News Release

CME Group Volume Averaged 13.2 Million Contracts per Day in November 2011, Up 6 Percent from October 2011

Fri Dec 02 2011

CHICAGO, Dec. 2, 2011 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced November volume averaged 13.2 million contracts per day, up 6 percent from October 2011, but down 7 percent from November 2010.  Average daily volume for November 2010, boosted by the completion of QE2, came in at 14.2 million contracts per day.  November 2011 average daily volume was higher than 4 other months during 2011, and year-to-date volume is averaging 13.8 million contracts per day, up 12 percent from the same time period in 2010.  Total volume for November was 276 million contracts, of which 83 percent was traded electronically.

In November 2011, CME Group interest rate volume averaged 5.8 million contracts per day, up 22 percent from October 2011, but down 16 percent compared with November 2010.  Treasury futures volume averaged 2.8 million contracts per day, up 27 percent sequentially, but down 5 percent compared with same period a year ago.  Treasury options volume averaged 304,000 contracts per day, up 5 percent sequentially, but down 31 percent from November 2010.  Eurodollar futures volume averaged 1.9 million contracts per day, up 15 percent from October 2011, but down 29 percent compared with the prior November.  Eurodollar options volume averaged 824,000 contracts per day, up 31 percent sequentially, but down 2 percent from November 2010.  Additionally, the 3-Year Eurodollar Midcurve option contract averaged a monthly record of 145,000 contracts per day in November.

CME Group equity index volume averaged 3.2 million contracts per day, up 12 percent from November 2010.  CME Group foreign exchange (FX) volume averaged 811,000 contracts per day, down 16 percent from the prior November, reflecting average daily notional value of $106 billion.

CME Group energy volume averaged 1.8 million contracts per day, up 13 percent compared with November 2010.  CME Group agricultural commodities volume averaged 1.1 million contracts per day, up 3 percent sequentially, but down 12 percent compared with the prior November.  CME Group metals volume averaged 373,000 contracts per day, up 23 percent sequentially, but down 25 percent compared with the same period last year.

Electronic volume averaged 11.0 million contracts per day in November 2011, up 4 percent sequentially, but down 7 percent from November 2010, while privately negotiated volume decreased 15 percent, to 224,000 contracts per day, from the prior November.  Average daily volume cleared through CME ClearPort was 549,000 contracts in November 2011, up 36 percent compared with November 2010.  Open outcry volume averaged 1.4 million contracts per day, down 17 percent versus the prior November.

MONTHLY AVERAGE DAILY VOLUME (ADV)

 

 

 

Total Exchange ADV

(in thousands)

 

 

Nov 2011

Nov 2010

 

Trading Days

21

21

 

 

 

 

 

PRODUCT LINE

Nov 2011

Nov 2010

Percent Change

Interest Rates

5,850

6,971

-16%

Equity Index

3,190

2,849

12%

FX

811

964

-16%

Energy (including CME ClearPort)

1,821

1,606

13%

Agricultural Commodities

1,112

1,263

-12%

Metals (including CME ClearPort)

373

500

-25%

     Total

13,156

14,152

-7%

 

 

 

 

VENUE

Nov 2011

Nov 2010

Percent Change

Open outcry

1,422

1,717

-17%

CME Globex

10,961

11,769

-7%

Privately negotiated

224

263

-15%

CME ClearPort (OTC)

549

403

36%

ROLLING THREE-MONTH AVERAGES 

Average Daily Volume (In thousands)

 

 

 

3-Month Period Ending

PRODUCT LINE

Nov-11

Oct-11

Sep-11

Aug-11

Interest Rates

5,315

6,085

6,518

7,095

Equity Index

3,673

4,202

4,040

3,745

FX

940

1,000

988

954

Energy

1,795

1,805

1,670

1,695

Agricultural Commodities

1,099

1,070

1,032

1,074

Metals

376

429

454

411

     Total

13,199

14,591

14,702

14,974

 

 

 

 

 

VENUE

Nov-11

Oct-11

Sep-11

Aug-11

Open outcry

1,346

1,512

1,557

1,573

Electronic

11,136

12,354

12,463

12,701

Privately negotiated

225

254

257

275

CME ClearPort (OTC)

492

470

426

426

 

Average Rate Per Contract (In dollars)

 

 

 

3-Month Period Ending

PRODUCT LINE

Oct-11

Sep-11

Aug-11

Jul-11

Interest Rates

0.473

0.479

0.480

0.485

Equity Index

0.707

0.703

0.708

0.704

FX

0.799

0.801

0.829

0.850

Energy

1.507

1.580

1.593

1.611

Agricultural Commodities

1.237

1.264

1.305

1.330

Metals

1.639

1.649

1.620

1.668

     Total

0.781

0.779

0.776

0.796

 

 

 

 

 

VENUE

Oct-11

Sep-11

Aug-11

Jul-11

Exchange-Traded

0.724

0.724

0.721

0.736

CME ClearPort (OTC)

2.473

2.621

2.651

2.739

 

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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