News Release

CME Group Volume Averaged 10.8 Million Contracts per Day in October 2009, Up 2 Percent from September 2009

Tue Nov 03 2009

 

 

 

 

 

 

 

 

 

CHICAGO, Nov. 3 /PRNewswire-FirstCall/ -- CME Group, the world's largest and most diverse derivatives marketplace, today announced that October volume averaged 10.8 million contracts per day, down 13 percent from October 2008, but up 2 percent from September 2009. Total volume was 237 million contracts for October, of which 82 percent was traded electronically, and represented the highest first month of a quarter volume to date in 2009. Electronic volume averaged 8.9 million contracts per day, down 11 percent from the prior October, but up 3 percent compared with September 2009. Average daily volume cleared through CME ClearPort was 559,000 contracts for October 2009, up 16 percent compared with October 2008, and up 14 percent sequentially. CME Group year-to-date volume through October averaged 10.3 million contracts per day.

 

In October, CME Group interest rate volume demonstrated the best year-over-year growth so far in 2009, averaging 4.5 million contracts per day, down only 2 percent compared with October 2008, but up 2 percent compared with the prior month. Eurodollar futures volume averaged 1.8 million contracts per day, up 4 percent versus October 2008, and Treasury futures volume averaged 1.8 million contracts per day, up 12 percent compared with the same period a year ago. CME Group equity index volume averaged 2.8 million contracts per day, down 43 percent compared with October 2008. CME Group foreign exchange (FX) volume experienced its highest non-roll month to date in 2009, up 33 percent compared with the prior October to average 747,000 contracts per day, reflecting average daily notional value of approximately $99 billion, a record for a non-roll month.

 

CME Group energy volume, which includes volume cleared through CME ClearPort, averaged 1.7 million contracts per day for October 2009, up 22 percent compared with the same period last year, and up 10 percent compared with September 2009. CME Group commodities and alternative investments volume averaged 785,000 contracts per day, up 2 percent from October 2008, and up 23 percent sequentially. CME Group metals volume, which includes volume cleared through CME ClearPort, averaged 239,000 contracts per day for October 2009, up 16 percent compared with the prior October, and up 6 percent from September 2009.

 

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)

                                       Oct 2009     Oct 2008
                                       --------     --------
    Trading Days                            22           23

    PRODUCT LINE                       Oct 2009     Oct 2008    Percent Change
                                       --------     --------    --------------
    Interest Rates                       4,472        4,566           -2%
    Equity Index                         2,824        4,930          -43%
    FX                                     747          561           33%
    Energy (including CME ClearPort)     1,726*       1,413           22%
    Commodities and Alt. Inv.              785          772            2%
    Metals (including CME ClearPort)       239          206           16%
                                           ---          ---          ---
         Total                          10,793       12,448          -13%

                                       Oct 2009     Oct 2008    Percent Change
                                       --------     --------    --------------
    VENUE
    Open outcry                          1,186        1,743          -32%
    CME Globex                           8,873       10,023          -11%
    Privately negotiated                   175          199          -12%
    CME ClearPort (OTC)                    559          484           16%


    *The PJM daily electricity swap futures contracts, which have an average
    rate per contract of approximately 10 cents, averaged 128,685 contracts
    per day in October 2009.  This accounted for approximately 7 percent of
    the total Energy volume in October 2009.



    ROLLING THREE-MONTH AVERAGES

    Average Daily Volume (In thousands)


                                           3-Month Period Ending
    PRODUCT LINE                  Oct-09     Sep-09       Aug-09     Jul-09
    Interest Rates                 4,527      4,422        4,670      4,664
    Equity Index                   2,756      2,656        2,639      2,812
    FX                               707        660          644        622
    Energy                         1,588      1,484        1,450      1,430
    Commodities/Alt. Investments     721        708          799        799
    Metals                           216        201          193        201
                                     ---        ---          ---        ---
         Total                    10,515     10,132       10,395     10,527

                                  Oct-09     Sep-09       Aug-09     Jul-09
    VENUE
    Open outcry                    1,261      1,264        1,382      1,444
    Electronic                     8,599      8,267        8,389      8,446
    Privately negotiated             158        147          173        177
    CME ClearPort (OTC)              497        453          451        460



    Average Rate Per Contract (In dollars)
                                           3-Month Period Ending
    PRODUCT LINE                  Sep-09     Aug-09       Jul-09     Jun-09
    Interest Rates                 0.505      0.511        0.518      0.525
    Equity Index                   0.722      0.727        0.720      0.712
    FX                             0.853      0.876        0.874      0.901
    Energy                         1.694      1.677        1.673      1.653
    Commodities/Alt. Investments   1.199      1.175        1.129      1.130
    Metals                         1.849      1.823        1.803      1.808
                                   -----      -----        -----      -----
         Total                     0.834      0.826        0.821      0.823

    VENUE                         Sep-09     Aug-09       Jul-09     Jun-09
    Exchange-Traded                0.765      0.764        0.759      0.765
    CME ClearPort (OTC)            2.304      2.195        2.163      2.031

 

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 (NASDAQ: CME) and its products can be found at www.cmegroup.com.

 

CME-G

 

 

SOURCE: CME Group

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

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