News Release

CME Group Volume Averaged 10.8 Million Contracts per Day in March 2009

Thu Apr 02 2009

CHICAGO, April 2 /PRNewswire-FirstCall/ -- CME Group, the world's largest and most diverse derivatives exchange, today announced that March volume averaged 10.8 million contracts per day, continuing to trend up from the beginning of the year, though down 30 percent from March 2008. Total volume was 238 million contracts for March, of which 81 percent was traded electronically. Electronic volume averaged 8.8 million contracts per day, down 29 percent from the prior March. First-quarter 2009 volume averaged 10.4 million contracts per day, in line with fourth-quarter 2008 average daily volume, but down 33 percent compared with first-quarter 2008.

 

Average daily volume cleared through CME ClearPort was 587,000 contracts for the month, up 15 percent compared with March 2008, highlighting market participants' increased interest in the safety and soundness of CME Group's regulated, centrally cleared markets. The PJM daily electricity swap futures contracts, which have an average rate per contract of approximately 10 cents, accounted for approximately 14 percent of the total volume cleared through CME ClearPort in March and approximately 20 percent in first-quarter 2009. Daily volume cleared through CME ClearPort averaged 629,000 contracts a day in first-quarter 2009, up 33 percent from the same period last year.

 

MONTHLY AVERAGE DAILY VOLUME (ADV)

 

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

                         March 2009       March 2008       Percent Change
                         ----------       ----------       --------------
    Total                  10,829           15,489             -30%
    Trading Days               22               20

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

    PRODUCT LINE         March 2009       March 2008      Percent Change
                         ----------       ----------      --------------
    Interest Rates          3,825            7,512             -49%
    E-minis                 3,917            4,019              -3%
    Equity Standard           209              264             -21%
    FX                        546              759             -28%
    Commodities and
     Alt. Inv.                624              903             -31%
         Total              9,120           13,456             -32%


 

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.

                         March 2009       March 2008       Percent Change
    VENUE                ----------       ----------       --------------
    Open outcry             1,159            2,048             -43%
    CME Globex              7,833           11,122             -27%
    Privately negotiated      128              286             -55%

 

                         NYMEX/COMEX ADV
                         (in thousands)

                           March 2009       March 2008       Percent Change
                           ----------       ----------       --------------
    NYMEX floor               124              254             -51%
    NYMEX electronic          754              920             -18%
    COMEX floor                27               46             -41%
    COMEX electronic          171              225             -24%
    CME ClearPort             587              512              15%
    Other                      46               75             -38%
         Total              1,709            2,033             -16%


 

 

QUARTERLY AVERAGE DAILY VOLUME (ADV)

 

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

                           Q1 2009          Q1 2008        Percent Change
                           -------          -------        --------------
    Total                  10,389          15,540             -33%
    Trading Days               61              61

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

    PRODUCT LINE           Q1 2009          Q1 2008        Percent Change
                           -------          -------        --------------
    Interest Rates          3,843           8,251             -53%
    E-minis                 3,378           3,628              -7%
    Equity Standard           159             201             -21%
    FX                        507             640             -21%
    Commodities and
     Alt. Inv.                685             949             -28%
        Total               8,572          13,669             -37%

                           Q1 2009          Q1 2008        Percent Change
    VENUE                  -------          -------        --------------
    Open outcry             1,188           2,336             -49%
    CME Globex              7,255          11,097             -35%
    Privately negotiated      130             236             -45%

                       NYMEX/COMEX ADV
                       (in thousands)

                           Q1 2009          Q1 2008        Percent Change
                           -------          -------        --------------
    NYMEX floor               135             257             -47%
    NYMEX electronic          798             814              -2%
    COMEX floor                30              47             -36%
    COMEX electronic          170             205             -17%
    CME ClearPort             629             473              33%
    Other                      54              75             -28%
         Total              1,816           1,870              -3%

 

ROLLING THREE-MONTH AVERAGES

 

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

                         Feb-09       Jan-09       Dec-08       Nov-08
    Total Average RPC     0.860        0.870        0.858        0.821

 

                   CME Group (Legacy CME and CBOT combined)

    Average Rate Per Contract (In dollars)

                                      3-Month Period Ending
                         Feb-09       Jan-09       Dec-08       Nov-08
    Interest Rates        0.553        0.567        0.569        0.545
    E-minis               0.685        0.688        0.706        0.703
    Equity Standard       1.581        1.588        1.582        1.559
    FX                    0.947        0.928        0.894        0.915
    Commodities/Alt.
     Investments          1.114        1.150        1.154        1.167
                          -----        -----        -----        -----
    Total                 0.696        0.706        0.713        0.691
    Open outcry           0.648        0.669        0.663        0.619
    Electronic            0.672        0.680        0.691        0.672
    Privately negotiated  2.516        2.579        2.558        2.546

 

Average Daily Volume (In thousands)

 

                                      3-Month Period Ending
                         Mar-09          Feb-09    Jan-09       Dec-08
    Interest Rates        3,843           3,452     3,325        3,692
    E-minis               3,378           3,014     3,157        3,799
    Equity Standard         159             147       153          194
    FX                      507             457       444          481
    Commodities/Alt.
     Investments            685             669       648          691
                            ---             ---       ---          ---
    Total                 8,572           7,738     7,727        8,857
    Open outcry           1,188           1,135     1,145        1,275
    Electronic            8,223           6,480     6,459        7,447
    Privately negotiated    130             123       123          136


 

                                NYMEX/COMEX

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

                                      3-Month Period Ending
                         Feb-09          Jan-09    Dec-08       Nov-08
    NYMEX floor           1.46            1.54      1.60         1.60
    NYMEX electronic      1.40            1.38      1.31         1.30
    COMEX floor           1.81            1.79      1.80         1.76
    COMEX electronic      1.80            1.78      1.78         1.75
    CME ClearPort         1.77            1.94      2.10         2.11
    Other                 2.33            2.21      2.04         1.99
                          ----            ----      ----         ----
    Total Pro Forma
     Average Gross Rate   1.60            1.66      1.67         1.66

    Total Pro Forma
     Average Net Rate     1.51            1.55      1.57         1.56

 

*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
                          Mar-09         Feb-09    Jan-09       Dec-08
    NYMEX floor            135             140      147          166
    NYMEX electronic       798             759      705          682
    COMEX floor             30              26       28           29
    COMEX electronic       170             146      147          144
    CME ClearPort          629             584      513          489
    Other                   54              58       72           75
                            --              --       --           --
    Total                1,816           1,713    1,612        1,584


 

 

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/

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