News Release

CME Group Volume Averaged 10.5 Million Contracts per Day in September 2009, Up 3 Percent from August 2009

Fri Oct 02 2009

 

 

 

 

CHICAGO, Oct. 2 /PRNewswire-FirstCall/ -- CME Group, the world's largest and most diverse derivatives marketplace, today announced that September volume averaged 10.5 million contracts per day, down 32 percent from the near record average daily volume in September 2008, but up 3 percent from August. Total volume was 222 million contracts for September, of which 82 percent was traded electronically. Electronic volume averaged 8.6 million contracts per day, down 32 percent from the prior September, but up 5 percent compared with August 2009. Average daily volume cleared through CME ClearPort was 489,000 contracts for September 2009, up 5 percent compared with September 2008. CME Group year-to-date volume through September averaged 10.3 million contracts per day.

 

 

CME Group interest rate volume averaged 4.4 million contracts per day, down 38 percent compared with September 2008. CME Group equity index volume averaged 3.0 million contracts per day, down 41 percent compared with record September 2008, but up 22 percent from August 2009. CME Group foreign exchange (FX) volume experienced its highest monthly level to date in 2009, averaging 756,000 contracts per day, with notional value of approximately $98 billion, down 9 percent compared with the prior September. CME Group commodities and alternative investments volume averaged 639,000 contracts per day, down 13 percent from September 2008. CME Group energy volume (including volume cleared through CME ClearPort) averaged 1.6 million contracts per day for September 2009, up 3 percent compared with the same period last year. CME Group metals volume (including volume cleared through CME ClearPort) averaged 226,000 contracts per day for September 2009, down 20 percent compared with the prior September, but up 23 percent from August 2009.

 

 

Third-quarter volume averaged 10.1 million contracts per day, down 23 percent from third-quarter 2008. Compared with second-quarter 2009, third-quarter interest rates volume increased one percent, FX volume increased 16 percent, energy volume increased 6 percent and metals volume increased 6 percent. In addition, third-quarter average daily volume cleared through CME ClearPort was 453,000 contracts, up 2 percent compared with third-quarter 2008.

 

 

Average daily volume and rate per contract figures from 2008 have been revised due to standardizing NYMEX reporting conventions to follow CME's treatment of post-trade transactions such as exercises, assignments and deliveries.

 

 

All references to CME Group volume and rate per contract information in the text of this document exclude our non-traditional TRAKRS products, for which CME Group receives significantly lower clearing fees than other CME Group products, Swapstream products, and HuRLO products.

 

 

    MONTHLY AVERAGE DAILY VOLUME (ADV)

                               Total Exchange Pro Forma ADV
                       (CME, CBOT and NYMEX combined, in thousands)

                                    Sep 2009      Sep 2008
                                    --------      --------
    Trading Days                         21            21

    PRODUCT LINE                    Sep 2009      Sep 2008      Percent Change
                                    --------      --------      --------------
    Interest Rates                    4,373         7,086            -38%
    Equity Index                      2,990         5,105            -41%
    FX                                  756           835             -9%
    Commodities and Alt. Inv.           639           736            -13%
    Energy (including CME ClearPort)  1,564         1,519              3%
    Metals (including CME ClearPort)    226           283            -20%
                                        ---           ---            ---
         Total                       10,548        15,564            -32%

                                    Sep 2009      Sep 2008      Percent Change
                                    --------      --------      --------------
    VENUE
    Open outcry                       1,273         2,164            -41%
    CME Globex                        8,645        12,685            -32%
    Privately negotiated                142           251            -43%
    CME ClearPort (OTC)                 489*          464              5%



    *The PJM daily electricity swap futures contracts, which have an average
    rate per contract of approximately 10 cents, accounted for approximately
    11 percent of the total volume cleared through CME ClearPort in September
    2009.


    QUARTERLY AVERAGE DAILY VOLUME (ADV)

                           Total Exchange Pro Forma ADV
                  (CME, CBOT and NYMEX combined, in thousands)

                                     Q3 2009       Q3 2008
                                     -------       -------
    Trading Days                         64            64

    PRODUCT LINE                     Q3 2009       Q3 2008      Percent Change
                                     -------       -------      --------------
    Interest Rates                    4,422         6,030            -27%
    Equity Index                      2,656         3,842            -31%
    FX                                  660           710             -7%
    Commodities and Alt. Inv.           708           822            -14%
    Energy (including CME ClearPort)  1,484         1,475              1%
    Metals (including CME ClearPort)    201           265            -24%
                                        ---           ---            ---
         Total                       10,132        13,145            -23%

                                     Q3 2009       Q3 2008      Percent Change
                                     -------       -------      --------------
    VENUE
    Open outcry                       1,264         1,811            -30%
    CME Globex                        8,267        10,686            -23%
    Privately negotiated                147           203            -28%
    CME ClearPort (OTC)                 453*          445              2%



    *The PJM daily electricity swap futures contracts, which have an average
    rate per contract of approximately 10 cents, accounted for approximately
    16 percent of the total volume cleared through CME ClearPort in Q3 2009.

 

 

    ROLLING THREE-MONTH AVERAGES

    Average Daily Volume (In thousands)

                                            3-Month Period Ending
                                 Sep-09     Aug-09          Jul-09     Jun-09

    Interest Rates                4,422      4,670           4,664      4,389
    Equity Index                  2,656      2,639           2,812      2,987
    FX                              660        644             622        568
    Commodities/Alt. Investments    708        799             799        818
    Energy                        1,484      1,450           1,430      1,396
    Metals                          201        193             201        190
                                    ---        ---             ---        ---
    Total                        10,132     10,395          10,527     10,349
    Open outcry                   1,264      1,382           1,444      1,431
    Electronic                    8,267      8,389           8,446      8,266
    Privately negotiated            147        173             177        173
    CME ClearPort (OTC)             453        451             460        478



    Average Rate Per Contract (In dollars)

                                            3-Month Period Ending
                                 Aug-09     Jul-09          Jun-09     May-09
    Interest Rates                0.511      0.518           0.525      0.522
    Equity Index                  0.727      0.720           0.712      0.701
    FX                            0.876      0.874           0.901      0.905
    Commodities/Alt. Investments  1.175      1.129           1.130      1.107
    Energy                        1.677      1.673           1.653      1.616
    Metals                        1.823      1.803           1.808      1.831
                                  -----      -----           -----      -----
    Total                         0.826      0.821           0.823      0.818
    Exchange-Traded               0.764      0.759           0.765      0.757
    CME ClearPort (OTC)           2.195      2.163           2.031      1.972



 

 

As the world's largest and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed and over-the-counter derivatives markets.

 

 

The Globe logo, CME, Chicago Mercantile Exchange, CME Group, Globex, E-mini and CME ClearPort are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago. NYMEX and New York Mercantile Exchange are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners. Further information about CME Group and its products can be found at www.cmegroup.com.

 

 

CME-G

 

 

 

 

SOURCE CME Group

SOURCE: CME Group

Web site: http://www.cme.com/

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