Monthly Energy Review

Monthly Energy Review

Monthly Energy Review ENERGY TRADING HIGHLIGHTS September 216 Average daily volume for September 216 Light Sweet Crude Oil futures was 1,158,68 contracts, compared with 79,692 during September 215, an increase of 46.54 percent. Average daily volume for September 216 Light Sweet Crude Oil options was 183,359 contracts, compared with 148,889 during September 215, an increase of 23.15 percent. Average daily volume for September 216 Natural Gas futures was 364,127 contracts, compared with 272,136 during September 215, an increase of 33.8 percent. Average daily volume for September 216 NY Harbor ULSD futures was 156,592 contracts, compared with 138,416 during September 215, an increase of 13.13 percent. Average daily volume for September 216 RBOB Gasoline futures was 222,726 contracts, compared with 141,9 during September 215, an increase of 57.95 percent. Average daily volume for September 216 Brent Crude Oil Financial futures was 74,981 contracts, compared with 9,681 during September 215, a decrease of 17.41 percent. 1

www.cmegroup.com/energy Scorecard - Average Daily Volume and Open Interest Statistics September 216 Average Daily Volume Open Interest U.S. and Metric Spot Price & Conversion Electronic/Pit Ticker Symbols Contracts $ Notional ($ Millions) Contracts $ Notional ($ Millions) US$ Spot Month Close 3-Sep-'16 US$/MT Except NG=US$/ Cubic Meter 3-Sep-'16 2-Day Historical Volatility Light Sweet Crude Oil Futures CL 1,158,68 $55,895 1,897,68 $91,515 48.24 $353.74 44.38% Options LO 183,359 3,42,117 European Style Options LC 138 67,256 Natural Gas Futures NG 364,127 $1,582 1,95,675 $31,84 2.96 $.11 3.% Options ON 9,858 119,79 European Style Options LN 9,721 2,41,274 NY Harbor ULSD Futures HO 156,592 $1,117 388,41 $25,71 153.83 $481.92 39.88% Options OH 1,732 67,22 RBOB Gasoline Futures RB 222,726 $13,687 374,459 $23,11 146.31 $524.22 4.78% Options OB 1,424 25,748 DME Oman Crude Oil Futures OQ 8,52 27,595 Brent Crude Oil Financial Futures BZ 74,891 136,258 49.6 43.27% PJM Financially Settled Electricity Futures & Swap Futures JM+L1* 97 25,71 Options JO+PML+6O* 2 76 * L1 is adjusted to JM contract size; PML and 6O are adjusted to JO size. 2

Contracts Contracts Monthly Energy Review Futures - Average Daily Volumes 2,5, 2,, DME Oman Crude Oil Futures Brent Crude Oil Financial Futures RBOB Gasoline Futures NY Harbor ULSD Futures Natural Gas Futures Light Sweet Crude Oil Futures 1,5, 1,, 5, Options - Average Daily Volumes 4, RBOB Gasoline Options Natural Gas Options Natural Gas European Style Options NY Harbor ULSD Options Light Sweet Crude Oil European Style Options Light Sweet Crude Oil Options 35, 3, 25, 2, 15, 1, 5, 3

Contracts Contracts www.cmegroup.com/energy Futures - Open Interest 4,5, 4,, DME Oman Crude Oil Futures RBOB Gasoline Futures Natural Gas Futures Brent Crude Oil Financial Futures NY Harbor ULSD Futures Light Sweet Crude Oil Futures 3,5, 3,, 2,5, 2,, 1,5, 1,, 5, Options - Open Interest 16,, RBOB Gasoline Options Light Sweet Crude Oil European Style Options Natural Gas European Style Options NY Harbor ULSD Options Natural Gas Options Light Sweet Crude Oil Options 14,, 12,, 1,, 8,, 6,, 4,, 2,, 4

Monthly Energy Review Light Sweet Crude Oil Futures - Average Daily Volume (ADV) and Open Interest (OI) ADV 1,4, Total ADV Open Interest OI 2,, 1,2, 1,8, 1,6, 1,, 1,4, 8, 1,2, 1,, 6, 8, 4, 6, 4, 2, 2, Natural Gas Futures - Average Daily Volume (ADV) and Open Interest (OI) ADV 5, Total ADV Open Interest OI 1,8, 45, 1,6, 4, 1,4, 35, 1,2, 3, 25, 2, 1,, 8, 15, 6, 1, 4, 5, 2, 5

www.cmegroup.com/energy NY Harbor ULSD Futures - Average Daily Volume (ADV) and Open Interest (OI) ADV 2, Total ADV Open Interest OI 45, 18, 4, 16, 35, 14, 3, 12, 1, 8, 25, 2, 6, 15, 4, 1, 2, 5, RBOB Gasoline Futures - Average Daily Volume (ADV) and Open Interest (OI) ADV 25, Total ADV Open Interest OI 45, 4, 2, 35, 3, 15, 25, 1, 2, 15, 5, 1, 5, 6

Monthly Energy Review DME Oman Crude Oil Futures - Average Daily Volume (ADV) and Open Interest (OI) ADV 12, Total ADV Electronic ADV Open Interest OI 35, 1, 3, 8, 6, 25, 2, 15, 4, 1, 2, 5, Brent Crude Oil Financial Futures - Average Daily Volume (ADV) and Open Interest (OI) ADV 18, Total ADV Open Interest OI 2, 16, 18, 14, 16, 12, 14, 1, 8, 12, 1, 8, 6, 6, 4, 4, 2, 2, 7

www.cmegroup.com/energy Light Sweet Crude Oil Futures - 2-Day Historical Volatility Light Sweet Crude Oil Futures 14% 12% 1% 8% 6% 4% 2% % 18% Natural Gas Futures - 2-Day Historical Volatility Natural Gas Futures 16% 14% 12% 1% 8% 6% 4% 2% % 8

Monthly Energy Review NY Harbor ULSD Futures - 2-Day Historical Volatility NY Harbor ULSD Futures 9% 8% 7% 6% 5% 4% 3% 2% 1% % 12% RBOB Gasoline Futures - 2-Day Historical Volatility RBOB Gasoline Futures 1% 8% 6% 4% 2% % 9

Contracts Contracts www.cmegroup.com/energy Average Hourly Total Volume - All Hours - September 216 35, 3, 25, NY Harbor ULSD Futures RBOB Gasoline Futures Natural Gas Futures Light Sweet Crude Oil Futures 2, 15, 1, 5, New York Time Average Hourly Total Volume - Extended Trading Hours - September 216 6, 5, NY Harbor ULSD Futures RBOB Gasoline Futures Natural Gas Futures Light Sweet Crude Oil Futures 4, 3, 2, 1, New York Time 1

Open Interest - Contracts Open Interest - Contracts Monthly Energy Review CFTC COT Report - Light Sweet Crude Oil Futures Open Positions - Long 6, Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 3% 5, 25% 4, 2% 3, 15% 2, 1% 1, 5% % Source: CFTC 6, CFTC COT Report - Natural Gas Futures Open Positions - Long Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 35% 5, 3% 4, 3, 2, 1, 25% 2% 15% 1% 5% % Source: CFTC 11

Open Interest - Contracts Open Interest - Contracts www.cmegroup.com/energy CFTC COT Report - NY Harbor ULSD Futures Open Positions - Long 16, Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 35% 14, 3% 12, 1, 8, 6, 4, 2, 25% 2% 15% 1% 5% % Source: CFTC 16, CFTC COT Report - RBOB Gasoline Futures Open Positions - Long Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 35% 14, 3% 12, 1, 8, 6, 4, 2, 25% 2% 15% 1% 5% % Source: CFTC 12

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