CME Group, the world's largest and most diverse derivatives exchange, today announced that May volume averaged 10.7 million contracts per day, down 15 percent from May 2008, but up 17 percent from April 2009. Total volume was 214 million contracts for May, of which 79 percent was traded electronically. Electronic volume averaged 8.4 million contracts per day, down 14 percent from the prior May and up 15 percent sequentially.
CME Group E-mini equity index volume averaged 2.9 million contracts per day, up 15 percent compared with May 2008. Equity standard volume averaged 104,000 contracts per day, down 21 percent compared with the same period last year. CME Group commodities and alternative investments volume averaged 731,000 contracts per day, down 3 percent from May 2008. CME Group foreign exchange (FX) volume averaged 544,000 contracts per day, with notional value of approximately $68 billion, down 12 percent compared with the prior May, but up 21 percent sequentially. CME Group interest rate volume averaged 4.7 million contracts per day, down 29 percent compared with the same period in 2008, but representing the best monthly volume to date in 2009. In May, CME Group Eurodollar volume averaged 2.5 million contracts per day and CME Group Treasury volume averaged 2.2 million contracts per day - up 30 percent and 62 percent, respectively, compared with April 2009 - representing the best monthly volume so far in 2009 in each of these categories.
Total NYMEX volume averaged 1.7 million contracts for May 2009, down 10 percent compared with the same period last year, but up 11 percent compared with April 2009. Monthly NYMEX energy futures and options volume averaged 933,000 contracts per day, down 21 percent from May 2008. COMEX metals volume averaged 191,000 contracts per day for May 2009, down 13 percent. Average daily volume cleared through CME ClearPort was 537,000 contracts for May 2009, up 29 percent compared with May 2008, as users continue to seek the safety and soundness of CME Group's regulated, centrally cleared markets. The remaining NYMEX volume of 64,000 trades per day consisted of other transactions, which include position transfers and exchanges.
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.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
May 2009 May 2008 Percent Change
-------- -------- --------------
Total 10,717 12,563 -15%
Trading Days 20 21
CME Group ADV
(CME and CBOT combined, in thousands)
PRODUCT LINE May 2009 May 2008 Percent Change
-------- -------- --------------
Interest Rates 4,723 6,627 -29%
E-minis 2,892 2,518 15%
Equity Standard 104 131 -21%
FX 544 621 -12%
Commodities and Alt. Inv. 731 751 -3%
--- --- ---
Total 8,993 10,649 -16%
VENUE May 2009 May 2008 Percent Change
-------- -------- --------------
Open outcry 1,384 1,768 -22%
CME Globex 7,486 8,721 -14%
Privately negotiated 123 160 -23%
NYMEX/COMEX ADV
(in thousands)
May 2009 May 2008 Percent Change
-------- -------- --------------
NYMEX floor 134 241 -44%
NYMEX electronic 798 938 -15%
COMEX floor 32 39 -17%
COMEX electronic 159 180 -12%
CME ClearPort 537 416 29%
Other 64 100 -36%
-- --- ----
Total 1,724 1,914 -10%
The PJM daily electricity swap futures contracts, which have an
average rate per contract of approximately 10 cents, accounted for
approximately 14 percent of the total volume cleared through CME ClearPort
in May 2009.
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ROLLING THREE-MONTH AVERAGES
Total Exchange Pro Forma RPC (Legacy CME, CBOT, and NYMEX combined)
Apr-09 Mar-09 Feb-09 Jan-09
Total Average RPC 0.823 0.833 0.860 0.870
CME Group (Legacy CME and CBOT combined)
Average Rate Per Contract (In dollars)
3-Month Period Ending
Apr-09 Mar-09 Feb-09 Jan-09
Interest Rates 0.527 0.532 0.553 0.567
E-minis 0.671 0.677 0.685 0.688
Equity Standard 1.536 1.543 1.581 1.588
FX 0.920 0.918 0.947 0.928
Commodities/Alt.
Investments 1.126 1.108 1.114 1.150
----- ----- ----- -----
Total 0.677 0.677 0.696 0.706
Open outcry 0.631 0.607 0.648 0.669
Electronic 0.658 0.659 0.672 0.680
Privately negotiated 2.419 2.460 2.516 2.579
Average Daily Volume (In thousands)
3-Month Period Ending
May-09 Apr-09 Mar-09 Feb-09
Interest Rates 3,942 3,752 3,843 3,452
E-minis 3,267 3,396 3,378 3,014
Equity Standard 140 152 159 147
FX 513 503 507 457
Commodities/Alt.
Investments 717 734 685 669
--- --- --- ---
Total 8,579 8,538 8,572 7,738
Open outcry 1,180 1,133 1,188 1,135
Electronic 7,281 7,284 7,255 6,480
Privately negotiated 118 120 130 123
NYMEX/COMEX
Average Rate Per Contract (In dollars, on a pro forma basis*)
3-Month Period Ending
Apr-09 Mar-09 Feb-09 Jan-09
NYMEX floor 1.53 1.38 1.46 1.54
NYMEX electronic 1.32 1.35 1.40 1.38
COMEX floor 1.83 1.78 1.81 1.79
COMEX electronic 1.80 1.80 1.80 1.78
CME ClearPort 1.67 1.75 1.77 1.94
Other 2.45 2.46 2.33 2.21
---- ---- ---- ----
Total Pro Forma Average Gross Rate 1.54 1.57 1.60 1.66
Total Pro Forma Average Net Rate 1.44 1.47 1.51 1.55
*Pro forma adjustment excludes the Globex payment to CME Group from the
NYMEX electronic, COMEX electronic and Direct Transaction Cost lines.
Average RPC by venue are gross figures - NYMEX historically reported
average net RPC by venue.
Average Daily Volume (In thousands)
3-Month Period Ending
May-09 Apr-09 Mar-09 Feb-09
NYMEX floor 125 126 135 140
NYMEX electronic 753 766 798 759
COMEX floor 28 27 30 26
COMEX electronic 153 156 170 146
CME ClearPort 553 605 629 584
Other 52 54 54 58
-- -- -- --
Total 1,664 1,734 1,816 1,713
