News Release

CME Group Volume Averaged 12.8 Million Contracts per Day in February 2012, up 10 Percent from January 2012

Fri Mar 02 2012

CHICAGO, March 2, 2012 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that February 2012 volume averaged 12.8 million contracts per day, down 13 percent from February 2011 – which posted exceptionally strong average daily volume due to the impact of  significant unrest in the Middle East throughout the month – but up 10 percent from January 2012.  Total volume for February was 255 million contracts, of which 83 percent was traded electronically. 

Open interest at the end of February 2012 reached 91.8 million contracts, up 17 percent from the end of 2011.  This open interest growth year-to-date in 2012 through February compares with 11 percent to date in 2011 through February.  Open interest growth year-to-date through February 2012 was especially strong in interest rates at 30 percent, equity indexes at 22 percent and foreign exchange (FX) at 20 percent.

In February 2012, CME Group interest rate volume averaged 6.0 million contracts per day, down 19 percent from February 2011, but up 15 percent sequentially.  Treasury futures volume averaged 2.9 million contracts per day, down 13 percent compared with same period a year ago, but up 50 percent sequentially.  Treasury options volume averaged 322,000 contracts per day, down 13 percent from February 2011, but up 4 percent sequentially.  Eurodollar futures volume averaged 1.9 million contracts per day, down 29 percent from February 2011.  Eurodollar options volume averaged 815,000 contracts per day, down 8 percent from the prior February.

CME Group equity index volume averaged 2.2 million contracts per day, down 14 percent from February 2011.  CME Group foreign exchange (FX) volume averaged 848,000 contracts per day, down 9 percent from February last year, but up 14 percent sequentially, reflecting average daily notional value of $110 billion.

CME Group energy volume averaged 2.1 million contracts per day, in line with February 2011, and up 6 percent sequentially.  CME Group agricultural commodities volume averaged 1.2 million contracts per day, down 9 percent compared with the prior year period, but up 13 percent compared with January 2012.  CME Group metals volume averaged 395,000 contracts per day, up 12 percent compared with the same period last year, and up 8 percent sequentially.

Electronic volume averaged 10.5 million contracts per day in February 2012, down 13 percent from February 2011, but up 11 percent sequentially.  Privately negotiated volume decreased 12 percent to 225,000 contracts per day, from the prior February.  Average daily volume cleared through CME ClearPort was 624,000 contracts in February 2012, up 14 percent compared with February 2011, and up 7 percent compared with January 2012.  Open outcry volume averaged 1.4 million contracts per day, down 20 percent versus the prior-year period, and up 3 percent sequentially.

MONTHLY AVERAGE DAILY VOLUME (ADV)

 

Total Exchange ADV

( in thousands)

 

 

Feb 2012

Feb 2011

 

Trading Days

20

19

 

 

 

 

 

PRODUCT LINE

Feb 2012

Feb 2011

Percent Change

Interest Rates

5,991

7,368

-19%

Equity Indexes

2,201

2,554

-14%

Foreign Exchange (FX)

848

933

-9%

Energy (including CME ClearPort)

2,143

2,150

0%

Agricultural Commodities

1,191

1,315

-9%

Metals (including CME ClearPort)

395

352

12%

     Total

12,768

14,672

-13%

 

 

 

VENUE

Feb 2012

Feb 2011

Percent Change

Open outcry

1,374

1,709

-20%

CME Globex

10,545

12,160

-13%

Privately negotiated

225

254

-12%

CME ClearPort (OTC)

624

548

14%

 

ROLLING THREE-MONTH AVERAGES

 

Average Daily Volume (In thousands)

 

3-Month Period Ending

PRODUCT LINE

Feb-12

Jan-12

Dec-11

Nov-11

Interest Rates

4,888

4,858

4,729

5,315

Equity Indexes

2,419

2,751

3,147

3,673

Foreign Exchange (FX)

771

760

820

940

Energy

1,854

1,749

1,704

1,795

Agricultural Commodities

1,019

995

1,004

1,099

Metals

342

335

315

376

     Total

11,294

11,449

11,719

13,199

 

 

 

 

 

VENUE

Feb-12

Jan-12

Dec-11

Nov-11

Open outcry

1,196

1,215

1,173

1,346

Electronic

9,364

9,524

9,864

11,136

Privately negotiated

202

202

204

225

CME ClearPort (OTC)

531

507

492

470

 

Average Rate Per Contract (In dollars)

 

 

3-Month Period Ending

PRODUCT LINE

Jan-12

Dec-11

Nov-11

Oct-11

Interest Rates

0.481

0.480

0.473

0.473

Equity Indexes

0.697

0.705

0.708

0.707

Foreign Exchange (FX)

0.841

0.828

0.814

0.799

Energy

1.547

1.507

1.497

1.507

Agricultural Commodities

1.223

1.230

1.239

1.237

Metals

1.697

1.706

1.736

1.639

     Total

0.820

0.811

0.802

0.781

 

 

 

 

 

VENUE

Jan-12

Dec-11

Nov-11

Oct-11

Exchange-Traded

0.750

0.748

0.742

0.724

CME ClearPort (OTC)

2.330

2.290

2.352

2.473

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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