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- Second consecutive month of positive year-over-year growth in 2009
- Double-digit monthly year-over-year growth in interest rates, FX and energy; triple-digit year-over-year growth in metals
- Best monthly year-over-year performance in 2009 for interest rates
- Fourth-quarter average daily volume of 10.2 million contracts per day, up one percent compared with third-quarter 2009
- Double-digit quarterly year-over-year growth in interest rates, FX, energy and metals
CME Group, the world's largest and most diverse derivatives marketplace, today announced that December volume averaged 9.2 million contracts per day, up 13 percent from December 2008, and represented the second consecutive month of positive year-over-year growth in 2009. Total volume was 202 million contracts for December, of which 82 percent was traded electronically. Electronic volume averaged 7.5 million contracts per day, up 17 percent from the prior December. Average daily volume cleared through CME ClearPort was 403,000 contracts for December 2009, down 1 percent compared with December 2008. CME Group fourth-quarter volume averaged 10.2 million contracts per day, down one percent from December 2008, but up one percent versus third-quarter 2009. CME Group 2009 volume averaged 10.3 million contracts per day, down 20 percent from 2008.
In December, CME Group interest rate volume demonstrated the best monthly year-over-year growth in 2009, averaging 3.9 million contracts per day, up 42 percent compared with December 2008. Eurodollar futures volume averaged 1.7 million contracts per day, up 38 percent versus December 2008, while Eurodollar options volume averaged 539,000 contracts per day, up 11 percent. Treasury futures volume averaged 1.4 million contracts per day, up 64 percent compared with the same period in 2008, and Treasury options volume averaged 236,000 contracts per day, up 63 percent. CME Group equity index volume averaged 2.2 million contracts per day, down 27 percent from December 2008. CME Group foreign exchange (FX) volume averaged 735,000 contracts per day, up 81 percent compared with the same period a year ago, reflecting average daily notional value of approximately $96 billion. CME Group energy volume averaged 1.4 million contracts per day in December, up 21 percent compared with the same period last year. CME Group commodities and alternative investments volume averaged 614,000 contracts per day, up 6 percent from December 2008. CME Group metals volume averaged 273,000 contracts per day in December 2009, up 111 percent compared with the prior December.
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, Swapstream products, HuRLO products and credit default swap clearing.
During the fourth quarter, CME Group interest rate volume demonstrated the only positive quarterly year-over-year growth of 2009, averaging 4.4 million contracts per day, up 18 percent compared with fourth-quarter 2008. Eurodollar futures volume averaged 1.7 million contracts per day, up 20 percent versus fourth-quarter 2008, while Eurodollar options volume averaged 591,000 contracts per day, down 7 percent. Treasury futures volume averaged 1.8 million contracts per day, up 34 percent compared with the same period a year ago, and Treasury options volume averaged 227,000 contracts per day, up 4 percent. CME Group equity index volume averaged 2.5 million contracts per day, down 37 percent. CME Group FX volume averaged 754,000 contracts per day, up 57 percent compared with the same period a year ago, reflecting average daily notional value of approximately $100 billion. Fourth quarter CME Group energy volume averaged 1.6 million contracts per day, up 21 percent compared with the same period last year. CME Group commodities and alternative investments volume averaged 750,000 contracts per day, up 9 percent from fourth-quarter 2008. CME Group metals volume averaged 292,000 contracts per day in fourth-quarter 2009, up 59 percent compared with the prior fourth quarter, and up 45 percent sequentially.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Dec 2009 Dec 2008
-------- --------
Trading Days 22 22
PRODUCT LINE Dec 2009 Dec 2008 Percent Change
-------- -------- --------------
Interest
Rates 3,886 2,741 42%
Equity Index 2,237 3,083 -27%
FX 735 405 81%
Energy
(including CME ClearPort) 1,448* 1,196 21%
Commodities and Alt. Inv. 614 577 6%
Metals
(including CME ClearPort) 273 130 111%
--- --- ---
Total 9,191 8,132 13%
Percent
VENUE Dec 2009 Dec 2008 Change
-------- -------- -------
Open outcry 1,087 1,156 -6%
CME Globex 7,540 6,432 17%
Privately negotiated 160 137 17%
CME ClearPort (OTC) 403 407 -1%
*The PJM daily electricity swap futures contracts, which have an average rate per contract of approximately 10 cents, averaged 36,555 in December 2009. This accounted for approximately 3 percent of the total Energy volume in December 2009, even with 3 percent in November 2009.
QUARTERLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Q4 2009 Q4 2008
------- -------
Trading Days 64 64
Percent
PRODUCT LINE Q4 2009 Q4 2008 Change
------- ------- --------
Interest Rates 4,368 3,692 18%
Equity Index 2,514 3,993 -37%
FX 754 481 57%
Energy
(including CME ClearPort) 1,564* 1,290 21%
Commodities and Alt. Inv. 750 691 9%
Metals
(including CME ClearPort) 292 184 59%
--- --- ---
Total 10,243 10,331 -1%
Percent
VENUE Q4 2009 Q4 2008 Change
------- ------- -------
Open outcry 1,210 1,456 -17%
CME Globex 8,399 8,272 2%
Privately negotiated 170 168 1%
CME ClearPort (OTC) 464 436 6%
*The PJM daily electricity swap futures contracts, which have an average rate per contract of approximately 10 cents, averaged 71,007 contracts per day in fourth-quarter 2009. This accounted for approximately 5 percent of the total Energy volume in fourth-quarter 2009, up from 2 percent in third-quarter 2009.
ANNUAL AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
2009 2008
---- ----
Trading Days 252 253
Percent
PRODUCT LINE 2009 2008 Change
---- ---- -------
Interest Rates 4,260 6,085 -30%
Equity Index 2,916 3,663 -20%
FX 624 624 0%
Energy
(including CME
ClearPort) 1,492 1,439 4%
Commodities and
Alt. Inv. 741 848 -13%
Metals
(including CME
ClearPort) 225 234 -4%
--- --- ---
Total 10,258 12,893 -20%
VENUE 2009 2008 Percent Change
---- ---- --------------
Open outcry 1,309 2,006 -35%
CME Globex 8,290 10,270 -19%
Privately negotiated 164 195 -16%
CME ClearPort (OTC) 494 422 17%
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Dec-09 Nov-09 Oct-09 Sep-09
Interest Rates 4,368 4,538 4,527 4,422
Equity Index 2,514 2,770 2,756 2,656
FX 754 761 707 660
Energy 1,564 1,605 1,588 1,484
Commodities/Alt.
Investments 750 761 721 708
Metals 292 276 216 201
--- --- --- ---
Total 10,243 10,711 10,515 10,132
VENUE Dec-09 Nov-09 Oct-09 Sep-09
Open outcry 1,210 1,272 1,261 1,264
Electronic 8,399 8,781 8,599 8,267
Privately negotiated 170 165 158 147
CME ClearPort (OTC) 464 494 497 453
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
