- Record monthly volumes in E-mini equity indexes, up 66 percent, and FX, up 32 percent
- Third-quarter volume averaged 13.2 million contracts per day, assuming combined CME Group/NYMEX volumes for the entire quarter
- Record quarterly volumes in E-mini equity indexes, up 19 percent, and FX, up 12 percent
- September OTC volume on ClearPort up 44 percent
- Year-to-date average daily volume through September up 10 percent on a combined basis
CME Group, the world's largest and most diverse derivatives exchange, today announced that September 2008 volume averaged 15.7 million contracts per day, up 18 percent from September 2007 and up 44 percent compared with August 2008, assuming combined CME Group/NYMEX volumes. Total monthly volume exceeded 328 million contracts, a record 81 percent of which were traded electronically. On a combined basis, CME Group third-quarter 2008 volume averaged 13.2 million contracts per day, down 7 percent from the same period last year. On the same basis, CME Group year-to-date 2008 volume through September averaged 13.9 million contracts per day, up 10 percent from the same period in 2007.
September 2008 Highlights
CME Group E-mini equity index volume averaged a record 4.8 million contracts per day, up 66 percent compared with September 2007. CME Group foreign exchange (FX) contracts volume averaged a record 835,000 contracts per day, up 32 percent, and represented a record average daily notional value of $111 billion, up 41 percent. CME Group interest rate volume averaged 7.1 million contracts per day, down 1 percent compared with the same period in 2007. CME Group commodities and alternative investments volume averaged 736,000 contracts per day, up 3 percent from September 2007.
All references to CME Group volume and rate per contract information in the text of this document exclude our non-traditional TRAKRS products, for which CME Group receives significantly lower clearing fees than other CME Group products, and Swapstream products.
Total NYMEX volume averaged 1.9 million contracts for September 2008, up 17 percent compared with the same period last year. Monthly NYMEX energy futures and options volume averaged 1.0 million contracts per day, up 5 percent from September 2007. COMEX metals volume averaged 266,000 contracts per day for September 2008, up 65 percent. Average daily volume on NYMEX ClearPort was 521,000 contracts for September 2008, up 44 percent compared with September 2007. The remaining NYMEX volume of 65,000 trades per day consisted of other transactions, which include position transfers and exchanges.
Third-Quarter 2008 Highlights
CME Group E-mini equity index volume averaged a record 3.6 million contracts per day, up 19 percent compared with third-quarter 2007. CME Group FX volume averaged a record 710,000 contracts per day, up 12 percent, and represented a record average daily notional value of $97 billion, up 24 percent. CME Group commodities and alternative investments volume averaged 822,000 contracts per day, up 15 percent from the same period in 2007. CME Group interest rate volume averaged 6.0 million contracts per day, down 25 percent compared with the third quarter last year.
Total NYMEX volume averaged 1.8 million contracts for third-quarter 2008, up 23 percent compared with third-quarter 2007. Quarterly NYMEX energy futures and options volume averaged 1.0 million contracts per day, up 12 percent from the same period last year. COMEX metals volume averaged 250,000 contracts per day for third-quarter 2008, up 66 percent. Average daily volume on NYMEX ClearPort was 492,000 contracts, up 40 percent compared with the same period in 2007. The remaining NYMEX volume of 65,000 trades per day consisted of other transactions, which include position transfers and exchanges.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV (Legacy CME, CBOT, and NYMEX combined, in
thousands)
September 2008 September 2007 Percent Change
Total 15,662 13,221 18%
CME Group ADV (Legacy CME and CBOT combined, in thousands)
PRODUCT LINE September 2008 September 2007 Percent
Change
Interest Rates 7,086 7,127 -1%
E-minis 4,801 2,894 66%
Equity Standard 304 235 29%
FX 835 635 32%
Commodities and Alt. Inv. 736 712 3%
Total 13,762 11,603 19%
VENUE September 2008 September 2007 Percent
Change
Open outcry 1,962 2,554 -23%
CME Globex 11,598 8,846 31%
Privately negotiated 202 202 0%
NYMEX/COMEX ADV (In thousands)
September 2008 September 2007 Percent
Change
NYMEX floor 189 231 -18%
NYMEX electronic 860 768 12%
COMEX floor 38 40 -5%
COMEX electronic 228 121 88%
NYMEX ClearPort 521 363 44%
Other 65 96 -32%
Total 1,900 1,618 17%
QUARTERLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV (Legacy CME, CBOT, and NYMEX combined, in
thousands)
Q3 2008 Q3 2007 Percent
Change
Total 13,236 14,161 -7%
CME Group ADV (Legacy CME and CBOT combined, in thousands)
PRODUCT LINE Q3 2008 Q3 2007 Percent
Change
Interest Rates 6,030 8,060 -25%
E-minis 3,638 3,057 19%
Equity Standard 204 202 1%
FX 710 635 12%
Commodities and Alt. Inv. 822 716 15%
Total 11,404 12,670 -10%
VENUE Q3 2008 Q3 2007 Percent
Change
Open outcry 1,602 2,652 -40%
CME Globex 9,641 9,806 -2%
Privately negotiated 161 212 -24%
NYMEX/COMEX ADV (In thousands)
Q3 2008 Q3 2007 Percent NYMEX/COMEX
Change Standalone
Post-Close*
NYMEX floor 193 229 -15% 172
NYMEX electronic 831 687 21% 804
COMEX floor 36 36 -1% 33
COMEX electronic 214 114 88% 206
NYMEX ClearPort 492 351 40% 506
Other 65 74 -12% 60
Total 1,831 1,491 23% 1,782
* Represents NYMEX/COMEX average daily volume from August 22, 2008 through
September 30, 2008.
Note: The NYMEX acquisition was completed on August 22, 2008.
Third-quarter 2008 CME Group average daily volume, plus NYMEX
average daily volume from August 22nd through September 30th, totals
12.2 million contracts.
ROLLING THREE-MONTH AVERAGES
CME Group (Legacy CME and CBOT combined)
Average Rate Per Contract (In dollars)
3-Month Period Ending
Aug-08 Jul-08 Jun-08 May-08
Interest Rates 0.519 0.518 0.522 0.527
E-minis 0.670 0.665 0.668 0.661
Equity Standard 1.444 1.455 1.453 1.473
FX 0.911 0.905 0.907 0.918
Commodities/
Alt. Investments 1.155 1.146 1.134 1.114
Total 0.658 0.647 0.648 0.644
Open outcry 0.608 0.594 0.572 0.575
Electronic 0.634 0.624 0.629 0.622
Privately negotiated 2.481 2.464 2.427 2.354
Average Daily Volume (In thousands)
3-Month Period Ending
Sep-08 Aug-08 Jul-08 Jun-08
Interest Rates 6,030 5,922 6,438 6,467
E-minis 3,638 3,211 3,186 2,833
Equity Standard 204 179 177 161
FX 710 687 675 665
Commodities/
Alt. Investments 822 945 913 933
Total 11,404 10,945 11,388 11,060
Open outcry 1,602 1,580 1,721 1,836
Electronic 9,641 9,202 9,494 9,054
Privately negotiated 161 162 173 170
NYMEX/COMEX
Average Rate Per Contract (In dollars, on a pro forma basis*)
3-Month Period Ending
Aug-08 Jul-08 Jun-08 May-08
NYMEX floor 1.40 1.63 1.61 1.59
NYMEX electronic 1.32 1.32 1.30 1.30
COMEX floor 1.64 1.63 1.71 1.70
COMEX electronic 1.73 1.73 1.71 1.68
NYMEX ClearPort 1.60 1.58 1.57 1.54
Other 1.86 1.85 1.85 1.88
Total Pro Forma Average
Net Rate 1.48 1.50 1.48 1.47
Direct Transaction Cost 0.08 0.08 0.08 0.08
Total Pro Forma Average
Gross Rate 1.56 1.58 1.56 1.55
* Pro forma adjustment excludes the Globex payment to CME Group from the
NYMEX electronic, COMEX electronic and Direct Transaction Cost lines.
Average Daily Volume (In thousands)
3-Month Period Ending
Sep-08 Aug-08 Jul-08 Jun-08
NYMEX floor 193 208 232 238
NYMEX electronic 831 841 883 865
COMEX floor 36 35 37 38
COMEX electronic 214 194 190 172
NYMEX ClearPort 492 455 443 418
Other 65 72 84 85
Total 1,831 1,805 1,869 1,816
