CMEGroup, the world's leading and most diverse derivatives marketplace, today announced that May volume averaged an all-time record of 16.8 million contracts per day, up 58 percent from May 2009. Total volume was 335 million contracts for May, of which 84 percent was traded electronically.
In May 2010, CME Group interest rate volume averaged 8.1 million contracts per day, up 72 percent compared with the prior May, representing the highest year-over-year growth for the past several years. Treasury futures volume averaged 3.6 million contracts per day, up 90 percent compared with the same period in 2009, and Treasury options volume averaged 317,000 contracts per day, up 19 percent. Eurodollar futures volume averaged 2.9 million contracts per day, up 67 percent versus May 2009, while Eurodollar options volume averaged 1.2 million contracts per day, up 54 percent.
CME Group equity index volume averaged 4.2 million contracts per day, up 41 percent from May 2009, reflecting the first positive year-over-year growth since May 2009. CME Group foreign exchange (FX) volume averaged a record 1.3 million contracts per day, up 140 percent compared with the same period a year ago, reflecting a record average daily notional value of $161 billion. Several individual FX contracts achieved record average daily volume in May, including Australian dollar futures, British pound futures, Canadian dollar futures, E-mini Euro FX futures, E-mini Japanese yen futures, Euro FX futures, Euro FX options and E-micro Euro-U.S. dollar futures.
CME Group energy volume averaged a record 2.0 million contracts per day, up 42 percent compared with May 2009, driven primarily by all-time record volume for WTI and refined products. Record WTI futures and options volume averaged 1.1 million contracts per day, up 76 percent versus May 2009, while refined products averaged a record 284,000 contracts, up 42 percent. CME Group commodities and alternative investments volume averaged 731,000 contracts per day, level with the prior May. CME Group metals volume averaged a record 398,000 contracts per day, up 93 percent compared with the same period last year.
Open outcry volume averaged 2.0 million contracts in May, up 29 percent versus May 2009. Electronic volume averaged a record 14.0 million contracts per day, up 66 percent from the prior May, while privately negotiated volume increased 55 percent to 246,000 contracts per day. Average daily volume cleared through CME ClearPort was 507,000 contracts for May 2010, up 8 percent compared with May 2009.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
(in thousands)
May 2010 May 2009
-------- --------
Trading Days 20 20
PRODUCT LINE May 2010 May 2009 Percent Change
-------- -------- --------------
Interest Rates 8,105 4,723 72%
Equity Index 4,228 2,996 41%
FX 1,306 544 140%
Energy (including CME
ClearPort) 2,000* 1,407 42%
Commodities and Alt.
Inv. 731 731 0%
Metals (including CME
ClearPort) 398 206 93%
--- --- ---
Total 16,768 10,606 58%
VENUE May 2010 May 2009 Percent Change
-------- -------- --------------
Open outcry 1,974 1,535 29%
CME Globex 14,041 8,443 66%
Privately negotiated 246 159 55%
CME ClearPort (OTC) 507 470 8%
*The PJM daily electricity swap futures contracts, which have an
average rate per contract of approximately 10 cents, averaged
72,643 in May 2010. This accounted for approximately 4 percent
of the total Energy volume in May 2010, up from 2 percent in
April 2010.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE May-10 Apr-10 Mar-10 Feb-10
Interest Rates 6,147 5,393 5,120 4,728
Equity Index 3,119 2,724 2,815 2,662
FX 1,008 892 887 824
Energy 1,737 1,645 1,609 1,592
Commodities/Alt.
Investments 773 827 786 758
Metals 315 296 327 319
--- --- --- ---
Total 13,098 11,778 11,544 10,884
VENUE May-10 Apr-10 Mar-10 Feb-10
Open outcry 1,540 1,349 1,318 1,245
Electronic 10,916 9,809 9,562 8,996
Privately negotiated 196 187 190 185
CME ClearPort (OTC) 445 432 474 459
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT LINE Apr-10 Mar-10 Feb-10 Jan-10
Interest
Rates 0.492 0.503 0.511 0.511
Equity Index 0.712 0.713 0.726 0.735
FX 0.811 0.803 0.806 0.817
Energy 1.628 1.636 1.640 1.637
Commodities/
Alt.
Investments 1.248 1.244 1.255 1.267
Metals 1.696 1.734 1.703 1.851
----- ----- ----- -----
Total 0.809 0.821 0.838 0.852
VENUE Apr-10 Mar-10 Feb-10 Jan-10
Exchange-
Traded 0.746 0.754 0.770 0.784
CME ClearPort
(OTC) 2.465 2.392 2.373 2.366
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.
