- Record first-quarter foreign exchange volume averaged 887,000 contracts, up 75 percent
- Record first-quarter foreign exchange notional value traded averaged $115 billion, up 83 percent
- Record first-quarter metals volume averaged 327,000 contracts, up 52 percent
- Monthly and quarterly volumes in interest rates, foreign exchange, commodities and alternative investments, and metals grew by double digits
CME Group, the world's leading and most diverse derivatives marketplace, today announced that March volume averaged 11.0 million contracts per day, up 2 percent from March 2009. Total volume was 253 million contracts for March, of which 83 percent was traded electronically. Electronic volume averaged 9.1 million contracts per day, up 4 percent from the prior March. Average daily volume cleared through CME ClearPort was 446,000 contracts for March 2010, down 23 percent compared with March 2009. The rolling three-month ClearPort rate per contract through February was up 36 percent, even though the rolling three-month ClearPort average daily volume was down 26 percent in the same period due to a product mix shift and the wide variance in rate per contract for individual CME ClearPort products.
In March 2010, CME Group interest rate volume averaged 5.0 million contracts per day, up 30 percent compared with the prior March. Eurodollar futures volume averaged 2.1 million contracts per day, up 29 percent versus March 2009, while Eurodollar options volume averaged 713,000 contracts per day, up 30 percent. Treasury futures volume averaged 1.8 million contracts per day, up 36 percent compared with the same period in 2009, and Treasury options volume averaged 246,000 contracts per day, down 8 percent.
CME Group equity index volume averaged 2.7 million contracts per day, down 35 percent from March 2009. CME Group foreign exchange (FX) volume averaged 907,000 contracts per day, up 66 percent compared with the same period a year ago, reflecting average daily notional value of $116 billion.
CME Group energy volume averaged 1.5 million contracts per day, up 3 percent compared with March 2009. CME Group commodities and alternative investments volume averaged 692,000 contracts per day, up 11 percent from the prior March. CME Group metals volume averaged 296,000 contracts per day, up 38 percent compared with the same period last year.
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, HuRLO products and credit default swap clearing.
During the first quarter, CME Group interest rate volume averaged 5.1 million contracts per day, up 33 percent compared with first-quarter 2009. Eurodollar futures volume averaged 2.0 million contracts per day, up 27 percent versus first-quarter 2009, while Eurodollar options volume averaged 674,000 contracts per day, up 11 percent. Treasury futures volume averaged 2.1 million contracts per day, up 53 percent compared with the same period a year ago, and Treasury options volume averaged 272,000 contracts per day, up 13 percent.
CME Group first-quarter 2010 equity index volume averaged 2.8 million contracts per day, down 20 percent. CME Group FX volume averaged a record 887,000 contracts per day, up 75 percent compared with the same period a year ago, reflecting record average daily notional value for a quarter of $115 billion.
First-quarter CME Group energy volume averaged 1.6 million contracts per day, up 6 percent compared with the same period last year. CME Group commodities and alternative investments volume averaged 786,000 contracts per day, up 15 percent from first-quarter 2009. CME Group metals volume averaged a record 327,000 contracts per day in first-quarter 2010, up 52 percent compared with the prior first quarter.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
(in thousands)
Mar 2010 Mar 2009
-------- --------
Trading Days 23 22
PRODUCT LINE Mar 2010 Mar 2009 Percent Change
-------- -------- --------------
Interest Rates 4,961 3,825 30%
Equity Index 2,662 4,126 -35%
FX 907 546 66%
Energy (including CME ClearPort) 1,497* 1,452 3%
Commodities and Alt. Inv. 692 624 11%
Metals (including CME ClearPort) 296 215 38%
-------- -------- --------------
Total 11,015 10,788 2%
VENUE Mar 2010 Mar 2009 Percent Change
-------- -------- --------------
Open outcry 1,288 1,298 -1%
CME Globex 9,105 8,759 4%
Privately negotiated 177 159 11%
CME ClearPort (OTC) 446 572 -22%
* The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, averaged 50,293 in March
2010. This accounted for approximately 3 percent of the total Energy
volume in March 2010, down from 4 percent in February 2010.
QUARTERLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
(in thousands)
Q1 2010 Q1 2009
-------- --------
Trading Days 61 61
PRODUCT LINE Q1 2010 Q1 2009 Percent Change
-------- -------- --------------
Interest Rates 5,120 3,843 33%
Equity Index 2,815 3,537 -20%
FX 887 507 75%
Energy (including CME ClearPort) 1,609* 1,524 6%
Commodities and Alt. Inv. 786 685 15%
Metals (including CME ClearPort) 327 215 52%
-------- -------- --------------
Total 11,544 10,311 12%
VENUE Q1 2010 Q1 2009 Percent Change
-------- -------- --------------
Open outcry 1,318 1,338 -2%
CME Globex 9,562 8,223 16%
Privately negotiated 190 164 16%
CME ClearPort (OTC) 474 586 -19%
* The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, averaged 63,270 in
first-quarter 2010. This accounted for approximately 4 percent of the
total Energy volume in first-quarter 2010, down from 5 percent in
fourth-quarter 2009.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Mar-10 Feb-10 Jan-10 Dec-09
Interest Rates 5,120 4,728 4,453 4,368
Equity Index 2,815 2,662 2,510 2,514
FX 887 824 777 754
Energy 1,609 1,592 1,531 1,564
Commodities/Alt. Investments 786 758 744 750
Metals 327 319 331 292
------ ------ ------ ------
Total 11,544 10,884 10,346 10,243
VENUE Mar-10 Feb-10 Jan-10 Dec-09
Open outcry 1,318 1,245 1,252 1,210
Electronic 9,562 8,996 8,478 8,399
Privately negotiated 190 185 171 170
CME ClearPort (OTC) 474 459 446 464
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT LINE Feb-10 Jan-10 Dec-09 Nov-09
Interest Rates 0.511 0.511 0.509 0.506
Equity Index 0.726 0.735 0.733 0.722
FX 0.806 0.817 0.816 0.802
Energy 1.640 1.637 1.606 1.628
Commodities/Alt. Investments 1.255 1.267 1.278 1.259
Metals 1.703 1.851 1.872 1.898
------ ------ ------ ------
Total 0.838 0.852 0.849 0.840
VENUE Feb-10 Jan-10 Dec-09 Nov-09
Exchange-Traded 0.770 0.784 0.783 0.772
CME ClearPort (OTC) 2.373 2.366 2.236 2.244
