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CME Group, the world's largest and most diverse derivatives marketplace, today announced that January volume averaged 11.2 million contracts per day, up 19 percent from January 2009. Total volume was 213 million contracts for January, of which 82 percent was traded electronically. Electronic volume averaged 9.2 million contracts per day, up 25 percent from the prior January. Average daily volume cleared through CME ClearPort was 516,000 contracts for January 2010, down 7 percent compared with January 2009, but up 28 percent compared with December 2009.
In January, CME Group interest rate volume averaged 4.8 million contracts per day, up 33 percent compared with January 2009, and up 23 percent sequentially. Treasury futures volume averaged 1.8 million contracts per day, up 71 percent compared with the same period in 2009, and Treasury options volume averaged 304,000 contracts per day, up 43 percent. Eurodollar futures volume averaged 1.9 million contracts per day, up 23 percent versus January 2009, while Eurodollar options volume averaged 686,000 contracts per day, down 3 percent. CME Group equity index volume averaged 2.9 million contracts per day, down 4 percent from January 2009. CME Group foreign exchange (FX) volume averaged 820,000 contracts per day, up 78 percent compared with the same period a year ago, reflecting average daily notional value of approximately $108 billion, a record for a non-roll month for both daily notional and volume. CME Group energy volume averaged 1.6 million contracts per day in January, up 9 percent compared with the same period last year. CME Group commodities and alternative investments volume averaged 771,000 contracts per day, up 18 percent from January 2009. CME Group metals volume averaged 355,000 contracts per day in January 2010, up 65 percent compared with the prior January.
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 TRAKRSproducts, for which CME Group receives significantly lower clearing fees than other CME Group products, HuRLO products and credit default swap clearing.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Jan 2010 Jan 2009
-------- --------
Trading Days 19 20
PRODUCT LINE Jan 2010 Jan 2009 Percent Change
-------- -------- --------------
Interest Rates 4,761 3,577 33%
Equity Index 2,861 2,986 -4%
FX 820 460 78%
Energy (including CME
ClearPort) 1,646* 1,510 9%
Commodities and Alt. Inv. 771 655 18%
Metals (including CME
ClearPort) 355 215 65%
--- --- ---
Total 11,213 9,403 19%
VENUE Jan 2010 Jan 2009 Percent Change
-------- -------- --------------
Open outcry 1,317 1,330 -1%
CME Globex 9,201 7,353 25%
Privately negotiated 179 165 9%
CME ClearPort (OTC) 516 555 -7%
* The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, averaged 78,541 in January
2010. This accounted for approximately 7 percent of the total Energy
volume in January 2010, up from 3 percent in December 2009.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Jan-10 Dec-09 Nov-09 Oct-09
Interest Rates 4,453 4,368 4,538 4,527
Equity Index 2,510 2,514 2,770 2,756
FX 777 754 761 707
Energy 1,531 1,564 1,605 1,588
Commodities/Alt.
Investments 744 750 761 721
Metals 331 292 276 216
--- --- --- ---
Total 10,346 10,243 10,711 10,515
VENUE Jan-10 Dec-09 Nov-09 Oct-09
Open outcry 1,252 1,210 1,272 1,261
Electronic 8,478 8,399 8,781 8,599
Privately negotiated 171 170 165 158
CME ClearPort (OTC) 446 464 494 497
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT LINE Nov-09 Oct-09 Sep-09 Aug-09
Interest Rates 0.506 0.502 0.505 0.511
Equity Index 0.722 0.715 0.722 0.727
FX 0.802 0.824 0.853 0.876
Energy 1.628 1.645 1.694 1.677
Commodities/Alt.
Investments 1.259 1.244 1.199 1.175
Metals 1.898 1.868 1.849 1.823
----- ----- ----- -----
Total 0.840 0.831 0.834 0.826
VENUE Nov-09 Oct-09 Sep-09 Aug-09
Exchange-Traded 0.772 0.763 0.765 0.764
CME ClearPort (OTC) 2.244 2.211 2.304 2.195
