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CME Group, the world's largest and most diverse derivatives marketplace, today announced that February volume averaged 12.5 million contracts per day, up 17 percent from February 2009. Total volume was 238 million contracts for February, of which a record 84 percent was traded electronically. Electronic volume averaged 10.5 million contracts per day, up 23 percent from the prior February. Average daily volume cleared through CME ClearPort was 467,000 contracts for February 2010, down 26 percent compared with February 2009. The rolling three-month ClearPort rate per contract through January is up 9 percent, even though the rolling three-month ClearPort average daily volume is down 2 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 February 2010, CME Group interest rate volume averaged 5.7 million contracts per day, up 37 percent compared with the prior February, and up 19 percent sequentially. Treasury futures volume averaged 2.7 million contracts per day, up 55 percent compared with the same period in 2009, and Treasury options volume averaged 273,000 contracts per day, up 14 percent. Eurodollar futures volume averaged 2.0 million contracts per day, up 28 percent versus February 2009, while Eurodollar options volume averaged 615,000 contracts per day, up 6 percent.
CME Group equity index volume averaged 3.0 million contracts per day, down 14 percent from February 2009, but up 3 percent from January 2010. CME Group foreign exchange (FX) volume averaged 931,000 contracts per day, up 82 percent compared with the same period a year ago, reflecting average daily notional value of approximately $121 billion, an all time record for both daily notional and volume.
CME Group energy volume averaged 1.7 million contracts per day, up 5 percent compared with February 2009. CME Group commodities and alternative investments volume averaged 913,000 contracts per day, up 16 percent from the prior February. CME Group metals volume averaged 338,000 contracts per day, up 57 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.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Feb 2010 Feb 2009
-------- --------
Trading Days 19 19
Percent
PRODUCT LINE Feb 2010 Feb 2009 Change
-------- -------- -------
Interest Rates 5,671 4,143 37%
Equity Index 2,956 3,436 -14%
FX 931 512 82%
Energy (including CME ClearPort) 1,706* 1,621 5%
Commodities and Alt. Inv. 913 789 16%
Metals (including CME ClearPort) 338 216 57%
--- --- --
Total 12,515 10,717 17%
Percent
VENUE Feb 2010 Feb 2009 Change
-------- -------- ------
Open outcry 1,354 1,393 -3%
CME Globex 10,476 8,519 23%
Privately negotiated 218 171 28%
CME ClearPort (OTC) 467 634 -26%
*The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, averaged 63,707 in February
2010. This accounted for approximately 4 percent of the total Energy
volume in February 2010, down from 5 percent in January 2010.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Feb-10 Jan-10 Dec-09 Nov-09
Interest Rates 4,728 4,453 4,368 4,538
Equity Index 2,662 2,510 2,514 2,770
FX 824 777 754 761
Energy 1,592 1,531 1,564 1,605
Commodities/Alt.
Investments 758 744 750 761
Metals 319 331 292 276
--- --- --- ---
Total 10,884 10,346 10,243 10,711
VENUE Feb-10 Jan-10 Dec-09 Nov-09
Open outcry 1,245 1,252 1,210 1,272
Electronic 8,996 8,478 8,399 8,781
Privately negotiated 185 171 170 165
CME ClearPort (OTC) 459 446 464 494
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT LINE Jan-10 Dec-09 Nov-09 Oct-09
Interest Rates 0.511 0.509 0.506 0.502
Equity Index 0.735 0.733 0.722 0.715
FX 0.817 0.816 0.802 0.824
Energy 1.637 1.606 1.628 1.645
Commodities/Alt.
Investments 1.267 1.278 1.259 1.244
Metals 1.851 1.872 1.898 1.868
----- ----- ----- -----
Total 0.852 0.849 0.840 0.831
VENUE Jan-10 Dec-09 Nov-09 Oct-09
Exchange-Traded 0.784 0.783 0.772 0.763
CME ClearPort (OTC) 2.366 2.236 2.244 2.211
