News Release

CME Group Volume Averaged 11.6 Million Contracts per Day in January 2012, up 21 Percent from December 2011

Thu Feb 02 2012

CHICAGO, Feb. 2, 2012 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that January 2012 volume averaged 11.6 million contracts per day, down 5 percent from January 2011, but up 21 percent from December 2011.  Total volume for January was 232 million contracts, of which 82 percent was traded electronically.

Open interest at the end of January 2012 reached 87.1 million contracts, up 11 percent from the end of 2011.  Open interest growth was 11 percent in the month of January 2012 versus 7 percent in the month of January 2011.  January 2012 open interest growth was especially strong in interest rates at 17 percent, foreign exchange (FX) at 14 percent and agricultural commodities at 13 percent.

In January 2012, CME Group interest rate volume averaged 5.2 million contracts per day, down 2 percent from January 2011, but up 47 percent sequentially.  Treasury futures volume averaged 1.9 million contracts per day, down 12 percent compared with same period a year ago, but up 33 percent sequentially.  Treasury options volume averaged 309,000 contracts per day, up 13 percent from January 2011, and up 42 percent sequentially.  Eurodollar futures volume averaged 2.1 million contracts per day, down 1 percent from January 2011.  Eurodollar options volume averaged 850,000 contracts per day, up 30 percent from the prior January.

CME Group equity index volume averaged 2.2 million contracts per day, down 13 percent from January 2011.  CME Group foreign exchange (FX) volume averaged 744,000 contracts per day, down 21 percent from January last year, but up 3 percent sequentially and reflecting average daily notional value of $96 billion.

CME Group energy volume averaged 2.0 million contracts per day, up 1 percent compared with January 2011, and up 43 percent sequentially.  CME Group agricultural commodities volume averaged 1.1 million contracts per day, flat compared with the prior year period, and up 29 percent compared with December 2011.  CME Group metals volume averaged 365,000 contracts per day, down 11 percent compared with the same period last year, but up 36 percent sequentially.

Electronic volume averaged 9.5 million contracts per day in January 2012, down 9 percent from January 2011, but up 17 percent sequentially.  Privately negotiated volume increased 14 percent to 208,000 contracts per day, from the prior January.   Average daily volume cleared through CME ClearPort was 582,000 contracts in January 2012, up 27 percent compared with January 2011, and up 48 percent compared with December 2011.  Open outcry volume averaged 1.3 million contracts per day, up 6 percent versus the prior year period, and up 50 percent sequentially.

 

MONTHLY AVERAGE DAILY VOLUME (ADV)

 

 

 

 

Total Exchange ADV

( in thousands)

 

 

Jan 2012

Jan 2011

 

Trading Days

20

20

 

 

 

 

 

PRODUCT LINE

Jan 2012

Jan 2011

   Percent Change

Interest Rates

5,202

5,312

-2%

Equity Indexes

2,227

2,553

-13%

Foreign Exchange (FX)

744

939

-21%

Energy (including CME ClearPort)

2,024

2,011

1%

Agricultural Commodities

1,056

1,056

0%

Metals (including CME ClearPort)

365

412

-11%

     Total

11,619

12,282

-5%

 

 

 

 

 

 

 


VENUE

        Jan 2012

       Jan 2011

    Percent Change

Open outcry

1,336

1,263

6%

CME Globex

9,492

10,379

-9%

Privately negotiated

208

182

14%

CME ClearPort (OTC)

582

457

27%

 

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands)

 

3-Month Period Ending

PRODUCT LINE

Jan-12

Dec-11

Nov-11

Oct-11

Interest Rates

4,858

4,729

5,315

6,085

Equity Indexes

2,751

3,147

3,673

4,202

Foreign Exchange (FX)

760

820

940

1,000

Energy

1,749

1,704

1,795

1,805

Agricultural Commodities

995

1,004

1,099

1,070

Metals

335

315

376

429

     Total

11,449

11,719

13,199

14,591

 

 

 

 

 


VENUE

Jan-12

Dec-11

Nov-11

Oct-11

Open outcry

1,215

1,173

1,346

1,512

Electronic

9,524

9,864

11,136

12,354

Privately negotiated

202

204

225

254

CME ClearPort (OTC)

507

492

470

426

 

Average Rate Per Contract (In dollars)

 

3-Month Period Ending

PRODUCT LINE

Dec-11

Nov-11

Oct-11

Sep-11

Interest Rates

0.480

0.473

0.473

0.479

Equity Indexes

0.705

0.708

0.707

0.703

Foreign Exchange (FX)

0.828

0.814

0.799

0.801

Energy

1.507

1.497

1.507

1.580

Agricultural Commodities

1.230

1.239

1.237

1.264

Metals

1.706

1.736

1.639

1.649

     Total

0.811

0.802

0.781

0.779

 

 

 

 

 

VENUE

Dec-11

Nov-11

Oct-11

Sep-11

Exchange-Traded

0.748

0.742

0.724

0.724

CME ClearPort (OTC)

2.290

2.352

2.473

2.621

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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