CME Group, the world's leading and most diverse derivatives marketplace, today announced that April 2012 volume averaged 10.7 million contracts per day, down 12 percent from April 2011. Total volume for April was more than 225 million contracts, of which 85 percent was traded electronically.
Open interest at the end of April 2012 reached 91 million contracts, up 16 percent from the end of 2011. Open interest growth year-to-date through April 2012 was especially strong in agricultural commodities and interest rates, both up more than 25 percent, as well as equity indexes, foreign exchange (FX) and metals, each up more than 15 percent.
In April 2012, CME Group interest rate volume averaged 4.4 million contracts per day, down 24 percent from April 2011. Treasury futures volume averaged 1.9 million contracts per day, while Treasury options volume averaged 346,000 contracts per day. Eurodollar futures volume averaged 1.6 million contracts per day, while Eurodollar options volume averaged 494,000 contracts per day.
CME Group equity index volume in April 2012 averaged 2.4 million contracts per day, up 6 percent from the same period last year. CME Group foreign exchange (FX) volume averaged 759,000 contracts per day, down 5 percent from April last year, reflecting average daily notional value of $96 billion.
CME Group energy volume averaged 1.6 million contracts per day in April 2012, down 4 percent compared with the same period in 2011. CME Group agricultural commodities volume averaged 1.3 million contracts per day, up 1 percent compared with the prior-year period. CME Group metals volume averaged 329,000 contracts per day, down 23 percent compared with the same period last year.
Electronic volume averaged 9.1 million contracts per day in April 2012, down 10 percent from April 2011. Privately negotiated volume decreased 8 percent to 219,000 contracts per day from the prior April. Average daily volume cleared through CME ClearPort was 412,000 contracts in April 2012, down 7 percent compared with April 2011. Open outcry volume averaged 969,000 contracts per day, down 28 percent versus the prior-year period.
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MONTHLY AVERAGE DAILY VOLUME (ADV)
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Total Exchange ADV
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( in thousands)
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Apr 2012
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Apr 2011
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Trading Days
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21
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20
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PRODUCT LINE
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Apr 2012
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Apr 2011
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Percent Change
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Interest Rates
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4,351
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5,734
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-24%
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Equity Indexes
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2,350
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2,224
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6%
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Foreign Exchange (FX)
|
759
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796
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-5%
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Energy (including CME ClearPort)
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1,613
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1,679
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-4%
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Agricultural Commodities
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1,293
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1,284
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1%
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Metals (including CME ClearPort)
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329
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424
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-23%
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Total
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10,694
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12,143
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-12%
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VENUE |
Apr 2012
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Apr 2011
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Percent Change
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Open outcry
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969
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1,337
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-28%
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CME Globex
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9,095
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10,125
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-10%
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Privately negotiated
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219
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237
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-8%
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CME ClearPort (OTC)
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412
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444
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-7%
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ROLLING THREE-MONTH AVERAGES
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Average Daily Volume (In thousands)
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3-Month Period Ending
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PRODUCT LINE
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Apr-12
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Mar-12
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Feb-12
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Jan-12
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Interest Rates
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5,323
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5,613
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4,888
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4,858
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Equity Indexes
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2,428
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2,390
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2,419
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2,751
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Foreign Exchange (FX)
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849
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846
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771
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760
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Energy
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1,816
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1,952
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1,854
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1,749
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Agricultural Commodities
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1,200
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1,122
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1,019
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995
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Metals
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373
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385
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342
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335
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Total
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11,989
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12,308
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11,294
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11,449
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VENUE
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Apr-12
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Mar-12
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Feb-12
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Jan-12
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Open outcry
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1,226
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1,348
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1,196
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1,215
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Electronic
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10,033
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10,177
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9,364
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9,524
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Privately negotiated
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232
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229
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202
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202
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CME ClearPort (OTC)
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498
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554
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531
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507
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Average Rate Per Contract (In dollars)
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3-Month Period Ending
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PRODUCT LINE
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Mar-12
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Feb-12
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Jan-12
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Dec-11
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Interest Rates
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0.475
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0.480
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0.481
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0.480
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Equity Indexes
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0.692
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0.691
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0.697
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0.705
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Foreign Exchange (FX)
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0.841
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0.837
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0.841
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0.828
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Energy
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1.517
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1.544
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1.547
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1.507
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Agricultural Commodities
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1.216
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1.206
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1.223
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1.230
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Metals
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1.647
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1.639
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1.697
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1.706
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Total
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0.811
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0.825
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0.820
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0.811
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VENUE
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Mar-12
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Feb-12
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Jan-12
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Dec-11
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Exchange-Traded
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0.737
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0.746
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0.750
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0.748
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CME ClearPort (OTC)
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2.388
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2.424
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2.330
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2.290
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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.
