News Release

CME Group Volume Averaged 11.4 Million Contracts Per Day in June 2009, Up 6 Percent From May 2009

Thu Jul 02 2009

CHICAGO, July 2 /PRNewswire-FirstCall/ -- CME Group, the world's largest and most diverse derivatives exchange, today announced that June volume averaged 11.4 million contracts per day, down 20 percent from June 2008, but up 6 percent from May 2009. Total volume was 251 million contracts for June, of which 79 percent was traded electronically. Electronic volume averaged 9.0 million contracts per day, down 21 percent from the prior June, but up 6 percent sequentially.

 

"In the current financial environment, we are encouraged by record 2009 monthly volume across major products lines, from interest rates and foreign exchange to commodities and alternative investments," said CME Executive Chairman Terry Duffy. "In addition, the 33 percent increase in over-the-counter volume cleared through CME ClearPort is a good indicator that the OTC market continues moving toward the safety and soundness our cleared solution offers."

 

"Improvements in credit and lending markets and significantly increased Treasury issuance have positively impacted CME Group's interest rate volumes and open interest in June," said CME Group Chief Executive Officer Craig Donohue. "Reduced volatility and improvements in market depth have resulted in record volume of more than 6 million Eurodollar futures contracts on June 5."

 

CME Group interest rate volume averaged 5.1 million contracts per day, down 24 percent compared with the same period in 2008, but up 8 percent sequentially - representing the best monthly volume to date in 2009. Interest rate futures and options volume was up 14 percent second quarter over first quarter, with Treasury futures and options gaining 11 percent in the same timeframe. Average daily volume in inter-commodity spreads of Treasury futures and open interest for 3-Year Treasury Note futures reached record levels in June. Furthermore, a record volume of 6.0 million Eurodollar futures was traded June 5.

 

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.

 

CME Group E-mini equity index volume averaged 2.8 million contracts per day, down 21 percent compared with June 2008. Equity standard volume averaged 154,000 contracts per day, down 32 percent compared with the same period last year. CME Group foreign exchange (FX) volume averaged 702,000 contracts per day, with notional value of approximately $89 billion, down 8 percent compared with the prior June, but up 29 percent sequentially - representing the best monthly volume to date in 2009. CME Group commodities and alternative investments volume averaged 912,000 contracts per day, down 18 percent from June 2008, but up 25 percent compared with May 2009 - representing the highest monthly volume to date so far in 2009.

 

Total NYMEX volume averaged 1.7 million contracts for June 2009, down 4 percent compared with the same period last year, but up 1 percent compared with May 2009. Monthly NYMEX energy futures and options volume averaged 975,000 contracts per day, down 13 percent from June 2008, but up 5 percent sequentially. COMEX metals volume averaged 188,000 contracts per day for June 2009, down 8 percent compared with the same period last year and down 2 percent sequentially. Average daily volume cleared through CME ClearPort was 542,000 contracts for June 2009, up 33 percent compared with June 2008, as users continue to seek the safety and soundness of CME Group's regulated, centrally cleared markets. The remaining NYMEX volume of 38,000 trades per day consisted of other transactions, which include position transfers and exchanges.

 

Second-quarter volume averaged 10.4 million contracts per day, down 19 percent from second-quarter 2008, but up slightly from first-quarter 2009. Compared with first-quarter 2009, second-quarter interest rates volume increased 14 percent, FX volume increased 12 percent and commodities and alternative investments volume increased 19 percent. In addition, second-quarter average daily volume cleared through CME ClearPort was 537,000 contracts, up 29 percent compared with second-quarter 2008.

 

    MONTHLY AVERAGE DAILY VOLUME (ADV)

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

                      Jun 2009     Jun 2008     Percent Change
                      --------     --------     --------------
    Total              11,389       14,179             -20%
    Trading Days           22           21



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

    PRODUCT LINE                   Jun 2009     Jun 2008     Percent Change
                                   --------     --------     --------------
    Interest Rates                   5,107        6,758            -24%
    E-minis                          2,771        3,501            -21%
    Equity Standard                    154          228            -32%
    FX                                 702          764             -8%
    Commodities and Alt. Inv.          912        1,110            -18%
         Total                       9,646       12,360            -22%



                                   Jun 2009     Jun 2008     Percent Change
    VENUE                          --------     --------     --------------
    Open outcry                      1,485         1,897           -22%
    CME Globex                       7,979        10,259           -22%
    Privately negotiated               182           204           -11%



                                    NYMEX/COMEX ADV
                                     (in thousands)

                           Jun 2009     Jun 2008     Percent Change
                           --------     --------     --------------
    NYMEX floor               128         235              -45%
    NYMEX electronic          847         889               -5%
    COMEX floor                27          36              -25%
    COMEX electronic          161         169               -5%
    CME ClearPort             542*        407               33%
    Other                      38          84              -55%
         Total              1,743       1,819               -4%

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



    QUARTERLY AVERAGE DAILY VOLUME (ADV)

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

                     Q2 2009     Q2 2008     Percent Change
                     -------     -------     --------------
    Total             10,438      12,875            -19%
    Trading Days          63          64



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

    PRODUCT LINE                   Q2 2009     Q2 2008     Percent Change
                                   -------     -------     --------------
    Interest Rates                  4,389       6,467            -32%
    E-minis                         2,867       2,833              1%
    Equity Standard                   121         161            -25%
    FX                                568         665            -15%
    Commodities and Alt. Inv.         818         933            -12%
         Total                      8,762      11,060            -21%



                                   Q2 2009     Q2 2008     Percent Change
    VENUE                          -------     -------     --------------
    Open outcry                     1,294       1,836           -30%
    CME Globex                      7,331       9,054           -19%
    Privately negotiated              137         170           -19%



                                    NYMEX/COMEX ADV
                                     (in thousands)

                           Q2 2009     Q2 2008     Percent Change
                           -------     -------     --------------
    NYMEX floor              126         238            -47%
    NYMEX electronic         785         865             -9%
    COMEX floor               28          38            -27%
    COMEX electronic         149         172            -13%
    CME ClearPort            537*        417             29%
    Other                     49          84            -41%
         Total             1,675       1,815             -8%

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



    ROLLING THREE-MONTH AVERAGES

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

                          May-09     Apr-09     Mar-09     Feb-09
    Total Average RPC      0.812      0.823      0.833      0.860



                     CME Group (Legacy CME and CBOT combined)

    Average Rate Per Contract (In dollars)

                                    3-Month Period Ending

                             May-09     Apr-09     Mar-09     Feb-09
    Interest Rates            0.522      0.527      0.532      0.553
    E-minis                   0.666      0.671      0.677      0.685
    Equity Standard           1.536      1.536      1.543      1.581
    FX                        0.905      0.920      0.918      0.947
    Commodities/Alt.
     Investments              1.107      1.126      1.108      1.114
                              -----      -----      -----      -----
    Total                     0.665      0.677      0.677      0.696
    Open outcry               0.618      0.631      0.607      0.648
    Electronic                0.647      0.658      0.659      0.672
    Privately negotiated      2.436      2.419      2.460      2.516



    Average Daily Volume (In thousands) 

                                    3-Month Period Ending

                             Jun-09     May-09     Apr-09     Mar-09
    Interest Rates            4,389      3,942      3,752      3,843
    E-minis                   2,867      3,267      3,396      3,378
    Equity Standard             121        140        152        159
    FX                          568        513        503        507
    Commodities/Alt.
     Investments                818        717        734        685
                                ---        ---        ---        ---
    Total                     8,762      8,579      8,538      8,572
    Open outcry               1,294      1,180      1,133      1,188
    Electronic                7,331      7,281      7,284      7,255
    Privately negotiated        137        118        120        130



                                    NYMEX/COMEX

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

                                    3-Month Period Ending

                                        May-09    Apr-09    Mar-09    Feb-09
    NYMEX floor                           1.79      1.53      1.38      1.46
    NYMEX electronic                      1.31      1.32      1.35      1.40
    COMEX floor                           1.89      1.83      1.78      1.81
    COMEX electronic                      1.77      1.80      1.80      1.80
    CME ClearPort                         1.77      1.67      1.75      1.77
    Other                                 1.88      2.45      2.46      2.33
                                          ----      ----      ----      ----
    Total Pro Forma Average Gross
     Rate                                 1.57      1.54      1.57      1.60

    Total Pro Forma Average Net Rate      1.46      1.44      1.47      1.51

    *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

                          Jun-09     May-09     Apr-09     Mar-09
    NYMEX floor             126        125        126        135
    NYMEX electronic        785        753        766        798
    COMEX floor              28         28         27         30
    COMEX electronic        149        153        156        170
    CME ClearPort           537        553        605        629
    Other                    49         52         54         54
                             --         --         --         --
    Total                 1,675      1,664      1,734      1,816

 

 

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.cme.com/

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