CME interest rate volume was 2.4 million contracts per day in May, up 27 percent from the same period a year ago. This increase was driven by electronic CME Eurodollar futures, which represented 84 percent of total CME Eurodollar futures volume in May, compared with 39 percent in May 2004. Electronic CME Eurodollar futures averaged 1.5 million contracts per day in May, up more than 200 percent from the same period a year ago.
Average daily volume of CME foreign exchange products was 296,000 contracts, representing notional value of $38 billion per day and an 82 percent increase compared with May 2004. During the month, electronic foreign exchange products increased 120 percent from the same period one year ago to reach 237,000 contracts per day.
Trading in CME E-mini™ equity index products averaged 1.2 million contracts per day in May, down 3 percent compared with the same period last year.
In commodities, CME average daily volume of 53,000 contracts in May was up 16 percent from the year-ago period. CME traded approximately 120,000 weather futures contracts in May, compared with the previous record high of 41,000 contracts in January 2005.
During May, CME averaged 713,000 options on futures contracts per day. A record 45,000 options contracts per day were traded electronically in May, which represented 6 percent of total CME options volume.
Open interest for all CME products at the end of May was 33 million contracts, with an additional 8 million Total Return Asset ContractsTM (Trakrs). Additionally, the Chicago Board of Trade (CBOT) had 12.1 million open positions at the CME Clearing House in May. Open interest represents the number of contract positions that are not closed out at the end of a trading session.
| CME MONTHLY AVERAGE DAILY VOLUME (In Thousands) | |||
| May 2005 | May 2004 | Percent Change | |
| CME PRODUCT LINE | |||
| Interest Rates | 2,385 | 1,878 | 27% |
| E-Minis | 1,205 | 1,238 | -3% |
| Equity Standard | 102 | 95 | 7% |
| Foreign Exchange | 296 | 163 | 82% |
| Commodities | 53 | 45 | 16% |
| Sub Total | 4,041 | 3,420 | 16% |
| trakrs | 22 | 86 | -74% |
| Total | 4,063 | 3,506 | 18% |
| VENUE | |||
| Open Outcry | 1,054 | 1,516 | -30% |
| CME Globex (Ex trakrs) | 2,942 | 1,868 | 57% |
| Privately Negotiated | 45 | 36 | 25% |
| CME RATE PER CONTRACT THROUGH APRIL 2005 (excluding TRAKRS) | |||||||||
| Average Rate Per Contract (In Dollars) | |||||||||
| Rolling Three-Month Average | |||||||||
| 3-Month Period Ending | By Product Line | Total | By Venue | ||||||
| Interest Rates | E-Minis | Equity Standard | Foreign Exchange | Commodities | Open Outcry | CME Globex | Privately Negotiated | ||
| Apr-05 | 0.514 | 0.679 | 1.330 | 1.459 | 0.906 | 0.658 | 0.460 | 0.701 | 3.686 |
| Mar-05 | 0.521 | 0.663 | 1.315 | 1.483 | 0.904 | 0.668 | 0.475 | 0.704 | 3.611 |
| Feb-05 | 0.505 | 0.661 | 1.301 | 1.508 | 0.902 | 0.673 | 0.496 | 0.694 | 3.562 |
| Average Daily Volume (In Thousands) | |||||||||
| Rolling 3 Month Average | |||||||||
| 3-Month Period Ending | By Product Line | Total | By Venue | ||||||
| Interest Rates | E-Minis | Equity Standard | Foreign Exchange | Commodities | Open Outcry | CME Globex | Privately Negotiated | ||
| Apr-05 | 2,540 | 1,308 | 131 | 301 | 47 | 4,326 | 1,372 | 2,905 | 49 |
| Mar-05 | 2,235 | 1,237 | 129 | 294 | 51 | 3,946 | 1,276 | 2,618 | 52 |
| Feb-05 | 1,871 | 1,097 | 121 | 290 | 44 | 3,423 | 1,084 | 2,289 | 50 |
