News Release

CME Group Averaged 14.7 Million Contracts Per Day in Third-Quarter 2011, up 27 Percent From Third-Quarter 2010

Tue Oct 04 2011

CHICAGO, Oct. 4, 2011 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced September volume averaged 14.0 million contracts per day, up 16 percent from September 2010.  Total volume for September was 294 million contracts, of which 85 percent was traded electronically.

In September 2011, CME Group interest rate volume averaged 5.3 million contracts per day, up 3 percent compared with September 2010.  Treasury futures volume averaged 2.4 million contracts per day, up 6 percent compared with same period a year ago.  Treasury options volume averaged 287,000 contracts per day, down 27 percent from September 2010.  Eurodollar futures volume averaged 1.9 million contracts per day, up 2 percent versus the prior September, and Eurodollar options volume averaged 748,000 contracts per day, up 22 percent.

CME Group equity index volume averaged 4.4 million contracts per day, up 46 percent from September 2010.  CME Group foreign exchange (FX) volume averaged 1.1 million contracts per day, up 14 percent compared with the same period a year ago, reflecting average daily notional value of $143 billion, up 16 percent year-over-year.  CME Group September FX monthly average daily volume included records across ten different currency pairs in both major and emerging market currencies.

CME Group energy volume averaged 1.7 million contracts per day, down 4 percent compared with September 2010.  CME Group agricultural commodities volume averaged 1.1 million contracts per day, up 11 percent compared with the prior September.  CME Group metals volume averaged 453,000 contracts per day, up 84 percent compared with the same period last year.

Electronic volume averaged 11.9 million contracts per day in September 2011, up 19 percent from September 2010, while privately negotiated volume increased 22 percent to 239,000 contracts per day.  Average daily volume cleared through CME ClearPort was 433,000 contracts in September 2011 – including record volume in FX and metals – but down 4 percent overall compared with September 2010.  Open outcry volume averaged 1.4 million contracts per day, up 2 percent versus the prior September.

During the third quarter, CME Group interest rate volume averaged 6.5 million contracts per day, up 30 percent compared with third-quarter 2010.  Treasury futures volume averaged 2.9 million contracts per day, up 24 percent compared with the same period a year ago.  Treasury options volume averaged 331,000 contracts per day, running even with the same period last year.  Eurodollar futures volume averaged 2.3 million contracts per day, up 40 percent versus third-quarter 2010, and Eurodollar options volume averaged 908,000 contracts per day, up 41 percent.

CME Group equity index volume averaged a record 4.0 million contracts per day, up 44 percent from third-quarter 2010, with record E-mini S&P 500 volume of 3.3 million contracts.  CME Group FX volume averaged 988,000 contracts per day, up 14 percent compared with the same period a year ago, reflecting average daily notional value of $135 billion, up 23 percent year-over-year.

CME Group energy volume averaged 1.7 million contracts per day, up 1 percent compared with third-quarter 2010.  CME Group agricultural commodities volume averaged 1.0 million contracts per day, up 10 percent compared with the prior third quarter.  CME Group metals volume averaged a record 454,000 contracts per day, up 77 percent compared with the same period last year.

Electronic volume averaged 12.5 million contracts per day in third-quarter 2011, up 30 percent from third-quarter 2010, while privately negotiated volume increased 42 percent to 257,000 contracts per day.  Average daily volume cleared through CME ClearPort was 426,000 contracts, down 9 percent compared with third-quarter 2010.  Open outcry volume averaged 1.6 million contracts per day, up 17 percent versus the same period in 2010.



MONTHLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

( in thousands)



Sep 2011

Sep 2010


Trading Days

21

21






PRODUCT LINE

Sep 2011

Sep 2010

Percent Change

Interest Rates

5,296

5,130

3%

Equity Index

4,392

3,004

46%

FX

1,083

951

14%

Energy (including CME ClearPort)

1,688

1,761

-4%

Agricultural Commodities

1,107

1,000

11%

Metals (including CME ClearPort)

453

246

84%

    Total

14,018

12,092

16%





VENUE

Sep 2011

Sep 2010

Percent Change

Open outcry

1,413

1,392

2%

CME Globex

11,932

10,054

19%

Privately negotiated

239

195

22%

CME ClearPort (OTC)

433

450

-4%






QUARTERLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

( in thousands)



Q3 2011

Q3 2010


Trading Days

64

64






PRODUCT LINE

Q3 2011

Q3 2010

Percent Change

Interest Rates

6,518

5,020

30%

Equity Index

4,040

2,809

44%

FX

988

866

14%

Energy (including CME ClearPort)

1,670

1,657

1%

Agricultural Commodities

1,032

941

10%

Metals (including CME ClearPort)

454

257

77%

    Total

14,702

11,550

27%





VENUE

Q3 2011

Q3 2010

Percent Change

Open outcry

1,557

1,327

17%

CME Globex

12,463

9,574

30%

Privately negotiated

257

181

42%

CME ClearPort (OTC)

426

468

-9%




ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands)



3-Month Period Ending

PRODUCT LINE

Sep-11

Aug-11

Jul-11

Jun-11

Interest Rates

6,518

7,095

6,572

6,449

Equity Index

4,040

3,745

3,051

2,842

FX

988

954

946

918

Energy

1,670

1,695

1,683

1,757

Agricultural Commodities

1,032

1,074

1,054

1,159

Metals

454

411

388

403

    Total

14,702

14,974

13,695

13,528






VENUE

Sep-11

Aug-11

Jul-11

Jun-11

Open outcry

1,557

1,573

1,391

1,393

Electronic

12,463

12,701

11,658

11,454

Privately negotiated

257

275

236

242

CME ClearPort (OTC)

426

426

409

438




Average Rate Per Contract (In dollars)



3-Month Period Ending

PRODUCT LINE

Aug-11

Jul-11

Jun-11

May-11

Interest Rates

0.480

0.485

0.486

0.486

Equity Index

0.708

0.704

0.709

0.706

FX

0.829

0.850

0.868

0.845

Energy

1.593

1.611

1.595

1.574

Agricultural Commodities

1.305

1.330

1.303

1.266

Metals

1.620

1.668

1.636

1.687

    Total

0.776

0.796

0.807

0.804






VENUE

Aug-11

Jul-11

Jun-11

May-11

Exchange-Traded

0.721

0.736

0.745

0.741

CME ClearPort (OTC)

2.651

2.739

2.665

2.582




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.

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 world's leading central counterparty clearing providers, which offers 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.            

CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc.  CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc.  NYMEX, New York Mercantile Exchange and ClearPort are registered 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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