- All-time daily volume record of 26.9 million contracts traded on May 29
- Record monthly Treasury futures and options volume up 42 percent
- Monthly average daily volume records achieved for futures and options on 30-year Treasury Bonds, 10-year Treasury Notes and 5-year Treasury Notes
- Interest rate volume up 31 percent
CME Group, the world's leading and most diverse derivatives marketplace, today announced that May 2013 volume averaged 14.7 million contracts per day, up 11 percent compared with May 2012, and up 27 percent sequentially. Total volume for May 2013 was more than 324 million contracts, of which 88 percent was traded electronically.
In May, CME Group interest rate volume averaged 7.8 million contracts per day, up 31 percent from May 2012, and the highest monthly average daily volume since August 2011. Treasury futures volume averaged 4.2 million contracts per day, up 37 percent compared with the same period a year ago. Treasury options volume averaged 686,000 contracts per day, up 83 percent from May 2012. Monthly records were reached in futures and options on 30-year Treasury Bonds, 10-year Treasury Notes and 5-year Treasury Notes. Eurodollar futures volume averaged 2.3 million contracts per day, up 26 percent from the same period a year ago, and included monthly records for some of the longer-dated contracts. Eurodollar options volume averaged 563,000 contracts per day, down 13 percent from May last year, but up 77 percent sequentially.
CME Group foreign exchange (FX) volume averaged 1.0 million contracts per day, up 9 percent from May 2012, with continued strength in Japanese Yen. CME Group equity index volume in May 2013 averaged 2.8 million contracts per day, down 6 percent from the same period last year. The Nikkei 225 Yen-based stock futures contract traded a record 60,000 contracts during the month.
In May 2013, CME Group metals volume averaged a record 444,000 contracts per day, up 10 percent from May 2012. CME Group energy volume averaged 1.7 million contracts per day in May 2013, down 6 percent compared with the prior May. CME Group agricultural commodities volume in May 2013 averaged 958,000 contracts per day, down 18 percent compared with the prior-year period.
In May 2013, CME Group cleared $40 billion of notional value of OTC interest rate swaps, up 111 percent from $19 billion in April. OTC IRS open interest increased 47 percent to $2.1 trillion, as 118 market participants cleared trades at CME Group in May.
Note that the KCBT hard red winter wheat average daily volume is included within the CME Group rollup as of April 1, 2013, but not historically prior to that date, following the acquisition which closed on November 30, 2012.
MONTHLY AVERAGE DAILY VOLUME (ADV) |
|||||
Total Exchange ADV ( in thousands) |
|||||
May 2013 |
May 2012 |
||||
Trading Days |
22 |
22 |
|||
PRODUCT LINE |
May 2013 |
May 2012 |
Percent Change |
||
Interest Rates |
7,790 |
5,959 |
31% |
||
Equity Indexes |
2,773 |
2,948 |
-6% |
||
Foreign Exchange (FX) |
1,031 |
947 |
9% |
||
Energy (including CME ClearPort) |
1,711 |
1,816 |
-6% |
||
Agricultural Commodities |
958 |
1,172 |
-18% |
||
Metals (including CME ClearPort) |
444 |
404 |
10% |
||
Total |
14,707 |
13,245 |
11% |
||
VENUE |
May 2013 |
May 2012 |
Percent Change |
Open outcry |
1,180 |
1,224 |
-4% |
CME Globex |
12,872 |
11,308 |
14% |
Privately negotiated |
264 |
225 |
18% |
CME ClearPort (OTC) |
391 |
489 |
-20% |
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands) |
||||
3-Month Period Ending |
||||
PRODUCT LINE |
May-13 |
Apr-13 |
Mar-13 |
Feb-13 |
Interest Rates |
5,779 |
5,270 |
5,656 |
5,128 |
Equity Indexes |
2,844 |
2,821 |
2,608 |
2,482 |
Foreign Exchange (FX) |
998 |
1,008 |
1,010 |
928 |
Energy |
1,804 |
1,821 |
1,730 |
1,587 |
Agricultural Commodities |
1,048 |
1,148 |
1,084 |
1,053 |
Metals |
451 |
449 |
396 |
368 |
Total |
12,924 |
12,516 |
12,484 |
11,547 |
VENUE |
May-13 |
Apr-13 |
Mar-13 |
Feb-13 |
Open outcry |
924 |
837 |
885 |
824 |
Electronic |
11,305 |
10,956 |
10,908 |
10,099 |
Privately negotiated |
254 |
277 |
275 |
260 |
CME ClearPort (OTC) |
442 |
447 |
416 |
364 |
Average Rate Per Contract (In dollars) |
||||
3-Month Period Ending |
||||
PRODUCT LINE |
Apr-13 |
Mar-13 |
Feb-13 |
Jan-13 |
Interest Rates |
0.468 |
0.468 |
0.472 |
0.487 |
Equity Indexes |
0.693 |
0.691 |
0.698 |
0.708 |
Foreign Exchange (FX) |
0.868 |
0.848 |
0.850 |
0.834 |
Energy |
1.318 |
1.390 |
1.449 |
1.485 |
Agricultural Commodities |
1.337 |
1.318 |
1.305 |
1.309 |
Metals |
1.632 |
1.656 |
1.665 |
1.678 |
Total |
0.796 |
0.785 |
0.799 |
0.823 |
VENUE |
Apr-13 |
Mar-13 |
Feb-13 |
Jan-13 |
Exchange-Traded |
0.747 |
0.730 |
0.742 |
0.763 |
CME ClearPort (OTC) |
2.130 |
2.360 |
2.557 |
2.585 |