CME Group, the world's leading and most diverse derivatives marketplace, today announced that October volume averaged 11.4 million contracts per day, up 6 percent from October 2009. Total volume for October was 240 million contracts, of which 83 percent was traded electronically.
In October 2010, CME Group interest rate volume averaged 4.7 million contracts per day, up 6 percent compared with the prior October. Treasury futures volume averaged 2.1 million contracts per day, up 17 percent compared with the same period in 2009, and Treasury options volume averaged 367,000 contracts per day, up 61 percent. Eurodollar futures volume averaged 1.6 million contracts per day, down 11 percent versus October 2009, and Eurodollar options volume averaged 625,000 contracts per day, up 11 percent.
CME Group equity index volume averaged 2.7 million contracts per day, down 6 percent from October 2009. CME Group foreign exchange (FX) volume averaged 889,000 contracts per day, up 19 percent compared with the same period a year ago, reflecting average daily notional value of $121 billion.
CME Group energy volume averaged 1.7 million contracts per day, down 1 percent compared with October 2009. CME Group commodities volume averaged a record 1.1 million contracts per day, up 42 percent compared with the prior October. CME Group metals volume averaged 351,000 contracts per day, up 47 percent compared with the same period last year.
Electronic volume averaged 9.4 million contracts per day, up 6 percent from the prior October, while privately negotiated volume increased 20 percent to 209,000 contracts per day. Average daily volume cleared through CME ClearPort was 447,000 contracts for October 2010, down 20 percent compared with October 2009. Open outcry volume averaged 1.3 million contracts per day in October, up 13 percent versus October 2009.
MONTHLY AVERAGE DAILY VOLUME (ADV) | ||||
Total Exchange ADV | ||||
Oct 2010 | Oct 2009 | |||
Trading Days | 21 | 22 | ||
PRODUCT LINE | Oct 2010 | Oct 2009 | Percent Change | |
Interest Rates | 4,722 | 4,472 | 6% | |
Equity Index | 2,657 | 2,824 | -6% | |
FX | 889 | 747 | 19% | |
Energy (including CME ClearPort) | 1,712* | 1,726 | -1% | |
Commodities | 1,113 | 785 | 42% | |
Metals (including CME ClearPort) | 351 | 239 | 47% | |
Total | 11,445 | 10,793 | 6% | |
VENUE | Oct 2010 | Oct 2009 | Percent Change | |
Open outcry | 1,344 | 1,186 | 13% | |
CME Globex | 9,444 | 8,873 | 6% | |
Privately negotiated | 209 | 175 | 20% | |
CME ClearPort (OTC) | 447 | 559 | -20% | |
*The PJM daily electricity swap futures contracts, which have an average rate per contract of approximately 10 cents, averaged 45,052 in October 2010. This accounted for approximately 3 percent of the total Energy volume in October 2010, in line with the percentage in September 2010. | |
ROLLING THREE-MONTH AVERAGES | |||||
Average Daily Volume (In thousands) | |||||
3-Month Period Ending | |||||
PRODUCT LINE | Oct-10 | Sep-10 | Aug-10 | Jul-10 | |
Interest Rates | 5,098 | 5,020 | 4,875 | 5,708 | |
Equity Index | 2,746 | 2,809 | 3,019 | 3,555 | |
FX | 885 | 866 | 878 | 1,035 | |
Energy | 1,725 | 1,657 | 1,626 | 1,718 | |
Commodities | 1,025 | 941 | 918 | 843 | |
Metals | 273 | 257 | 266 | 322 | |
Total | 11,752 | 11,550 | 11,583 | 13,180 | |
VENUE | Oct-10 | Sep-10 | Aug-10 | Jul-10 | |
Open outcry | 1,372 | 1,327 | 1,288 | 1,473 | |
Electronic | 9,715 | 9,574 | 9,650 | 11,043 | |
Privately negotiated | 200 | 181 | 177 | 192 | |
CME ClearPort (OTC) | 465 | 468 | 469 | 472 | |
Average Rate Per Contract (In dollars) | |||||
3-Month Period Ending | |||||
PRODUCT LINE | Sep-10 | Aug-10 | Jul-10 | Jun-10 | |
Interest Rates | 0.495 | 0.493 | 0.486 | 0.481 | |
Equity Index | 0.708 | 0.709 | 0.715 | 0.713 | |
FX | 0.795 | 0.791 | 0.790 | 0.798 | |
Energy | 1.540 | 1.542 | 1.553 | 1.581 | |
Commodities | 1.256 | 1.287 | 1.294 | 1.282 | |
Metals | 1.791 | 1.743 | 1.775 | 1.749 | |
Total | 0.810 | 0.811 | 0.794 | 0.790 | |
VENUE | Sep-10 | Aug-10 | July-10 | Jun-10 | |
Exchange-Traded | 0.747 | 0.747 | 0.737 | 0.732 | |
CME ClearPort (OTC) | 2.292 | 2.317 | 2.332 | 2.489 | |
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. | |
