News Release

CME Group Volume Averaged 13.5 Million Contracts per Day in May 2011, Up 11 Percent from April 2011

Thu Jun 02 2011

CHICAGO, June 2, 2011 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced May volume averaged 13.5 million contracts per day, up 11 percent from April 2011, but down 20 percent from the all-time record monthly average daily volume in May 2010.  Total volume for May was 283 million contracts, of which a record 85 percent was traded electronically.  May 2011 month-end open interest reached 97 million contracts, up 7 percent from the same period last year and up 4 percent from the same period last quarter.  

In May 2011, CME Group interest rate volume averaged 6.5 million contracts per day, up 13 percent compared with April 2011, but down 20 percent from the prior May.  Treasury futures volume averaged 3.3 million contracts per day, up 52 percent sequentially but down 9 percent compared with May 2010.  Treasury options volume averaged 262,000 contracts per day, down 17 percent from May 2010.  Eurodollar futures volume averaged 2.2 million contracts per day, down 24 percent versus May 2010, and Eurodollar options volume averaged 691,000 contracts per day, down 41 percent.

CME Group equity index volume averaged 2.7 million contracts per day, up 23 percent from April 2011, but down 35 percent from May 2010.  CME Group foreign exchange (FX) volume averaged 972,000 contracts per day, up 22 percent versus last month, but down 26 percent compared with the same period a year ago, reflecting average daily notional value of $135 billion.

CME Group energy volume averaged 1.8 million contracts per day, up 9 percent sequentially but down 9 percent compared with May 2010.  RBOB Gas averaged a record 161,000 contracts per day, surpassing the prior record of 130,000 contracts last month.  CME Group agricultural commodities volume averaged 967,000 contracts per day, up 32 percent compared with the prior May.  CME Group metals volume averaged 463,000 contracts per day, up 9 percent compared with April 2011 and up 16 percent compared with the same period last year.

Electronic volume averaged 11.5 million contracts per day in May 2011, up 13 percent sequentially, while privately negotiated volume decreased 18 percent from April 2011, to 194,000 contracts per day.  Average daily volume cleared through CME ClearPort was 440,000 contracts, relatively in line with the prior month, and down 13 percent compared with May 2010, and included a  record for Corn Calendar Swaps averaging 1,500 contracts per day during the month.  Open outcry volume averaged 1.4 million contracts per day, up 2 percent sequentially, and down 31 percent versus the prior May.



MONTHLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

( in thousands)



May 2011

May 2010


Trading Days

21

20






PRODUCT LINE

May 2011

May 2010

Percent Change

Interest Rates

6,494

8,105

-20%

Equity Index

2,735

4,229

-35%

FX

972

1,306

-26%

Energy (including CME ClearPort)

1,826

2,000

-9%

Agricultural Commodities

967

731

32%

Metals (including CME ClearPort)

463

398

16%

    Total

13,458

16,768

-20%



VENUE

May 2011

May 2010

Percent Change

Open outcry

1,369

1,974

-31%

CME Globex

11,455

14,041

-18%

Privately negotiated

194

246

-21%

CME ClearPort (OTC)

440

507

-13%




ROLLING THREE-MONTH AVERAGES


Average Daily Volume (In thousands)



3-Month Period Ending

PRODUCT LINE

May-11

Apr-11

Mar-11

Feb-11

Interest Rates

6,299

6,560

6,424

5,851

Equity Index

2,852

2,800

2,906

2,407

FX

928

915

961

891

Energy

1,769

1,866

1,973

1,846

Agricultural Commodities

1,117

1,228

1,154

1,057

Metals

416

380

376

342

    Total

13,380

13,750

13,794

12,394






VENUE

May-11

Apr-11

Mar-11

Feb-11

Open outcry

1,386

1,491

1,467

1,380

Electronic

11,312

11,523

11,605

10,356

Privately negotiated

222

241

224

210

CME ClearPort (OTC)

460

494

498

447




Average Rate Per Contract (In dollars)



3-Month Period Ending

PRODUCT LINE

Apr-11

Mar-11

Feb-11

Jan-11

Interest Rates

0.484

0.481

0.485

0.491

Equity Index

0.712

0.705

0.711

0.707

FX

0.840

0.823

0.820

0.811

Energy

1.585

1.573

1.608

1.637

Agricultural Commodities

1.265

1.271

1.257

1.223

Metals

1.697

1.732

1.706

1.716

    Total

0.807

0.808

0.820

0.816






VENUE

Apr-11

Mar-11

Feb-11

Jan-11

Exchange-Traded

0.741

0.740

0.748

0.748

CME ClearPort (OTC)

2.574

2.630

2.735

2.826



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.

CME-G

SOURCE CME Group

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