News Release

CME Group Volume Averaged All-Time Record 17.1 Million Contracts per Day in August 2011, Up 46 Percent from August 2010

Fri Sep 02 2011

CHICAGO, Sept. 2, 2011 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced August volume averaged an all-time record 17.1 million contracts per day, up 46 percent from August 2010, and up 35 percent sequentially.  Total volume for August was 393 million contracts, of which 84 percent was traded electronically.  August 2011 month-end open interest reached 100 million contracts, up 7 percent from the same period last year.

"While customers rely on liquidity during all market conditions, it becomes increasingly crucial during times of high market volatility," said CME Group Executive Chairman Terry Duffy.  "The market turbulence in August reinforced the need for deep liquidity across time zones, allowing for the decisive action necessary to manage risk in an uncertain environment."

"Given CME Group's product diversity, we provide customers the ability to manage risks across all major asset classes," said CME Group Chief Executive Officer Craig Donohue.  "Reaching a record of more than 100 million open contracts in August, including 46 million in interest rates alone, our products deliver capital efficiencies plus the proven safety and security of CME Clearing."

In August 2011, CME Group interest rate volume averaged 8.0 million contracts per day, up 47 percent compared with August 2010.  Treasury futures volume averaged 3.7 million contracts per day, up 33 percent compared with same period a year ago.  Treasury options volume averaged 362,000 contracts per day, down one percent from August 2010.  Ultra Treasury bond futures and options averaged a record 112,000 contracts per day in August, up 105 percent compared with August 2010.  Eurodollar futures volume averaged 2.7 million contracts per day, up 71 percent versus prior August, and Eurodollar options volume averaged 1.2 million contracts per day, up 75 percent, and included a monthly record for 2-Year Eurodollar Mid-curve options, surpassing last month's record by 16 percent.

CME Group equity index volume averaged 4.7 million contracts per day, up 83 percent from August 2010, and included record August average daily volume of 3.9 million contracts for the E-mini S&P futures and options.  CME Group foreign exchange (FX) volume averaged 991,000 contracts per day, up 21 percent compared with the same period a year ago, reflecting average daily notional value of $137 billion.

CME Group energy volume averaged 1.8 million contracts per day, up 8 percent compared with August 2010.  CME Group agricultural commodities volume averaged 1.0 million contracts per day, up 7 percent compared with the prior August.  CME Group metals volume averaged a record 521,000 contracts per day, more than doubling the average daily volume from the same period last year, and up 38 percent sequentially.  The month of August included record average daily volumes for Gold futures and options as well as Copper futures.

Electronic volume averaged a record 14.4 million contracts per day in August 2011, up 49 percent from August 2010, while privately negotiated volume increased 57 percent to a record 306,000 contracts per day.  Average daily volume cleared through CME ClearPort was 484,000 contracts in August 2011, down 2 percent compared with August 2010, however there was record volume in FX and metals cleared during the month.  Open outcry volume averaged 1.9 million contracts per day, up 37 percent versus the prior August.



MONTHLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

( in thousands)



Aug 2011

Aug 2010


Trading Days

23

22






PRODUCT LINE

Aug 2011

Aug 2010

Percent Change

Interest Rates

7,979

5,427

47%

Equity Index

4,726

2,584

83%

FX

991

818

21%

Energy (including CME ClearPort)

1,848

1,704

8%

Agricultural Commodities

1,030

963

7%

Metals (including CME ClearPort)

522

226

131%

    Total

17,095

11,722

46%



VENUE

     Aug 2011

    Aug 2010

Percent Change

Open outcry

1,884

1,380

37%

CME Globex

14,420

9,652

49%

Privately negotiated

306

196

57%

CME ClearPort (OTC)

484

495

-2%




ROLLING THREE-MONTH AVERAGES


Average Daily Volume (In thousands)



3-Month Period Ending

PRODUCT LINE

Aug-11

Jul-11

Jun-11

May-11

Interest Rates

7,095

6,572

6,449

6,299

Equity Index

3,745

3,051

2,842

2,852

FX

954

946

918

928

Energy

1,695

1,683

1,757

1,769

Agricultural Commodities

1,074

1,054

1,159

1,117

Metals

411

388

403

416

    Total

14,974

13,695

13,528

13,380






VENUE

Aug-11

Jul-11

Jun-11

May-11

Open outcry

1,573

1,391

1,393

1,386

Electronic

12,701

11,658

11,454

11,312

Privately negotiated

275

236

242

222

CME ClearPort (OTC)

426

409

438

460




Average Rate Per Contract (In dollars)



3-Month Period Ending

PRODUCT LINE

Jul-11

Jun-11

May-11

Apr-11

Interest Rates

0.485

0.486

0.486

0.484

Equity Index

0.704

0.709

0.706

0.712

FX

0.850

0.868

0.845

0.840

Energy

1.611

1.595

1.574

1.585

Agricultural Commodities

1.330

1.303

1.266

1.265

Metals

1.668

1.636

1.687

1.697

    Total

0.796

0.807

0.804

0.807






VENUE

Jul-11

Jun-11

May-11

Apr-11

Exchange-Traded

0.736

0.745

0.741

0.741

CME ClearPort (OTC)

2.739

2.665

2.582

2.574



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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