CME Group, the world's largest and most diverse derivatives exchange, today announced that March volume averaged 10.8 million contracts per day, continuing to trend up from the beginning of the year, though down 30 percent from March 2008. Total volume was 238 million contracts for March, of which 81 percent was traded electronically. Electronic volume averaged 8.8 million contracts per day, down 29 percent from the prior March. First-quarter 2009 volume averaged 10.4 million contracts per day, in line with fourth-quarter 2008 average daily volume, but down 33 percent compared with first-quarter 2008.
Average daily volume cleared through CME ClearPort was 587,000 contracts for the month, up 15 percent compared with March 2008, highlighting market participants' increased interest in the safety and soundness of CME Group's regulated, centrally cleared markets. 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 March and approximately 20 percent in first-quarter 2009. Daily volume cleared through CME ClearPort averaged 629,000 contracts a day in first-quarter 2009, up 33 percent from the same period last year.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
March 2009 March 2008 Percent Change
---------- ---------- --------------
Total 10,829 15,489 -30%
Trading Days 22 20
CME Group ADV
(CME and CBOT combined, in thousands)
PRODUCT LINE March 2009 March 2008 Percent Change
---------- ---------- --------------
Interest Rates 3,825 7,512 -49%
E-minis 3,917 4,019 -3%
Equity Standard 209 264 -21%
FX 546 759 -28%
Commodities and
Alt. Inv. 624 903 -31%
Total 9,120 13,456 -32%
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.
March 2009 March 2008 Percent Change
VENUE ---------- ---------- --------------
Open outcry 1,159 2,048 -43%
CME Globex 7,833 11,122 -27%
Privately negotiated 128 286 -55%
NYMEX/COMEX ADV
(in thousands)
March 2009 March 2008 Percent Change
---------- ---------- --------------
NYMEX floor 124 254 -51%
NYMEX electronic 754 920 -18%
COMEX floor 27 46 -41%
COMEX electronic 171 225 -24%
CME ClearPort 587 512 15%
Other 46 75 -38%
Total 1,709 2,033 -16%
QUARTERLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Q1 2009 Q1 2008 Percent Change
------- ------- --------------
Total 10,389 15,540 -33%
Trading Days 61 61
CME Group ADV
(CME and CBOT combined, in thousands)
PRODUCT LINE Q1 2009 Q1 2008 Percent Change
------- ------- --------------
Interest Rates 3,843 8,251 -53%
E-minis 3,378 3,628 -7%
Equity Standard 159 201 -21%
FX 507 640 -21%
Commodities and
Alt. Inv. 685 949 -28%
Total 8,572 13,669 -37%
Q1 2009 Q1 2008 Percent Change
VENUE ------- ------- --------------
Open outcry 1,188 2,336 -49%
CME Globex 7,255 11,097 -35%
Privately negotiated 130 236 -45%
NYMEX/COMEX ADV
(in thousands)
Q1 2009 Q1 2008 Percent Change
------- ------- --------------
NYMEX floor 135 257 -47%
NYMEX electronic 798 814 -2%
COMEX floor 30 47 -36%
COMEX electronic 170 205 -17%
CME ClearPort 629 473 33%
Other 54 75 -28%
Total 1,816 1,870 -3%
ROLLING THREE-MONTH AVERAGES
Total Exchange Pro Forma RPC (Legacy CME, CBOT, and NYMEX combined)
Feb-09 Jan-09 Dec-08 Nov-08
Total Average RPC 0.860 0.870 0.858 0.821
CME Group (Legacy CME and CBOT combined)
Average Rate Per Contract (In dollars)
3-Month Period Ending
Feb-09 Jan-09 Dec-08 Nov-08
Interest Rates 0.553 0.567 0.569 0.545
E-minis 0.685 0.688 0.706 0.703
Equity Standard 1.581 1.588 1.582 1.559
FX 0.947 0.928 0.894 0.915
Commodities/Alt.
Investments 1.114 1.150 1.154 1.167
----- ----- ----- -----
Total 0.696 0.706 0.713 0.691
Open outcry 0.648 0.669 0.663 0.619
Electronic 0.672 0.680 0.691 0.672
Privately negotiated 2.516 2.579 2.558 2.546
Average Daily Volume (In thousands)
3-Month Period Ending
Mar-09 Feb-09 Jan-09 Dec-08
Interest Rates 3,843 3,452 3,325 3,692
E-minis 3,378 3,014 3,157 3,799
Equity Standard 159 147 153 194
FX 507 457 444 481
Commodities/Alt.
Investments 685 669 648 691
--- --- --- ---
Total 8,572 7,738 7,727 8,857
Open outcry 1,188 1,135 1,145 1,275
Electronic 8,223 6,480 6,459 7,447
Privately negotiated 130 123 123 136
NYMEX/COMEX
Average Rate Per Contract (In dollars, on a pro forma basis*)
3-Month Period Ending
Feb-09 Jan-09 Dec-08 Nov-08
NYMEX floor 1.46 1.54 1.60 1.60
NYMEX electronic 1.40 1.38 1.31 1.30
COMEX floor 1.81 1.79 1.80 1.76
COMEX electronic 1.80 1.78 1.78 1.75
CME ClearPort 1.77 1.94 2.10 2.11
Other 2.33 2.21 2.04 1.99
---- ---- ---- ----
Total Pro Forma
Average Gross Rate 1.60 1.66 1.67 1.66
Total Pro Forma
Average Net Rate 1.51 1.55 1.57 1.56
*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
Mar-09 Feb-09 Jan-09 Dec-08
NYMEX floor 135 140 147 166
NYMEX electronic 798 759 705 682
COMEX floor 30 26 28 29
COMEX electronic 170 146 147 144
CME ClearPort 629 584 513 489
Other 54 58 72 75
-- -- -- --
Total 1,816 1,713 1,612 1,584
