Each major product group posted volume gains compared to year-ago levels. Foreign exchange (FX) volume rose 65 percent compared to last November to average 134,000 per day, the highest non-roll month during 2003. Contract rolls occur when front-month contracts expire and are replaced by the next expiration and typically occur on a quarterly basis. Compared to year-ago levels, E-miniTM stock index volume was up 11 percent to 888,000 per day, despite lower volatility in equity markets. Interest rate contract volume grew 8 percent to almost 1.2 million contracts per day compared to November 2002. Commodity product volume was up 11 percent compared to last November.
Overall GLOBEX volume for the month totaled 20.3 million or 1.1 million per day, an 11 percent increase from year-ago levels. GLOBEX trading as a percent of total exchange-wide volume was 46 percent for November.
"This week, as CME celebrates its first anniversary as the first and only publicly traded financial exchange in the United States, we also will mark another record volume year having surpassed by the middle of November our total volume for all of 2002," said CME Chairman Terry Duffy. "Average daily volumes in November across all product sectors remained solid considering the fact Eurodollars and foreign exchange products on our trading floor were closed on Veterans Day and there were shortened trading days before and after Thanksgiving."
"CME is very pleased with the success of the first phase of our historic Common Clearing Link with the Chicago Board of Trade, which launched on Nov. 24 and which has already produced over 1.4 million successfully and seamlessly cleared trades. This paves the way for phase two on Jan. 2 when we will begin to clear all CBOT products," said Craig Donohue, who will become CME's CEO on Jan. 1, 2004. "In addition, we are seeing significant growth in Eurodollar and foreign exchange volumes on GLOBEX, reflecting a strong market response to our aggressive efforts to boost GLOBEX liquidity around the clock including through our Eurodollar market maker program that is under way."
Electronic trading of equity index products on CME's GLOBEX® trading platform represented 92 percent of total equity trading in November. Eurodollar activity conducted through the Eagle engine of GLOBEX continued to surge in November with average daily volume of 67,000 contracts, an increase of 10,000 contracts per day compared with last month and up from 44,000 contracts per day during the third quarter of 2003. During the month, electronic interest rate volume made up 5.7 percent of the total interest rate volume compared to 2.7 percent during November of last year. Trading of foreign exchange contracts on GLOBEX constituted 56 percent of total FX volume during the month, up considerably from 37 percent during November of last year and 46 percent during the third quarter of 2003.
Among individual products posting a record-volume November was the E-mini Russell 2000®, which notched average daily volume of over 24,000 per day, roughly four times the volume of November 2002. Other products posting their busiest November ever included futures on EuroFX, Canadian and Australian dollars, Mexican pesos, E-mini NASDAQ-100®, E-mini S&P MidCap 400TM, Nikkei® 225 and milk. Eurodollar Mid-Curve, EuroFX and milk options on futures products posted their most active November ever.
The notional value of all contracts traded during November was $23.9 trillion.
Open interest at the end of November managed by the CME Clearing House Division totaled 31 million positions, which included 2.7 million positions from contracts traded at the Chicago Board of Trade and cleared by CME through the CME/CBOT Common Clearing Link.
* Excluding non-traditional TRAKRSSM products for which CME receives significantly lower clearing fees of less than 1 cent per contract on average.
