News Release

CME Group Volume Averaged 12.3 Million Contracts per Day in First-Quarter 2012, Up 5 Percent from Fourth-Quarter 2011, and 12.5 Million Contracts per Day in March

Tue Apr 03 2012

CHICAGO, April 3, 2012 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that first-quarter 2012 volume averaged 12.3 million contracts per day, up 5 percent from fourth-quarter 2011, but down 11 percent from first-quarter 2011 – which posted exceptionally strong average daily volume due to the impact of significant unrest in the Middle East and a natural disaster in Japan within the quarter.  March 2012 volume averaged 12.5 million contracts per day, down 13 percent from March 2011.  Total volume for March was more than 275 million contracts, of which 84 percent was traded electronically. 

Open interest at the end of March 2012 reached 89.7 million contracts, up 15 percent from the end of 2011.  This open interest growth year-to-date through March 2012 compares with 9 percent through March 2011.  Open interest growth year-to-date through March 2012 was especially strong in agricultural commodities at 28 percent, interest rates at 20 percent, and equity indexes at 19 percent.

In first-quarter 2012, CME Group interest rate volume averaged 5.6 million contracts per day, down 13 percent from first-quarter 2011, but up 19 percent sequentially.  Treasury futures volume averaged 2.4 million contracts per day, down 14 percent compared with the same period a year ago, but up 9 percent sequentially.  Treasury options volume averaged 360,000 contracts per day, up 11 percent from first-quarter 2011, and up 33 percent sequentially.  Eurodollar futures volume averaged 2.0 million contracts per day, down 19 percent from first-quarter 2011, but up 25 percent sequentially.  Eurodollar options volume averaged 811,000 contracts per day, up 6 percent from the prior first-quarter, and up 27 percent sequentially.

CME Group equity index volume averaged 2.4 million contracts per day, down 18 percent from first-quarter 2011, and down 24 percent sequentially.  CME Group foreign exchange (FX) volume averaged 846,000 contracts per day, down 12 percent from first-quarter last year, but up 3 percent sequentially, reflecting average daily notional value of $108 billion.

CME Group energy volume averaged 2.0 million contracts per day in first-quarter 2012, down 1 percent compared with the same period in 2011, but up 15 percent sequentially.  CME Group agricultural commodities volume averaged 1.1 million contracts per day, down 3 percent compared with the prior-year period, but up 12 percent compared with fourth-quarter 2011.  CME Group metals volume averaged 385,000 contracts per day, up 2 percent compared with the same period last year, and up 22 percent sequentially.

Electronic volume averaged 10.2 million contracts per day in first-quarter 2012, down 12 percent from first-quarter 2011, but up 3 percent from fourth-quarter 2011.  Privately negotiated volume increased 2 percent to 229,000 contracts per day from the prior first-quarter, and increased 12 percent sequentially.  Average daily volume cleared through CME ClearPort was 554,000 contracts in first-quarter 2012, up 11 percent compared with first-quarter 2011, and up 16 percent compared with fourth-quarter 2011.  Open outcry volume averaged 1.3 million contracts per day, down 8 percent versus the prior-year period, and up 15 percent sequentially.

MONTHLY AVERAGE DAILY VOLUME (ADV)


Total Exchange ADV

( in thousands)



Mar 2012

Mar 2011


Trading Days

22

23






PRODUCT LINE

Mar 2012

Mar 2011

   Percent Change

Interest Rates

5,643

6,611

-15%

Equity Indexes

2,710

3,504

-23%

Foreign Exchange (FX)

936

1,003

-7%

Energy (including CME ClearPort)

1,714

1,794

-4%

Agricultural Commodities

1,118

1,108

1%

Metals (including CME ClearPort)

395

366

8%

     Total

12,516

14,385

-13%





VENUE

 Mar 2012

 Mar 2011

 Percent Change

Open outcry

1,335

1,445

-8%

CME Globex

10,464

12,212

-14%

Privately negotiated

252

234

7%

CME ClearPort (OTC)

464

493

-6%

 

QUARTERLY AVERAGE DAILY VOLUME (ADV)



Total Exchange ADV

( in thousands)



1Q 2012

1Q 2011


Trading Days

62

62






PRODUCT LINE

1Q 2012

1Q 2011

Percent Change

Interest Rates

5,613

6,424

-13%

Equity Indexes

2,390

2,906

-18%

Foreign Exchange (FX)

846

961

-12%

Energy (including CME ClearPort)

1,952

1,973

-1%

Agricultural Commodities

1,122

1,154

-3%

Metals (including CME ClearPort)

385

376

2%

    Total

12,308

13,794

-11%





VENUE

1Q 2012

1Q 2011

Percent Change

Open outcry

1,348

1,467

-8%

CME Globex

10,177

11,605

-12%

Privately negotiated

229

224

2%

CME ClearPort (OTC)

554

498

11%

 

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands)


3-Month Period Ending

PRODUCT LINE

Mar-12

Feb-12

Jan-12

Dec-11

Interest Rates

5,613

4,888

4,858

4,729

Equity Indexes

2,390

2,419

2,751

3,147

Foreign Exchange (FX)

846

771

760

820

Energy

1,952

1,854

1,749

1,704

Agricultural Commodities

1,122

1,019

995

1,004

Metals

385

342

335

315

     Total

12,308

11,294

11,449

11,719






VENUE

Mar-12

Feb-12

Jan-12

Dec-11

Open outcry

1,348

1,196

1,215

1,173

Electronic

10,177

9,364

9,524

9,864

Privately negotiated

229

202

202

204

CME ClearPort (OTC)

554

531

507

479

 

Average Rate Per Contract (In dollars)


3-Month Period Ending

PRODUCT LINE

Feb-12

Jan-12

Dec-11

Nov-11

Interest Rates

0.480

0.481

0.480

0.473

Equity Indexes

0.691

0.697

0.705

0.708

Foreign Exchange (FX)

0.837

0.841

0.828

0.814

Energy

1.544

1.547

1.507

1.497

Agricultural Commodities

1.206

1.223

1.230

1.239

Metals

1.639

1.697

1.706

1.736

     Total

0.825

0.820

0.811

0.802






VENUE

Feb-12

Jan-12

Dec-11

Nov-11

Exchange-Traded

0.746

0.750

0.748

0.742

CME ClearPort (OTC)

2.424

2.330

2.290

2.352

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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