News Release

CME Group Volume Averaged 12.1 Million Contracts per Day in September 2010, up 15 Percent, and 11.6 Million Contracts per Day in Third Quarter, up 14 Percent

Mon Oct 04 2010

CHICAGO, Oct. 4 /PRNewswire-FirstCall/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that September volume averaged 12.1 million contracts per day, up 15 percent from September 2009 and up 3 percent sequentially.  Total volume for September was 254 million contracts, of which 83 percent was traded electronically.  

In September 2010, CME Group interest rate volume averaged 5.1 million contracts per day, up 17 percent compared with the prior September.  Treasury futures volume averaged 2.2 million contracts per day, up 44 percent compared with the same period in 2009, and Treasury options volume averaged 395,000 contracts per day, up 99 percent.  Eurodollar futures volume averaged 1.8 million contracts per day, down 4 percent versus September 2009, and Eurodollar options volume averaged 615,000 contracts per day, down 6 percent.  

CME Group equity index volume averaged 3.0 million contracts per day, in line with September 2009, and up 16 percent sequentially.  CME Group foreign exchange (FX) volume averaged 951,000 contracts per day, up 26 percent compared with the same period a year ago, reflecting average daily notional value of $123 billion.

CME Group energy volume averaged 1.8 million contracts per day, up 13 percent compared with September 2009.  CME Group commodities volume averaged 1.0 million contracts per day, up 56 percent compared with the prior September.  CME Group metals volume averaged 246,000 contracts per day, up 10 percent compared with the same period last year.

Electronic volume averaged 10.1 million contracts per day, up 16 percent from the prior September, while privately negotiated volume increased 34 percent to 195,000 contracts per day. Average daily volume cleared through CME ClearPort was 450,000 contracts for September 2010, down 8 percent compared with September 2009.  Open outcry volume averaged 1.4 million contracts per day in September, up 10 percent versus September 2009.

During the third quarter, CME Group interest rate volume averaged 5.0 million contracts per day, up 14 percent compared with third-quarter 2009.  Treasury futures volume averaged 2.3 million contracts per day, up 38 percent compared with the same period a year ago, and Treasury options volume averaged 331,000 contracts per day, up 62 percent.  Eurodollar futures volume averaged 1.6 million contracts per day, down 10 percent versus third-quarter 2009, while Eurodollar options volume averaged 646,000 contracts per day, flat compared with the prior third quarter.  

Third-quarter 2010 CME Group equity index volume averaged 2.8 million contracts per day, up 6 percent.  CME Group FX volume averaged 866,000 contracts per day, up 31 percent compared with the same period a year ago, reflecting average daily notional value of $110 billion.

Third-quarter CME Group energy volume averaged 1.7 million contracts per day, up 12 percent compared with the same period last year.  CME Group commodities and alternative investments volume averaged 941,000 contracts per day, up 33 percent from third-quarter 2009.  CME Group metals volume averaged 257,000 contracts per day in third-quarter 2010, up 28 percent compared with the prior third quarter.

Electronic volume averaged 9.6 million contracts per day, up 16 percent from the prior third quarter, while privately negotiated volume increased 21 percent to 181,000 contracts per day.  Average daily volume cleared through CME ClearPort was 468,000 contracts for third-quarter 2010, up 3 percent compared with third-quarter 2009.  Third-quarter open outcry volume averaged 1.3 million contracts per day, up 5 percent versus third-quarter 2009.


MONTHLY AVERAGE DAILY VOLUME (ADV)


Total Exchange ADV
( in thousands)



Sep 2010

Sep 2009


Trading Days

21 

21 






PRODUCT LINE

Sep 2010

Sep 2009

Percent Change

Interest Rates

5,130

4,373

17%

Equity Index

3,004

2,990

0%

FX

951

756

26%

Energy (including CME ClearPort)

1,761*

1,564

13%

Commodities

1,000

640

56%

Metals (including CME ClearPort)

246

225

10%

    Total

12,092

10,547

15%









VENUE

Sep 2010

Sep 2009

Percent Change

Open outcry

1,392

1,268

10%

CME Globex

10,054

8,645

16%

Privately negotiated

195

146

34%

CME ClearPort (OTC)

450

489

-8%


*The PJM daily electricity swap futures contracts, which have an average rate per contract of approximately 10 cents, averaged 39,334 in September 2010. This accounted for approximately 2 percent of the total Energy volume in September 2010, down from 4 percent in August 2010.





QUARTERLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV
( in thousands)



Q3 2010

Q3 2009


Trading Days

64

64






PRODUCT LINE

Q3 2010

Q3 2009

Percent Change

Interest Rates

5,020

4,422

14%

Equity Index

2,809

2,656

6%

FX

866

660

31%

Energy (including CME ClearPort)

1,657*

1,483

12%

Commodities

941

708

33%

Metals (including CME ClearPort)

257

201

28%

    Total

11,550

10,131

14%



VENUE

Q3 2010

Q3 2009

Percent Change

Open outcry

1,327

1,261

5%

CME Globex

9,574

8,267

16%

Privately negotiated

181

149

21%

CME ClearPort (OTC)

468

453

3%


*The PJM daily electricity swap futures contracts, which have an average rate per contract of approximately 10 cents, averaged 70,597 in third-quarter 2010. This accounted for approximately 4 percent of the total Energy volume in third-quarter 2010, up from 2 percent in second-quarter 2010.




ROLLING THREE-MONTH AVERAGES


Average Daily Volume (In thousands)



3-Month Period Ending

PRODUCT LINE

Sep-10

Aug-10

Jul-10

Jun-10

Interest Rates

5,020

4,875

5,708

6,074

Equity Index

2,809

3,019

3,555

3,455

FX

866

878

1,035

1,035

Energy

1,657

1,626

1,718

1,798

Commodities

941

918

843

855

Metals

257

266

322

308

    Total

11,550

11,583

13,180

13,525






VENUE

Sep-10

Aug-10

Jul-10

Jun-10

Open outcry

1,327

1,288

1,473

1,538

Electronic

9,574

9,650

11,043

11,340

Privately negotiated

181

177

192

198

CME ClearPort (OTC)

468

469

472

448




Average Rate Per Contract (In dollars)



3-Month Period Ending

PRODUCT LINE

Aug-10

Jul-10

Jun-10

May-10

Interest Rates

0.493

0.486

0.481

0.484

Equity Index

0.709

0.715

0.713

0.713

FX

0.791

0.790

0.798

0.809

Energy

1.542

1.553

1.581

1.604

Commodities

1.287

1.294

1.282

1.265

Metals

1.743

1.775

1.749

1.776

    Total

0.811

0.794

0.790

0.789






VENUE

Aug-10

July-10

Jun-10

May-10

Exchange-Traded

0.747

0.737

0.732

0.730

CME ClearPort (OTC)

2.317

2.332

2.489

2.478




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, HuRLO products and credit default swap clearing.

As the world's leading 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

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