CME Group, the world's leading and most diverse derivatives marketplace, today announced that September volume averaged 12.1 million contracts per day, up 15 percent from September 2009 and up 3 percent sequentially. Total volume for September was 254 million contracts, of which 83 percent was traded electronically.
In September 2010, CME Group interest rate volume averaged 5.1 million contracts per day, up 17 percent compared with the prior September. Treasury futures volume averaged 2.2 million contracts per day, up 44 percent compared with the same period in 2009, and Treasury options volume averaged 395,000 contracts per day, up 99 percent. Eurodollar futures volume averaged 1.8 million contracts per day, down 4 percent versus September 2009, and Eurodollar options volume averaged 615,000 contracts per day, down 6 percent.
CME Group equity index volume averaged 3.0 million contracts per day, in line with September 2009, and up 16 percent sequentially. CME Group foreign exchange (FX) volume averaged 951,000 contracts per day, up 26 percent compared with the same period a year ago, reflecting average daily notional value of $123 billion.
CME Group energy volume averaged 1.8 million contracts per day, up 13 percent compared with September 2009. CME Group commodities volume averaged 1.0 million contracts per day, up 56 percent compared with the prior September. CME Group metals volume averaged 246,000 contracts per day, up 10 percent compared with the same period last year.
Electronic volume averaged 10.1 million contracts per day, up 16 percent from the prior September, while privately negotiated volume increased 34 percent to 195,000 contracts per day. Average daily volume cleared through CME ClearPort was 450,000 contracts for September 2010, down 8 percent compared with September 2009. Open outcry volume averaged 1.4 million contracts per day in September, up 10 percent versus September 2009.
During the third quarter, CME Group interest rate volume averaged 5.0 million contracts per day, up 14 percent compared with third-quarter 2009. Treasury futures volume averaged 2.3 million contracts per day, up 38 percent compared with the same period a year ago, and Treasury options volume averaged 331,000 contracts per day, up 62 percent. Eurodollar futures volume averaged 1.6 million contracts per day, down 10 percent versus third-quarter 2009, while Eurodollar options volume averaged 646,000 contracts per day, flat compared with the prior third quarter.
Third-quarter 2010 CME Group equity index volume averaged 2.8 million contracts per day, up 6 percent. CME Group FX volume averaged 866,000 contracts per day, up 31 percent compared with the same period a year ago, reflecting average daily notional value of $110 billion.
Third-quarter CME Group energy volume averaged 1.7 million contracts per day, up 12 percent compared with the same period last year. CME Group commodities and alternative investments volume averaged 941,000 contracts per day, up 33 percent from third-quarter 2009. CME Group metals volume averaged 257,000 contracts per day in third-quarter 2010, up 28 percent compared with the prior third quarter.
Electronic volume averaged 9.6 million contracts per day, up 16 percent from the prior third quarter, while privately negotiated volume increased 21 percent to 181,000 contracts per day. Average daily volume cleared through CME ClearPort was 468,000 contracts for third-quarter 2010, up 3 percent compared with third-quarter 2009. Third-quarter open outcry volume averaged 1.3 million contracts per day, up 5 percent versus third-quarter 2009.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
( in thousands)
Sep 2010 Sep 2009
-------- --------
Trading Days 21 21
PRODUCT LINE Sep 2010 Sep 2009 Percent Change
-------- -------- --------------
Interest Rates 5,130 4,373 17%
Equity Index 3,004 2,990 0%
FX 951 756 26%
Energy (including CME
ClearPort) 1,761* 1,564 13%
Commodities 1,000 640 56%
Metals (including CME
ClearPort) 246 225 10%
--- --- ---
Total 12,092 10,547 15%
VENUE Sep 2010 Sep 2009 Percent Change
-------- -------- --------------
Open outcry 1,392 1,268 10%
CME Globex 10,054 8,645 16%
Privately negotiated 195 146 34%
CME ClearPort (OTC) 450 489 -8%
*The PJM daily electricity swap futures contracts, which have an
average rate per contract of approximately 10 cents, averaged 39,334
in September 2010. This accounted for approximately 2 percent of the
total Energy volume in September 2010, down from 4 percent in August
2010.
QUARTERLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
( in thousands)
Q3 2010 Q3 2009
------- -------
Trading Days 64 64
PRODUCT LINE Q3 2010 Q3 2009 Percent Change
------- ------- --------------
Interest Rates 5,020 4,422 14%
Equity Index 2,809 2,656 6%
FX 866 660 31%
Energy (including CME
ClearPort) 1,657* 1,483 12%
Commodities 941 708 33%
Metals (including CME
ClearPort) 257 201 28%
--- --- ---
Total 11,550 10,131 14%
VENUE Q3 2010 Q3 2009 Percent Change
------- ------- --------------
Open outcry 1,327 1,261 5%
CME Globex 9,574 8,267 16%
Privately negotiated 181 149 21%
CME ClearPort (OTC) 468 453 3%
*The PJM daily electricity swap futures contracts, which have an
average rate per contract of approximately 10 cents, averaged 70,597
in third-quarter 2010. This accounted for approximately 4 percent
of the total Energy volume in third-quarter 2010, up from 2 percent
in second-quarter 2010.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Sep-10 Aug-10 Jul-10 Jun-10
Interest Rates 5,020 4,875 5,708 6,074
Equity Index 2,809 3,019 3,555 3,455
FX 866 878 1,035 1,035
Energy 1,657 1,626 1,718 1,798
Commodities 941 918 843 855
Metals 257 266 322 308
--- --- --- ---
Total 11,550 11,583 13,180 13,525
VENUE Sep-10 Aug-10 Jul-10 Jun-10
Open outcry 1,327 1,288 1,473 1,538
Electronic 9,574 9,650 11,043 11,340
Privately
negotiated 181 177 192 198
CME ClearPort
(OTC) 468 469 472 448
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT LINE Aug-10 Jul-10 Jun-10 May-10
Interest Rates 0.493 0.486 0.481 0.484
Equity Index 0.709 0.715 0.713 0.713
FX 0.791 0.790 0.798 0.809
Energy 1.542 1.553 1.581 1.604
Commodities 1.287 1.294 1.282 1.265
Metals 1.743 1.775 1.749 1.776
----- ----- ----- -----
Total 0.811 0.794 0.790 0.789
VENUE Aug-10 July-10 Jun-10 May-10
Exchange-Traded 0.747 0.737 0.732 0.730
CME ClearPort
(OTC) 2.317 2.332 2.489 2.478
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.
