News Release

CME Group Volume Averaged 14.9 Million Contracts per Day in June 2011, Up 22 Percent From June 2010

Tue Jul 05 2011

CHICAGO, July 5, 2011 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced June volume averaged 14.9 million contracts per day, up 22 percent from June 2010.  Total volume for June was 327 million contracts, of which a record 85 percent was traded electronically.  June 2011 month-end open interest reached 94 million contracts, up 9 percent from the same period last year.  Second-quarter 2011 volume averaged 13.5 million contracts per day, in line with strong second-quarter 2010 results which included record May 2010 average daily volume.  

In June 2011, CME Group interest rate volume averaged 7.1 million contracts per day, up 50 percent compared with June 2010.  Treasury futures volume averaged 2.9 million contracts per day, up 44 percent compared with same period a year ago.  Treasury options volume averaged 351,000 contracts per day, up 43 percent from June 2010.  Eurodollar futures volume averaged 2.8 million contracts per day, up 69 percent versus prior June, and Eurodollar options volume averaged 839,000 contracts per day, up 30 percent, and included a monthly record for 2-Year Eurodollar Midcurve options.

CME Group equity index volume averaged 3.5 million contracts per day, up 28 percent from May 2011, but down 3 percent from June 2010.  CME Group foreign exchange (FX) volume averaged 977,000 contracts per day, in line with prior month and with the same period a year ago, reflecting average daily notional value of $134 billion.

CME Group energy volume averaged 1.8 million contracts per day, up 6 percent compared with June 2010.  CME Group agricultural commodities volume averaged 1.2 million contracts per day, up 32 percent compared with the prior June, and up 27 percent sequentially.  CME Group metals volume averaged 326,000 contracts per day, up 20 percent compared with the same period last year.

Electronic volume averaged 12.7 million contracts per day in June 2011, up 23 percent from June 2010, while privately negotiated volume increased 62 percent to 293,000 contracts per day.  Average daily volume cleared through CME ClearPort was 432,000 contracts, down 4 percent compared with June 2010.  Open outcry volume averaged 1.5 million contracts per day, up 15 percent versus the prior June.

During the second quarter, CME Group interest rate volume averaged 6.4 million contracts per day, up 6 percent compared with second-quarter 2010.  Treasury futures volume averaged 2.8 million contracts per day, up 11 percent compared with the same period a year ago, and included a quarterly average daily volume record 57,000 contracts for Ultra Treasury bond futures.  Treasury options volume averaged 303,000 contracts per day, up 10 percent.  Eurodollar futures volume averaged 2.5 million contracts per day, up 10 percent versus second-quarter 2010, and Eurodollar options volume averaged 752,000 contracts per day, down 14 percent.

CME Group equity index volume averaged 2.8 million contracts per day, down 18 percent from second-quarter 2010.  CME Group foreign exchange (FX) volume averaged 918,000 contracts per day, down 11 percent compared with the same period a year ago, reflecting average daily notional value of $127 billion.

CME Group energy volume averaged 1.8 million contracts per day, down 2 percent compared with second-quarter 2010.  RBOB Gas averaged a record 138,000 contracts per day during the quarter.  CME Group agricultural commodities volume averaged 1.2 million contracts per day, up 36 percent compared with the prior second quarter.  CME Group metals volume averaged 403,000 contracts per day, up 31 percent compared with the same period last year, driven in part by quarterly records in copper and silver futures.

Electronic volume averaged 11.5 million contracts per day in second-quarter 2011, up 1 percent from second-quarter 2010, while privately negotiated volume increased 22 percent to 242,000 contracts per day.  Average daily volume cleared through CME ClearPort was 438,000 contracts, down 2 percent compared with second-quarter 2010.  Open outcry volume averaged 1.4 million contracts per day, down 9 percent versus the same period in 2010.



MONTHLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

( in thousands)



June 2011

June 2010


Trading Days

22

22






PRODUCT LINE

June 2011

June 2010

  Percent Change

Interest Rates

7,056

4,697

50%

Equity Index

3,504

3,617

-3%

FX

977

981

0%

Energy (including CME ClearPort)

1,761

1,665

6%

Agricultural Commodities

1,228

928

32%

Metals (including CME ClearPort)

326

273

20%

    Total

14,853

12,162

22%



VENUE

June 2011

June 2010

Percent Change

Open outcry

1,466

1,273

15%

CME Globex

12,661

10,256

23%

Privately negotiated

294

181

62%

CME ClearPort (OTC)

432

452

-4%






QUARTERLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

( in thousands)



Q2 2011

Q2 2010


Trading Days

63

64






PRODUCT LINE

Q2 2011

Q2 2010

  Percent Change

Interest Rates

6,449

6,074

6%

Equity Index

2,842

3,455

-18%

FX

918

1,035

-11%

Energy (including CME ClearPort)

1,757

1,798

-2%

Agricultural Commodities

1,159

855

36%

Metals (including CME ClearPort)

403

308

31%

    Total

13,528

13,525

0%



VENUE

Q2 2011

Q2 2010

Percent Change

Open outcry

1,393

1,539

-9%

CME Globex

11,454

11,340

1%

Privately negotiated

242

198

22%

CME ClearPort (OTC)

438

448

-2%




ROLLING THREE-MONTH AVERAGES


Average Daily Volume (In thousands)



3-Month Period Ending

PRODUCT LINE

Jun-11

May-11

Apr-11

Mar-11

Interest Rates

6,449

6,299

6,560

6,424

Equity Index

2,842

2,852

2,800

2,906

FX

918

928

915

961

Energy

1,757

1,769

1,866

1,973

Agricultural Commodities

1,159

1,117

1,228

1,154

Metals

403

416

380

376

    Total

13,528

13,380

13,750

13,794






VENUE

Jun-11

May-11

Apr-11

Mar-11

Open outcry

1,393

1,386

1,491

1,467

Electronic

11,454

11,312

11,523

11,605

Privately negotiated

242

222

241

224

CME ClearPort (OTC)

438

460

494

498




Average Rate Per Contract (In dollars)



3-Month Period Ending

PRODUCT LINE

May-11

Apr-11

Mar-11

Feb-11

Interest Rates

0.486

0.484

0.481

0.485

Equity Index

0.706

0.712

0.705

0.711

FX

0.845

0.840

0.823

0.820

Energy

1.574

1.585

1.573

1.608

Agricultural Commodities

1.266

1.265

1.271

1.257

Metals

1.687

1.697

1.732

1.706

    Total

0.804

0.807

0.808

0.820






VENUE

May-11

Apr-11

Mar-11

Feb-11

Exchange-Traded

0.741

0.741

0.740

0.748

CME ClearPort (OTC)

2.582

2.574

2.630

2.735




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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