News Release

CME Group Volume Averaged 10.8 Million Contracts Per Day in February 2009

Tue Mar 03 2009

- February average daily volume increased 14 percent from January 2009 and 32 percent from December 2008

 

- All product lines rose from January 2009 levels

 

CHICAGO, March 3 /PRNewswire-FirstCall/ -- CME Group, the world's largest and most diverse derivatives exchange, today announced that February volume averaged 10.8 million contracts per day, trending up from recent months though down 28 percent from February 2008. Average daily volume during February increased 14 percent from average daily volume of 9.5 million contracts during January 2009 and increased 32 percent from average daily volume of 8.2 million contracts in December 2008. Total volume was 206 million contracts for February, of which 79 percent was traded electronically. Total electronic volume averaged 8.5 million contracts per day, up 16 percent sequentially but down 28 percent from the prior February.

 

Average daily volume cleared on ClearPort was 706,000 contracts for the month, up 39 percent compared with February 2008, which highlighted market participants' increased interest in the safety and soundness of CME Group's regulated, transparent and centrally cleared markets. The PJM daily electricity swap futures contracts were launched on ClearPort on December 8, 2008. These contracts have an average rate per contract of approximately 10 cents due to their small size and averaged an estimated 168,000 contracts per day in February, representing 24 percent of the volume cleared on ClearPort for the month. This compares with average daily volume of 121,000 contracts per day representing 20 percent of volume cleared on ClearPort in January, and average daily volume of 37,000 contracts per day, representing 8 percent of volume cleared on ClearPort for the full month of December 2008. As a result, the rolling 3-month average rate per contract for ClearPort through February is expected to decrease.

 

CME Group interest rate volume averaged 4.1 million contracts per day in February, up 16 percent from January 2009 and down 51 percent from February 2008. E-mini equity index volume averaged 3.3 million contracts per day in February, up 15 percent sequentially and up 11 percent from the same period last year. February equity standard volume averaged 141,000 contracts per day, up 16 percent sequentially and down 7 percent from the prior February. Foreign exchange (FX) volume averaged 512,000 contracts per day in February, up 11 percent sequentially and down 10 percent from the same month last year. This volume represented an average daily notional value of $64 billion. Commodities and alternative investments volume averaged 789,000 contracts per day in February, up 20 percent from January 2009 and down 24 percent from February 2008.

 

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, and Swapstream products.

 

Total NYMEX volume in February averaged 2.0 million contracts, up 9 percent sequentially and up 6 percent compared with the prior-year period. February NYMEX energy futures and options volume averaged 983,000 contracts per day, up 4 percent from January 2009 and down 6 percent from February 2008. COMEX metals volume averaged 198,000 contracts per day for February, down 2 percent sequentially and down 10 percent from February 2008. Outside the average daily volume of 706,000 contracts cleared on ClearPort, the remaining NYMEX volume of 69,000 trades per day consisted of other transactions, which include position transfers and exchanges.

 

 

 

    MONTHLY AVERAGE DAILY VOLUME (ADV)

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

                 February 2009    February 2008    Percent Change
                 -------------    -------------    --------------
     Total           10,836          15,056             -28%

 

 

 

       CME Group ADV (Legacy CME and CBOT combined, in thousands)

    PRODUCT LINE             February 2009    February 2008    Percent Change
                             -------------    -------------    --------------
    Interest Rates               4,143            8,485             -51%
    E-minis                      3,295            2,964              11%
    Equity Standard                141              151              -7%
    FX                             512              566             -10%
    Commodities and Alt.
     Inv.                          789            1,041             -24%
       Total                     8,880           13,207             -33%

                             February 2009    February 2008    Percent Change
    VENUE                    -------------    -------------    --------------
    Open outcry                  1,241            2,177             -43%
    CME Globex                   7,508           10,803             -30%
    Privately negotiated           131              227             -42%

 

 

 

       NYMEX/COMEX ADV (In thousands)

                            February 2009     February 2008    Percent Change
                            -------------     -------------    --------------
    NYMEX floor                  139               261              -47%
    NYMEX electronic             844               783                8%
    COMEX floor                   31                41              -25%
    COMEX electronic             167               180               -7%
    CME ClearPort                706               507               39%
    Other                         69                78              -11%
         Total                 1,956             1,849                6%

 

 

 

    ROLLING THREE-MONTH AVERAGES

    Total Exchange Pro Forma RPC (Legacy CME, CBOT, and NYMEX combined)

                          Jan-09     Dec-08     Nov-08     Oct-08
    Total Average RPC      0.870      0.858      0.821      0.807

 

 

 

    CME Group (Legacy CME and CBOT combined)
    Average Rate Per Contract (In dollars)

                                        3-Month Period Ending
                             Jan-09     Dec-08          Nov-08     Oct-08
    Interest Rates            0.567      0.569           0.545      0.539
    E-minis                   0.688      0.706           0.703      0.703
    Equity Standard           1.588      1.582           1.559      1.529
    FX                        0.928      0.894           0.915      0.932
    Commodities/Alt.
     Investments              1.150      1.154           1.167      1.144
                              -----      -----           -----      -----
    Total                     0.706      0.713           0.691      0.684
    Open outcry               0.669      0.663           0.619      0.608
    Electronic                0.680      0.691           0.672      0.665
    Privately negotiated      2.579      2.558           2.546      2.533

 

 

 

    Average Daily Volume (In thousands)

                                         3-Month Period Ending
                             Feb-09     Jan-09          Dec-08     Nov-08
    Interest Rates            3,452      3,325           3,692      5,156
    E-minis                   3,014      3,157           3,799      4,444
    Equity Standard             147        153             194        238
    FX                          457        444             481        625
    Commodities/Alt.
     Investments                669        648             691        746
                                ---        ---             ---        ---
    Total                     7,738      7,727           8,857     11,208
    Open outcry               1,135      1,145           1,275      1,595
    Electronic                6,480      6,459           7,447      9,445
    Privately negotiated        123        123             136        167

 

 

 

    NYMEX/COMEX
    Average Rate Per Contract (In dollars, on a pro forma basis*)

                                                3-Month Period Ending
                                      Jan-09    Dec-08        Nov-08    Oct-08
    NYMEX floor                        1.54      1.60          1.60      1.36
    NYMEX electronic                   1.38      1.31          1.30      1.30
    COMEX floor                        1.79      1.80          1.76      1.73
    COMEX electronic                   1.78      1.78          1.75      1.74
    CME ClearPort                      1.94      2.10          2.11      2.04
    Other                              2.21      2.04          1.99      1.97
                                       ----      ----          ----      ----
    Total Pro Forma Average Gross
     Rate                              1.66      1.67          1.66      1.60

    Total Pro Forma Average Net Rate   1.55      1.57          1.56      1.53

    *Pro forma adjustment excludes the Globex payment to CME Group from the
    NYMEX electronic, COMEX electronic and Direct Transaction Cost lines.
    Average RPC by venue are gross figures - NYMEX historically reported
    average net RPC by venue.

 

 

 

    Average Daily Volume (In thousands)

                                      3-Month Period Ending
                           Feb-09     Jan-09          Dec-08     Nov-08
    NYMEX floor             140        147             166        184
    NYMEX electronic        759        705             682        754
    COMEX floor              26         28              29         36
    COMEX electronic        146        147             144        186
    CME ClearPort           584        513             489        509
    Other                    58         72              75         78
                             --         --              --         --
    Total                 1,713      1,612           1,584      1,746


 

CME Group (www.cmegroup.com) is the world's largest and most diverse derivatives exchange. Building on the heritage of CME, CBOT and NYMEX, CME Group serves the risk management needs of customers around the globe. As an international marketplace, CME Group brings buyers and sellers together on the CME Globex electronic trading platform and on trading floors in Chicago and New York. By acting as the buyer to every seller and the seller to every buyer, CME Clearing virtually eliminates counterparty credit risk. CME Clearing also offers financial safeguards to help mitigate systemic risk, providing the security and confidence market participants need to operate, invest and grow. CME Group offers the widest range of benchmark products available across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, and alternative investment products such as weather and real estate. CME Group is listed on NASDAQ under the symbol "CME."

 

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

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

Corporate Communications

+1 312 930 3434
Email