.jpg)
CME Group, the world's largest and most diverse derivatives marketplace, today announced that September volume averaged 10.5 million contracts per day, down 32 percent from the near record average daily volume in September 2008, but up 3 percent from August. Total volume was 222 million contracts for September, of which 82 percent was traded electronically. Electronic volume averaged 8.6 million contracts per day, down 32 percent from the prior September, but up 5 percent compared with August 2009. Average daily volume cleared through CME ClearPort was 489,000 contracts for September 2009, up 5 percent compared with September 2008. CME Group year-to-date volume through September averaged 10.3 million contracts per day.
CME Group interest rate volume averaged 4.4 million contracts per day, down 38 percent compared with September 2008. CME Group equity index volume averaged 3.0 million contracts per day, down 41 percent compared with record September 2008, but up 22 percent from August 2009. CME Group foreign exchange (FX) volume experienced its highest monthly level to date in 2009, averaging 756,000 contracts per day, with notional value of approximately $98 billion, down 9 percent compared with the prior September. CME Group commodities and alternative investments volume averaged 639,000 contracts per day, down 13 percent from September 2008. CME Group energy volume (including volume cleared through CME ClearPort) averaged 1.6 million contracts per day for September 2009, up 3 percent compared with the same period last year. CME Group metals volume (including volume cleared through CME ClearPort) averaged 226,000 contracts per day for September 2009, down 20 percent compared with the prior September, but up 23 percent from August 2009.
Third-quarter volume averaged 10.1 million contracts per day, down 23 percent from third-quarter 2008. Compared with second-quarter 2009, third-quarter interest rates volume increased one percent, FX volume increased 16 percent, energy volume increased 6 percent and metals volume increased 6 percent. In addition, third-quarter average daily volume cleared through CME ClearPort was 453,000 contracts, up 2 percent compared with third-quarter 2008.
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.
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, Swapstream products, and HuRLO products.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Sep 2009 Sep 2008
-------- --------
Trading Days 21 21
PRODUCT LINE Sep 2009 Sep 2008 Percent Change
-------- -------- --------------
Interest Rates 4,373 7,086 -38%
Equity Index 2,990 5,105 -41%
FX 756 835 -9%
Commodities and Alt. Inv. 639 736 -13%
Energy (including CME ClearPort) 1,564 1,519 3%
Metals (including CME ClearPort) 226 283 -20%
--- --- ---
Total 10,548 15,564 -32%
Sep 2009 Sep 2008 Percent Change
-------- -------- --------------
VENUE
Open outcry 1,273 2,164 -41%
CME Globex 8,645 12,685 -32%
Privately negotiated 142 251 -43%
CME ClearPort (OTC) 489* 464 5%
*The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, accounted for approximately
11 percent of the total volume cleared through CME ClearPort in September
2009.
QUARTERLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Q3 2009 Q3 2008
------- -------
Trading Days 64 64
PRODUCT LINE Q3 2009 Q3 2008 Percent Change
------- ------- --------------
Interest Rates 4,422 6,030 -27%
Equity Index 2,656 3,842 -31%
FX 660 710 -7%
Commodities and Alt. Inv. 708 822 -14%
Energy (including CME ClearPort) 1,484 1,475 1%
Metals (including CME ClearPort) 201 265 -24%
--- --- ---
Total 10,132 13,145 -23%
Q3 2009 Q3 2008 Percent Change
------- ------- --------------
VENUE
Open outcry 1,264 1,811 -30%
CME Globex 8,267 10,686 -23%
Privately negotiated 147 203 -28%
CME ClearPort (OTC) 453* 445 2%
*The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, accounted for approximately
16 percent of the total volume cleared through CME ClearPort in Q3 2009.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
Sep-09 Aug-09 Jul-09 Jun-09
Interest Rates 4,422 4,670 4,664 4,389
Equity Index 2,656 2,639 2,812 2,987
FX 660 644 622 568
Commodities/Alt. Investments 708 799 799 818
Energy 1,484 1,450 1,430 1,396
Metals 201 193 201 190
--- --- --- ---
Total 10,132 10,395 10,527 10,349
Open outcry 1,264 1,382 1,444 1,431
Electronic 8,267 8,389 8,446 8,266
Privately negotiated 147 173 177 173
CME ClearPort (OTC) 453 451 460 478
Average Rate Per Contract (In dollars)
3-Month Period Ending
Aug-09 Jul-09 Jun-09 May-09
Interest Rates 0.511 0.518 0.525 0.522
Equity Index 0.727 0.720 0.712 0.701
FX 0.876 0.874 0.901 0.905
Commodities/Alt. Investments 1.175 1.129 1.130 1.107
Energy 1.677 1.673 1.653 1.616
Metals 1.823 1.803 1.808 1.831
----- ----- ----- -----
Total 0.826 0.821 0.823 0.818
Exchange-Traded 0.764 0.759 0.765 0.757
CME ClearPort (OTC) 2.195 2.163 2.031 1.972
