Average daily volume.

In plain English

Average daily volume, usually shortened to ADV, takes the total amount traded over a stretch of time and spreads it evenly across the days the market was open. The CFTC defines volume as the number of contracts traded during a specified period of time; ADV turns that total into a per-day figure so periods of different lengths can be compared. Exchanges report it by product line and by venue, and CME Group's quarterly results list the number of trading days beside each quarter's ADV, because a quarter with fewer trading days can have a lower total and the same daily pace. It counts every trade, including trades that only pass an existing position from one holder to another, so it measures activity, not how many positions are open.

01Why it matters

ADV is the usual shorthand for how busy a market is. Busier markets tend to be easier to get in and out of at a fair price. For an exchange that charges per contract, ADV is the other half of the revenue arithmetic: daily volume times the average fee per contract gives roughly what the exchange earns from trading on an average day.

02The math, step by step

Say 1.26 billion contracts trade over a quarter with 63 trading days. Average daily volume is 1.26 billion divided by 63, or 20 million contracts a day. A quarter with 60 trading days and 1.2 billion contracts has the same ADV, even though its total is lower, which is why the daily figure is the one compared.

Illustrative example. The amounts here are hypothetical, chosen to show how the math works, not real quoted rates or figures.

03What this is NOT

04Receipts

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