CME, the world's largest and most diverse financial exchange, posted total 2006 annual volume of over 1.3 billion contracts, achieving double-digit volume gains for the seventh consecutive year. CME daily volume in 2006 averaged 5.3 million contacts, up 28 percent from 2005. Volume on the CME Globex(R) electronic trading platform increased 31 percent for the year, with total volume of 956 million contracts and average daily volume of 3.8 million contracts. CME Globex volume grew to a record 75 percent of total CME volume for the fourth quarter of the year, versus 67 percent in the fourth quarter of 2005.
Total options volume averaged 1.2 million contracts per day, up 46 percent from 2005. Electronic options volume averaged 123,000 contracts per day for the year, up 167 percent. Electronic options volume grew from 7 percent of total CME options volume in first quarter 2006 to 13 percent in the fourth quarter.
CME set annual volume records across all product lines in 2006. CME interest rate products daily volume averaged 3.1 million contracts for the year, up 29 percent from the record volume levels achieved in 2005. This increase was primarily driven by continued growth in CME Eurodollar options, up 44 percent to 1.1 million contracts per day in 2006 over 2005, and electronic CME Eurodollar options, up 180 percent to 77,000 contracts per day. Electronic volume of CME Eurodollar options grew from 3 percent of total Eurodollar options volume in December 2005 to 8 percent in December 2006. CME Eurodollar futures grew 23 percent to 2.0 million contracts per day. Electronic CME Eurodollar futures averaged 1.7 million contracts per day in 2006, up 31 percent from 2005. CME Eurodollar futures remain the most actively traded futures contract in the world.
CME foreign exchange products saw year-over-year average daily volume increase 35 percent to 453,000 contracts per day in 2006. Electronic CME foreign exchange volume increased 47 percent to average a record 396,000 contracts per day compared with 2005. Daily volume in CME E-mini equity products averaged 1.6 million contracts in 2006, up 25 percent compared with 2005. CME equity standard products volume grew 23 percent to 155,000 contracts per day. Total equity options volume grew 89 percent year over year, to average 109,000 contracts per day. CME E-mini options volume averaged 45,000 contracts per day, up 148 percent from 2005. CME commodities products experienced their fourth consecutive year of double-digit growth, and were up 41 percent to 78,000 contracts per day in 2006.
All statistics in this news release exclude data on CME's non-traditional TRAKRS(R) products, and CME Auction Markets(TM) products, unless otherwise noted. All references to options refer to options on futures contracts.
Despite normal year-end slowdown, overall fourth-quarter trading activity remained strong, with daily volume averaging more than 5.3 million contracts, up 29 percent from the same period in 2005. CME foreign exchange volume averaged a record 508,000 contracts per day, up 36 percent compared with fourth-quarter 2005. During the quarter, electronic foreign exchange volume increased 45 percent from the same period last year to average 452,000 contracts per day. CME interest rate volume rose 35 percent, averaging 3.0 million contracts per day. CME E-mini products averaged 1.6 million contracts per day, up 19 percent. Further, CME commodity products increased 27 percent, with average daily volume of 72,000 contracts.
Average daily volume for December was 5.4 million contracts, up 44 percent from year-ago levels. CME FX products had the highest volume month ever, with more than 621,000 contracts per day, up 45 percent compared with December 2005. Average daily notional value of foreign exchange volume during December was $77 billion per day. CME interest rate products average daily volume grew 58 percent, E-mini products grew 29 percent, and commodity products grew 10 percent versus December 2005. Overall electronic trading on the CME Globex platform was up 51 percent in December compared with year-ago levels.
NYMEX volume on CME Globex averaged 360,000 contracts per day in the fourth quarter, up from 175,000 contracts per day in the third quarter, and 79,000 contracts per day in the second quarter. Additionally, NYMEX volume on CME Globex reached a monthly record of 376,000 contracts per day in December.
"As we stated on our last earnings call in October, NYMEX energy and metals volumes traded through our Globex system have outpaced our original volume and profit assumptions," said CME Chief Financial Officer Jamie Parisi. "We committed to updating our guidance at the appropriate time and have decided to provide guidance for specific volume thresholds. If average daily volume is 500,000 contracts in a month, we expect an average of 31 to 33 cents per contract, if it is 1 million contracts per day we expect 25 to 27 cents per contract, and if it is 2 million contracts per day we expect 22 to 23 cents per contract."
Total open interest for all CME contracts at the end of 2006 was 35 million, up from 31 million contracts of open interest at the end of 2005. In addition, CME Clearing has 15 million in open interest positions for CBOT contracts cleared by CME.
The notional value -- or underlying dollar value -- of transactions on CME in 2006 represented more than $827 trillion, up 30 percent from $638 trillion in 2005.
CME ANNUAL AVERAGE DAILY VOLUME (In Thousands)
2006 2005 Percent Change
CME PRODUCT LINE
Interest Rates 3,078 2,380 29%
E-Minis 1,580 1,264 25%
Equity Standard 155 125 23%
Foreign Exchange 453 334 35%
Commodities and Alt. Inv. 78 55 41%
Sub Total 5,343 4,158 28%
TRAKRS 248 168 47%
Total 5,591 4,327 29%
VENUE
Open Outcry 1,483 1,214 22%
CME Globex (Ex TRAKRS) 3,808 2,896 31%
Privately Negotiated 52 49 6%
CME QUARTERLY AVERAGE DAILY VOLUME (In Thousands)
Q4 2006 Q4 2005 Percent Change
CME PRODUCT LINE
Interest Rates 2,990 2,209 35%
E-Minis 1,596 1,335 19%
Equity Standard 147 141 4%
Foreign Exchange 508 375 36%
Commodities and Alt. Inv. 72 56 27%
Sub Total 5,313 4,117 29%
TRAKRS 294 595 -51%
Total 5,607 4,713 19%
VENUE
Open Outcry 1,293 1,107 17%
CME Globex (Ex TRAKRS) 3,967 2,961 34%
Privately Negotiated 53 49 8%
CME MONTHLY AVERAGE DAILY VOLUME (In Thousands)
December 2006 December 2005 Percent Change
CME PRODUCT LINE
Interest Rates 2,989 1,896 58%
E-Minis 1,541 1,192 29%
Equity Standard 192 181 6%
Foreign Exchange 621 428 45%
Commodities and Alt. Inv. 59 53 10%
Sub Total 5,402 3,751 44%
TRAKRS 237 92 158%
Total 5,640 3,843 47%
VENUE
Open Outcry 1,348 1,043 29%
CME Globex (Ex TRAKRS) 3,990 2,648 51%
Privately Negotiated 64 60 7%
Note: CME Weather and GSCI products moved from Equity Standard to
Commodities in April, and prior months were adjusted.
CME ROLLING THREE-MONTH AVERAGES (excluding TRAKRS)
Average Rate Per Contract (In Dollars)
3-Month By Product Line By Venue
Period Commod-
Ending ities Pri-
and vately
Interest E-Minis Equity Foreign Alt. Open CME Nego-
Rates Standard Exchange Inv. Total Outcry Globex tiated
Nov-06 0.502 0.703 1.357 1.112 0.918 0.645 0.494 0.657 3.719
Oct-06 0.495 0.714 1.335 1.133 0.946 0.638 0.469 0.664 3.567
Sep-06 0.496 0.712 1.338 1.146 0.939 0.641 0.475 0.668 3.545
Aug-06 0.484 0.690 1.403 1.131 0.944 0.629 0.467 0.661 3.620
Average Daily Volume (In Thousands)
3-Month By Product Line By Venue
Period Commod-
Ending ities Pri-
and vately
Interest E-Minis Equity Foreign Alt. Open CME Nego-
Rates Standard Exchange Inv. Total Outcry Globex tiated
Dec-06 2,990 1,596 147 508 72 5,313 1,293 3,967 53
Nov-06 3,120 1,661 151 476 80 5,489 1,376 4,061 52
Oct-06 3,204 1,535 150 433 74 5,397 1,490 3,855 52
Sep-06 3,148 1,564 154 423 78 5,367 1,517 3,801 50
CME ( http://www.cme.com ) is the world's largest and most diverse financial exchange. As an international marketplace, CME brings together buyers and sellers on the CME Globex(R) electronic trading platform and on its trading floors. CME offers futures and options on futures in these product areas: interest rates, stock indexes, foreign exchange, agricultural commodities, energy, and alternative investment products such as weather, real estate and economic derivatives. CME is a wholly-owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE, Nasdaq: CME), which is part of the Russell 1000(R) Index and the S&P 500(R) Index.
Statements in this news release that are not historical facts are forward- looking statements. These statements are not guarantees of future performance and involve risks, uncertainties and assumptions that are difficult to predict. Therefore, actual outcomes and results may differ materially from what is expressed or implied in any forward-looking statements. More detailed information about factors that may affect our performance may be found in our filings with the Securities and Exchange Commission, including our most recent Quarterly Report on Form 10-Q, which can be obtained at its Web site at http://www.sec.gov. We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise.
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