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In March, CME average daily volume was a record 4.3 million contracts, up 40 percent from March 2004. This was CME’s third consecutive record volume month. Representing 65 percent of total exchange volume during March, trading on CME Globex averaged a record 2.8 million contracts per day, up 78 percent from March 2004. The percentage of CME Globex business was lower than in prior months due to strong CME Eurodollar options business, which currently trades primarily via open outcry. On a rolling three-month basis, the average rate per contract through February was 67.3 cents, versus 70.3 cents for fourth-quarter 2004 (see CME Rate per Contract table). Final first-quarter rate per contract information will be provided with the first-quarter earnings release.
“Successful execution of our growth strategy is driving CME’s record-breaking volume, with double-digit volume increases in all four product lines,” said CME Chairman Terry Duffy. “In addition to overseas expansion, we have seen substantial domestic growth, especially from members. This is being driven in part by the faster response time of our electronic trading platform, which averaged 60 milliseconds in February compared with more than 100 milliseconds in the fourth quarter.”
“Volume growth of our benchmark futures and options products has contributed to the significant expansion of our market share over the past few years,” said CME Chief Executive Officer Craig Donohue. “We are seeing a dramatic increase in the volume of pit-traded CME Eurodollar options, which was up 86 percent year over year to more than 830,000 contracts in March. We also have been breaking records with our electronic equity index options, which grew from under 1,000 contracts in March last year to 12,000 in March 2005. Going forward, we will continue to drive options volume by enhancing technology on our electronic trading platform for all our major product lines and expanding our distribution channels.”
First-quarter highlights include:
- Record trading in CME interest rate products of 2.2 million contracts per day was up 58 percent compared with first-quarter 2004.
- Average daily volume of CME Eurodollar futures on CME Globex in the first quarter grew to 1.1 million contracts, up from 153,000 contracts per day in first-quarter 2004.
- During the quarter, CME’s foreign exchange (FX) markets averaged a record 294,000 contracts per day, up 56 percent from the same period one year ago, while trading in CME’s electronic foreign exchange (eFX) doubled from last year’s levels.
- CME’s record E-mini™ volume of 1.2 million contracts per day was up 16 percent compared to the prior year.
March highlights include:
- CME’s interest rate product line averaged a record 2.4 million contracts per day and was up 69 percent compared with March 2004.
- CME Eurodollar futures on CME Globex averaged a record 1.2 million contracts per day in March.
- CME Eurodollar options, which are 98 percent pit traded, averaged 834,000 contracts per day in March, compared with 749,000 in February, 626,000 in January, and 516,000 per day during 2004.
- CME’s FX markets hit a monthly volume record. CME FX average daily volume totaled 324,000 contracts per day, an increase of 55 percent from March 2004.
- CME eFX reached a record 234,000 contracts per day in March, up 97 percent from March 2004.
- CME’s record E-mini™ volume exceeded 1.3 million contracts during March 2005, up 9 percent compared with March 2004.
CME
QUARTERLY AVERAGE DAILY VOLUME (In
Thousands)
| Q1 2005 | Q1 2004 | Percent Change | |
| CME PRODUCT LINE | |||
| Interest Rates | 2,235 | 1,418 | 58% |
| E-Minis | 1,237 | 1,069 | 16% |
| Equity Standard | 129 | 118 | 9% |
| Foreign Exchange | 294 | 188 | 56% |
| Commodities | 51 | 38 | 37% |
| Sub Total | 3,946 | 2,830 | 39% |
| trakrs | 30 | 116 | -74% |
| Total | 3,976 | 2,946 | 35% |
| VENUE | |||
| Open Outcry | 1,276 | 1,446 | -12% |
| Globex (Ex trakrs) | 2,618 | 1,345 | 95% |
| Privately Negotiated | 52 | 39 | 33% |
CME
MONTHLY AVERAGE DAILY VOLUME (In
Thousands)
| March 2005 | March 2004 | Percent Change | |
| CME PRODUCT LINE | |||
| Interest Rates | 2,411 | 1,426 | 69% |
| E-Minis | 1,323 | 1,213 | 9% |
| Equity Standard | 180 | 172 | 5% |
| Foreign Exchange | 324 | 210 | 55% |
| Commodities | 56 | 41 | 36% |
|
Sub Total |
4,294 | 3,062 | 40% |
| trakrs | 25 | 62 | -60% |
|
Total |
4,319 | 3,124 | 38% |
| VENUE | |||
| Open Outcry | 1,453 | 1,458 | 0% |
| Globex (Ex trakrs) | 2,781 | 1,561 | 78% |
| Privately Negotiated | 59 | 43 | 39% |
Beginning this month, CME will provide a rolling three-month average rate per contract by product line, venue and in total to enhance existing volume transparency. The rolling three-month average rate for February includes February, January and December 2004 data. The rate information will provide two additional data points during each quarter to supplement the existing rate information provided quarterly. There will be a one month lag in this information. For example, rate information through February is available with March volume, and April rate information will be available with the May volume release. In addition, CME will also provide rolling three-month average daily volume for the same period. Additional history regarding the three-month rolling rate per contract is available in the monthly volume sheet which can be found on the investor relations portion of www.cme.com.
CME RATE PER CONTRACT THROUGH FEBRUARY 2005 (excluding TRAKRS)
Chicago Mercantile Exchange Inc. (www.cme.com) is the largest futures exchange in the United States. As an international marketplace, CME brings together buyers and sellers on CME Globex® electronic trading platform and on its trading floors. CME offers futures and options on futures primarilyin four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moved about $1.5 billion per day in settlement payments in 2004 and managed $44.1 billion in collateral deposits at Dec. 31, 2004, including $3.1 billion in deposits for non-CME products. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME), which is part of the Russell 1000® Index.
