 209 21,619 3,583 15 4
New Hogs 20,000 Lbs. 0 199 0 4,094 0 29
Live Cattle 20,000 Lbs. 275 260 18,987 17,969 0 0
Soybeans 1,000 Bu. 17,139 14,778 996,550 1,013,567 5,776 5,328
Soybean Oil 30,000 Lbs. 326 854 13,638 23,237 41 961
Soybean Meal 50 Tons 493 689 10,059 18,756 97 101
Canadian Dollar 50,000 83 147 7,013 12,726 0 0
Swiss Franc 62,500 600 374 48,252 51,034 6 10
Deutsche Mark 62,500 647 564 67,908 95,430 2 5
MidAmerica Commodity Exchange (MCE) -- continued
British Pound Sterling 12,500 340 380 20,506 26,256 20 25
Japanese Yen 6,250,000 424 378 44,459 47,062 6 8
Australian Dollar 50,000 4 12 244 543 0 0
U.S. Treasury Bonds $50,000 9,117 12,683 1,271,907 1,415,927 629 2,527
13-Week U.S. Treasury Bills $500,000 20 15 719 427 0 0
6.5 - 10-Year U.S. Treasury Notes $50,000 810 834 40,731 42,496 0 100
5-Year U.S. Treasury Notes $50,000 2 3 376 245 0 0
3-Month Eurodollars $500,000 657 411 8,656 6,972 226 263
Platinum 25 Tr. Oz. 408 551 5,903 5,879 3 2
Silver, New York Delivery 1,000 Tr. Oz. 340 347 9,229 8,355 24 228
Gold, New York Delivery 33.2 Tr. Oz. 494 854 15,875 12,700 18 39
Total MCE 51,472 47,594 3,250,036 3,321,472 10,576 13,956
Chicago Mercantile Exchange (CME) and International Monetary Market (IMM)
Boneless Beef Trimmings (50%) 20,000 Lbs. 0 226 0 2,651 0 0
Boneless Beef (90%) 20,000 Lbs. 0 359 0 3,031 0 0
Live Hogs 40,000 Lbs. 32,206 12,648 1,922,748 271,605 396 160
Lean Hogs 40,000 Lbs. 3,033 32,173 57,463 1,896,652 0 14,611
Frozen Pork Bellies 40,000 Lbs. 7,965 6,823 610,601 612,959 1,121 1,373
Live Cattle 40,000 Lbs. 87,185 97,171 3,672,430 3,938,076 2,609 1,516
Feeder Cattle 50,000 Lbs. 17,816 19,233 744,686 799,936 9,243 11,990
Butter 40,000 Lbs. 41 144 139 2,566 0 155
Milk 200,000 Lbs. 101 100 2,202 1,585 0 52
Canadian Dollar CD 100,000 40,779 64,253 1,783,308 2,430,951 44,538 69,915
French Franc FF 500,000 2,417 5,671 53,519 111,796 4,934 13,335
Swiss Franc SF 125,000 40,763 49,511 3,753,708 4,299,459 58,671 77,124
Deutsche Mark DM 125,000 71,625 83,751 5,976,716 6,847,246 101,967 151,435
Deutsche Mark, Rolling Spot $250,000 288 0 1,781 0 239 0
Deutsche Mark, Forward $250,000 329 0 1,781 0 0 0
Deutsche Mark / Japanese Yen Cross-Rate DM 500,000 45 3 0 177 50 13
Mexican Peso MP 500,000 16,640 35,359 571,554 1,639,194 14,230 30,840
British Pound Sterling BP 62,500 50,233 44,785 2,890,584 2,691,383 100,439 94,785
British Pound / Deutsche Mark Cross-Rate BP 500,000 0 4 0 127 0 11
Japanese Yen Yen 12,500,000 75,553 77,231 5,025,723 5,575,137 85,018 123,045
Japanese Yen, Rolling Spot $250,000 150 0 250 0 0 0
Japanese Yen, Forward $250,000 400 0 1,050 0 0 0
Chicago Mercantile Exchange (CME) and International Monetary Market (IMM) -- continued
Brazilian Real R $100,000 7,107 3,919 99,983 39,566 20,680 21,859
New Zealand Dollar NZ $100,000 0 147 0 1,754 0 229
South African Rand Rand 500,000 0 614 0 3,233 0 125
Australian Dollar AD 100,000 10,545 15,569 399,618 604,638 23,886 25,346
AMEX Major Market Index $500 x Index 179 31 7,379 679 1,651 353
E-Mini S&P 500 Stock Index $50 x Index 0 5,874 0 189,786 0 2,537
S&P 500 Barra Growth Index $500 x Index 150 269 4,066 4,248 383 584
S&P 500 Barra Value Index $500 x Index 538 917 6,713 8,986 1,264 2,379
S&P 500 Stock Index $500 x Index 198,974 194,289 19,700,597 19,633,885 182,270 212,875
S&P 400 Midcap Stock Index $500 x Index 10,398 10,894 308,489 251,546 15,438 10,991
NASDAQ-100 Stock Index $100 x Index 5,293 7,424 195,040 791,186 8,542 23,112
Russell 2000 Stock Index Future $500 x Index 4,035 8,190 61,578 155,129 7,274 14,161
Nikkei Stock Average $5 x Index 28,725 17,030 531,097 380,438 57,150 43,347
BMV Index of Prices & Quotes $25 x Index 177 80 3,835 731 94 138
Dow Jones Taiwan Stock Index $250 x Index 0 342 0 8,529 0 1,202
13-Week U.S. Treasury Bills $1,000,000 12,636 8,888 333,161 175,289 7,853 5,605
30-Day Fedederal Fund Rates $3,000,000 2,890 180 98,471 4,116 10,913 1,129
1-Month Libor Rate $3,000,000 37,189 44,464 1,320,598 1,330,290 165,284 206,034
3-Month Eurodollar $1,000,000 2,486,536 2,505,933 89,987,368 91,206,281 1,167,650 1,582,164
Mexico Par Brady Bond $250,000 230 26 1,926 302 0 0
Argentine FRB Brady Bond $100,000 513 220 8,926 2,087 0 0
Brazilian C Brady Bond $100,000 428 198 10,188 2,260 0 0
Brazilian EI Brady Bond $100,000 51 1 252 1 0 0
91-Day Mexican Treasury Bills MP 2,000,000 0 447 0 7,954 0 628
28-Day Mexican Rates (TIIE) MP 6,000,000 0 83 0 1,897 0 485
3-Mo. Euromark Time Deposits DM 1,000,000 0 0 0 0 0 0
3-Mo. Euroyen Yen 100,000,000 16,232 44,067 347,260 961,278 4,595 31,045
Goldman-Sachs Commodity Index $250 x Index 14,458 21,080 370,691 705,390 10,213 13,891
Random Length Lumber 160,000 Bd. Ft. 2,047 0 72,908 0 31 0
Random Length Lumber - New 80,000 Bd. Ft. 3,227 3,441 200,838 278,452 73 86
Oriented Strand Board Panels 100,000 Sq. Ft. 0 94 0 976 0 27
Total CME/IMM 3,290,127 3,424,156 141,141,225 147,875,438 2,108,699 2,790,692
New York Mercantile Exchange (NYMEX) and Commodity Exchange, Inc. (COMEX)
No. 2 Heating Oil, New York Harbor 42,000 Gallons 111,620 126,405 8,152,439 8,776,024 18,669 25,993
Natural Gas 10,000 BTUs 142,850 176,206 8,682,127 10,917,775 25,653 40,176
Natural Gas (Permian Basin) 10,000 BTUs 852 149 7,824 847 634 1,019
Alberta Natural Gas 10,000 BTUs 325 154 391 2,467 0 1,048
Electricity (California-Oregon Border) 736 MWh 2,615 4,298 34,808 101,150 333 2,394
Electricity (Palo Verde) 736 MWh 712 3,689 8,628 119,778 297 2,649
Propane Gas 42,000 Gallons 2,261 2,717 46,495 46,763 1,624 2,069
Crude Oil, Light “Sweet” 1,000 Barrells 379,801 394,260 23,363,334 23,925,489 24,510 24,493
Unleaded Gasoline, New York Harbor 42,000 Gallons 57,845 79,658 6,213,110 7,251,578 11,731 13,367
Unleaded Gasoline, Gulf Coast 42,000 Gallons 0 0 0 0 0 0
Palladium 100 Tr. Oz. 7,449 7,843 194,019 249,927 1,959 3,827
Platinum 50 Tr. Oz. 24,891 20,552 820,124 742,298 3,549 4,295
Stock Index Futures, Eurotop 100 $100 x Index 3,164 2,101 39,579 48,392 3,092 3,312
Silver 5,000 Tr. Oz. 99,491 89,843 4,773,292 4,638,212 58,972 38,148
Copper - Grade #1 25,000 Lbs. 46,838 52,367 2,186,988 2,453,247 18,337 50,111
Gold 100 Tr. Oz. 185,636 180,543 8,868,206 8,939,452 47,427 31,633
Total NYMEX/COMEX 1,066,350 1,140,785 63,391,364 68,213,399 216,787 244,534
New York Cotton Exchange & Associates (NYCE) and New York Futures Exchange (NYFE)
Cotton No. 2 50,000 Lbs. 59,687 69,958 2,339,752 2,742,466 3,740 3,579
Russet Potatoes 85,000 Lbs. 45 76 580 594 0 3
Frozen Concentrated Orange Juice 15,000 Lbs. 21,948 29,460 685,959 836,805 4,498 6,068
Swiss Franc SF 125,000 660 0 2,761 0 447 0
Japanese Yen Yen 12,500,000 551 0 7,096 0 1,168 0
U.S. Dollar / Indonesian Rupiah RU 500,000,000 0 0 0 2 0 0
U.S. Dollar / Malaysian Ringgit RIN 500,000 0 90 0 228 0 39
U.S. Dollar / Thai Baht BAH 5,000,000 0 0 0 2 0 0
U.S. Dollar / Canadian Dollar $200,000 0 53 0 284 0 49
U.S. Dollar / Swiss Franc $200,000 59 112 969 4,457 168 529
West German Deutsche Mark DM 125,000 922 405 24,063 1,491 1,719 305
U.S. Dollar / Deutsche Mark $200,000 366 440 12,120 26,550 1,068 1,764
Swiss Franc / Deutsche Mark Cross-Rate DM $125,000 765 5,767 20,835 94,514 3,312 8,994
Japanese Yen / Deutsche Mark Cross-Rate DM $125,000 4,850 6,588 146,247 172,984 15,285 12,463
Swedish Krona / Deutsche Mark Cross-Rate DM $125,000 344 2,294 5,316 51,256 626 4,950
New York Cotton Exchange & Associates (NYCE) and New York Futures Exchange (NYFE) -- continued
French Franc / Deutsche Mark Cross-Rate DM $500,000 1,993 3,491 66,470 108,880 5,400 7,794
Italian. Lira / Deutsche Mark Cross-Rate DM $250,000 2,017 4,973 55,554 115,626 5,379 8,602
Deutsche Mark / Spanish Peseta Cross-Rate DM $250,000 0 29 0 475 0 76
British Pound / U.S. Dollar Cross-Rate BP $125,000 56 201 1,222 5,588 120 789
Swiss Franc / British Pound Cross-Rate BP $125,000 0 549 0 4,276 0 734
Deutsche Mark / British Pound Cross-Rate BP $125,000 1,953 2,775 72,491 89,774 5,941 5,868
Japanese Yen / British Pound Cross-Rate BP $125,000 0 381 0 3,836 0 739
U.S. Dollar / Japanese Yen $200,000 112 181 3,564 7,292 393 977
New Zealand Dollar NZ 200,000 0 623 0 5,444 0 750
U.S. Dollar / South African Rand $100,000 0 94 0 1,459 0 140
Australian Dollar AD 200,000 0 156 0 3,004 0 302
Stock Index, NYSE CMP New $500 x Index 3,065 2,695 757,923 950,489 3,061 4,963
High Technology Index $500 x Index 254 246 5,654 11,138 207 675
NYCE Emerging Market Debt Index $1,000 x Index 42 24 931 380 112 25
2 Year U.S. Treasury Notes $500,000 0 0 1,107 1,810 0 20
5 Year U.S. Treasury Notes $250,000 509 0 53,283 17,674 2,683 1
U.S. Dollar Index $1,000 x Index 8,009 7,605 506,878 470,469 3,361 3,802
CRB Bridge Index $500 x Index 0 1,985 0 75,532 0 1,281
British Pound Sterling BP 25,000 139 0 1,344 0 297 0
CRB Futures Price Index $500 1,882 0 82,367 0 1,952 0
Total NYCE/NYFE 110,228 141,251 4,854,486 5,804,779 60,937 76,281
Coffee, Sugar and Cocoa Exchange (CSCE)
Butter 10,000 Lbs. 0 100 0 1,444 0 64
Nonfat Dry Milk 11,000 Lbs. 17 62 205 662 8 108
Milk 50,000 Lbs. 306 107 4,503 1,731 35 31
BFP Milk 1,000 Cwt. 0 986 0 5,385 0 989
Cheddar Cheese 10,500 Lbs. 76 43 805 590 72 12
Cocoa 10 Tons 85,460 94,145 2,104,821 2,226,837 13,017 4,230
Sugar No. 11 112,000 Lbs. 146,406 160,612 4,739,839 4,883,058 9,197 13,772
Sugar No. 14 112,000 Lbs. 14,935 14,354 177,014 151,588 5,402 6,461
White Sugar 50 Tons 113 10 319 32 0 0
Coffee C 37,500 Lbs. 27,348 29,443 1,955,172 2,332,168 1,539 1,891
Total CSCE 274,661 299,862 8,982,678 9,603,495 29,270 27,558
Philadelphia Board of Trade (PBOT)
Canadian Dollar CD 100,000 13 16 143 110 27 68
French Franc FF 500,000 137 149 3,761 4,251 438 599
Swiss Franc SF 125,000 172 198 4,363 4,652 915 1,106
West German Deutsche Mark DM 125,000 911 332 24,297 14,373 2,743 1,786
British Pound Sterling BP 62,500 152 172 2,260 2,911 433 1,042
Japanese Yen Yen 12,500,000 309 354 8,690 7,911 1,393 1,793
Australian Dollar AD 100,000 127 55 2,415 1,655 493 353
European Currency Unit EC 125,000 89 25 596 134 38 26
Total PBOT 1,910 1,301 46,525 35,997 6,480 6,773
Total All Markets 6,671,956 7,045,937 394,182,422 417,341,601 2,890,167 3,559,079

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