News Release

CME Group Volume Averaged 14.2 Million Contracts per Day in November 2010, Up 31 Percent, and Up 24 Percent Sequentially

Thu Dec 02 2010

CHICAGO, Dec. 2, 2010 /PRNewswire-FirstCall/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that November volume averaged 14.2 million contracts per day, up 31 percent from November 2009, and up 24 percent compared with October 2010.  November represents the highest monthly average daily volume since September 2008, outside of the 16.8 million contracts averaged in May 2010.  Total volume for November was 297 million contracts, of which 83 percent was traded electronically.  

In November 2010, CME Group interest rate volume averaged 7.0 million contracts per day, up 46 percent compared with the prior November, and up 48 percent sequentially.  Treasury futures volume averaged 3.0 million contracts per day, up 37 percent compared with the same period in 2009, and Treasury options volume averaged 444,000 contracts per day, up 106 percent.  Eurodollar futures volume averaged 2.6 million contracts per day, up 61 percent versus November 2009, and Eurodollar options volume averaged 838,000 contracts per day, up 24 percent.  

CME Group equity index volume averaged 2.8 million contracts per day, up 15 percent from November 2009, and up 7 percent sequentially.  CME Group foreign exchange (FX) volume averaged 964,000 contracts per day, up 23 percent compared with the same period a year ago, reflecting average daily notional value of $131 billion.

CME Group energy volume averaged 1.6 million contracts per day, up 6 percent compared with November 2009.  CME Group commodities volume averaged a record 1.3 million contracts per day, up 47 percent compared with the prior November, and up 13 percent from October 2010.  CME Group metals volume averaged a record 500,000 contracts per day, up 34 percent compared with the same period last year, and up 42 percent sequentially.

Electronic volume averaged 11.8 million contracts per day, up 33 percent from the prior November, while privately negotiated volume increased 51 percent to 263,000 contracts per day. Average daily volume cleared through CME ClearPort was 403,000 contracts for November 2010, down 5 percent compared with November 2009.  Open outcry volume averaged 1.7 million contracts per day in November, up 25 percent versus November 2009.



MONTHLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

( in thousands)



Nov 2010

Nov 2009


Trading Days

21

20






PRODUCT LINE

Nov 2010

Nov 2009

Percent Change

Interest Rates

6,971

4,786

46%

Equity Index

2,849

2,479

15%

FX

964

782

23%

Energy (including CME ClearPort)

1,606*

1,514

6%

Commodities

1,263

862

47%

Metals (including CME ClearPort)

500

372

34%

    Total

14,152

10,795

31%





VENUE

Nov 2010

Nov 2009

Percent Change

Open outcry

1,717

1,372

25%

CME Globex

11,769

8,822

33%

Privately negotiated

263

174

51%

CME ClearPort (OTC)

403

427

-5%




*The PJM daily electricity swap futures contracts, which have an average rate per contract of approximately 10 cents, averaged 22,155 in November 2010. This accounted for approximately 1 percent of the total Energy volume in November 2010, down from 3 percent in October 2010.



ROLLING THREE-MONTH AVERAGES


Average Daily Volume (In thousands)



3-Month Period Ending

PRODUCT LINE

Nov-10

Oct-10

Sep-10

Aug-10

Interest Rates

5,608

5,098

5,020

4,875

Equity Index

2,837

2,746

2,809

3,019

FX

935

885

866

878

Energy

1,693

1,725

1,657

1,626

Commodities

1,125

1,025

941

918

Metals

365

273

257

266

    Total

12,563

11,752

11,550

11,583






VENUE

Nov-10

Oct-10

Sep-10

Aug-10

Open outcry

1,484

1,372

1,327

1,288

Electronic

10,422

9,715

9,574

9,650

Privately negotiated

222

200

181

177

CME ClearPort (OTC)

434

465

468

469




Average Rate Per Contract (In dollars)



3-Month Period Ending

PRODUCT LINE

Oct-10

Sep-10

Aug-10

Jul-10

Interest Rates

0.497

0.495

0.493

0.486

Equity Index

0.696

0.708

0.709

0.715

FX

0.793

0.795

0.791

0.790

Energy

1.558

1.540

1.542

1.553

Commodities

1.242

1.256

1.287

1.294

Metals

1.750

1.791

1.743

1.775

    Total

0.816

0.810

0.811

0.794






VENUE

Oct-10

Sep-10

Aug-10

July-10

Exchange-Traded

0.749

0.747

0.747

0.737

CME ClearPort (OTC)

2.439

2.292

2.317

2.332




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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