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CME Group, the world's largest and most diverse derivatives marketplace, today announced that July volume averaged 9.8 million contracts per day, down 25 percent from July 2008. Total volume was 215 million contracts for July, of which 81 percent was traded electronically, up from 79 percent in June. Electronic volume averaged 7.9 million contracts per day, down 25 percent from the prior July. CME Group year-to-date volume through July averaged 10.3 million contracts per day.
CME Group interest rate volume averaged 4.2 million contracts per day, down 30 percent compared with the same period in 2008, still trending above first-quarter 2009 average daily volume levels as credit and lending markets continued to stabilize. CME Group E-mini equity index volume averaged 2.4 million contracts per day, down 31 percent compared with July 2008. Equity standard volume averaged 96,000 contracts per day, down 44 percent compared with the same period last year. CME Group foreign exchange (FX) experienced its highest non-roll month volume so far in 2009. FX volume averaged 612,000 contracts per day, with notional value of approximately $79 billion, down 4 percent compared with the prior July. CME Group commodities and alternative investments volume averaged 748,000 contracts per day, down 15 percent from July 2008.
Total NYMEX volume averaged 1.7 million contracts for July 2009, down 9 percent compared with the same period last year, but in line with June 2009. Monthly NYMEX energy futures and options volume averaged 983,000 contracts per day, down 6 percent from July 2008, but up slightly compared with June 2009. COMEX metals volume averaged 182,000 contracts per day for July 2009, down 29 percent compared with the same period last year. Average daily volume cleared through CME ClearPort was 494,000 contracts for July 2009, down 2 percent compared with July 2008. The remaining NYMEX volume of 36,000 trades per day consisted of other transactions, which include position transfers and exchanges.
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, and HuRLO products.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Jul 2009 Jul 2008 Percent Change
-------- -------- --------------
Total 9,755 13,034 -25%
Trading Days 22 22
CME Group ADV
(CME and CBOT combined, in thousands)
PRODUCT LINE Jul 2009 Jul 2008 Percent Change
-------- -------- --------------
Interest Rates 4,168 5,952 -30%
E-minis 2,436 3,522 -31%
Equity Standard 96 171 -44%
FX 612 640 -4%
Commodities and Alt. Inv. 748 878 -15%
--------------------------------------------
Total 8,060 11,163 -28%
Jul 2009 Jul 2008 Percent Change
-------- -------- --------------
VENUE
Open outcry 1,049 1,509 -30%
CME Globex 6,894 9,500 -27%
Privately negotiated 116 154 -24%
NYMEX/COMEX ADV
(in thousands)
Jul 2009 Jul 2008 Percent Change
-------- -------- --------------
NYMEX floor 129 221 -42%
NYMEX electronic 854 823 4%
COMEX floor 23 36 -37%
COMEX electronic 159 221 -28%
CME ClearPort 494* 503 -2%
Other 36 67 -47%
--------------------------------------------
Total 1,695 1,871 -9%
*The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, accounted for approximately
23 percent of the total volume cleared through CME ClearPort in July 2009.
ROLLING THREE-MONTH AVERAGES
Total Exchange Pro Forma RPC (Legacy CME, CBOT, and NYMEX combined)
Jun-09 May-09 Apr-09 Mar-09
Total Average RPC 0.816 0.812 0.823 0.833
CME Group (Legacy CME and CBOT combined)
Average Rate Per Contract (In dollars)
3-Month Period Ending
Jun-09 May-09 Apr-09 Mar-09
Interest Rates 0.525 0.522 0.527 0.532
E-minis 0.676 0.666 0.671 0.677
Equity Standard 1.570 1.536 1.536 1.543
FX 0.901 0.905 0.920 0.918
Commodities/Alt.
Investments 1.130 1.107 1.126 1.108
----- ----- ----- -----
Total 0.670 0.665 0.677 0.677
Open outcry 0.625 0.618 0.631 0.607
Electronic 0.648 0.647 0.658 0.659
Privately negotiated 2.500 2.436 2.419 2.460
Average Daily Volume (In thousands)
3-Month Period Ending
Jul-09 Jun-09 May-09 Apr-09
Interest Rates 4,664 4,389 3,942 3,752
E-minis 2,964 2,867 3,267 3,396
Equity Standard 119 121 140 152
FX 622 568 513 503
Commodities/Alt.
Investments 799 818 717 734
--- --- --- ---
Total 8,897 8,762 8,579 8,538
Open outcry 1,303 1,294 1,180 1,133
Electronic 7,452 7,331 7,281 7,284
Privately negotiated 141 137 118 120
NYMEX/COMEX
Average Rate Per Contract (In dollars)
3-Month Period Ending
Jun-09 May-09 Apr-09 Mar-09
NYMEX floor 1.40 1.42 1.33 1.38
NYMEX electronic 1.37 1.31 1.32 1.35
COMEX floor 1.49 1.53 1.65 1.78
COMEX electronic 1.74 1.77 1.80 1.80
CME ClearPort 1.81 1.82 1.72 1.75
Other 2.68 2.39 2.47 2.46
---- ---- ---- ----
Total Pro Forma Average
Gross Rate 1.58 1.57 1.54 1.57
Total Pro Forma Average
Net Rate 1.48 1.46 1.44 1.47
Average Daily Volume (In thousands)
3-Month Period Ending
Jul-09 Jun-09 May-09 Apr-09
NYMEX floor 130 126 125 126
NYMEX electronic 834 785 753 766
COMEX floor 27 28 28 27
COMEX electronic 159 149 153 156
CME ClearPort 524 537 553 605
Other 45 49 52 54
-- -- -- --
Total 1,721 1,675 1,664 1,734
