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CME Group, the world's largest and most diverse exchange, today announced October volume averaged 9.5 million contracts per day, up 14 percent from October 2006. Total electronic volume averaged 7.7 million contracts per day, up 28 percent from the prior October. Total volume exceeded 218 million contracts for the month -- of which a record 81 percent were traded electronically. This was the first time that the percentage of volume traded electronically exceeded 80 percent. Overall average daily volume year to date through October increased 28 percent versus the same period last year, with equity index volume up 43 percent, foreign exchange volume up 32 percent, interest rate volume up 24 percent, and commodity and alternative investments volume up 23 percent.
CME Group E-mini equity index product volume averaged 2.6 million contracts per day in October, up 53 percent compared with October 2006. CME Group foreign exchange product volume averaged 533,000 contracts per day in October, up 31 percent compared with the year-ago period. CME Group interest rate product volume averaged 5.6 million contracts per day in October, up 5 percent from October 2006. CME Group commodities and alternative investment products volume averaged 697,000 contracts per day in October, down 15 percent compared with the same period a year ago. NYMEX energy and metals volume on the CME Globex platform in October averaged 878,000 contracts per day, up 164 percent versus the same period a year ago.
CME GROUP MONTHLY AVERAGE DAILY VOLUME - INTEREST RATES
(In thousands)
October 2007 ADV % Change vs. October 2006
Eurodollar futures 1,965K -7%
10-year U.S. Treasury Note
futures 1,099K 17%
5-year U.S. Treasury Note
futures 543K 37%
30-year Bond futures 314K 9%
2-year U.S. Treasury Note
futures 207K 88%
Eurodollar options 845k -15%
Treasury and Bond options 382K --
All references to 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.
CME GROUP MONTHLY AVERAGE DAILY VOLUME
(In thousands)
October 2007 October 2006 Percent Change
PRODUCT LINE
Interest Rates 5,556 5,306 5%
E-Minis 2,559 1,667 53%
Equity Standard 131 131 0%
Foreign Exchange 533 407 31%
Commodities and Alt.
Inv.* 697 820 -15%
Total 9,476 8,332 14%
VENUE
Open Outcry 1,701 2,220 -23%
CME Globex and e-CBOT 7,650 5,994 28%
Privately Negotiated 125 118 6%
*CME Group Commodities and Alternative Investments product line includes
the legacy CME Commodities and Alternative Investments product line and
the legacy CBOT Agricultural product line and Metals, Energy and Other
product line.
CME GROUP ROLLING THREE-MONTH AVERAGES
Average Rate Per Contract
(In dollars, and calculated from combined average daily volumes for entire
period)
By Product Line By Venue
Commod-
3-Month Inte- ities Priv-
Period rest Equity Foreign and Alt Open Elect- ately
Ending Rates E-Minis Standard Exchange Inv. Total Outcry ronic Negotiated
Sep-07 0.519 0.673 1.451 0.951 1.032 0.622 0.473 0.613 2.878
Aug-07 0.517 0.677 1.397 0.981 1.040 0.624 0.474 0.612 2.876
Jul-07 0.514 0.686 1.357 1.036 1.021 0.627 0.487 0.611 2.914
Jun-07 0.516 0.700 1.334 1.090 1.034 0.639 0.492 0.626 2.948
Average Daily Volume
(In thousands, average daily volumes combined for entire period)
By Product Line By Venue
Commod-
3-Month Inte- ities Priv-
Period rest Equity Foreign and Alt Open Elect- ately
Ending Rates E-Minis Standard Exchange Inv. Total Outcry ronic Negotiated
Oct-07 7,500 3,019 190 601 694 12,004 2,488 9,330 186
Sep-07 8,060 3,057 202 635 716 12,670 2,652 9,806 212
Aug-07 8,345 3,051 206 645 794 13,041 2,705 10,104 232
Jul-07 7,386 2,482 185 591 790 11,434 2,391 8,835 208
