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CME, the world's largest and most diverse derivatives exchange, today announced June volume averaged a record 8.0 million contracts per day, up 25 percent from June 2006. Total monthly volume was 168 million contracts. Volume on the CME Globex electronic trading platform averaged a record 6.1 million contracts per day, up 37 percent from June 2006, and, represented 76 percent of total exchange volume. Total options volume averaged a record 1.7 million contracts per day, up 6 percent from June 2006. Electronic options volume averaged a record 250,000 contracts per day for the month, up 46 percent from the same period a year ago, and represented a record 15 percent of total CME options volume.
CME total interest rate product volume averaged a record 4.3 million contracts, up 22 percent from June 2006. CME Eurodollar futures volume averaged 2.8 million contracts per day, up 35 percent from the same period a year ago, and CME Eurodollar options volume averaged a record 1.5 million contracts per day, up 4 percent. Electronic volume of CME Eurodollar options averaged a record 146,000 contracts per day, up 23 percent from June 2006, and represented a record 10 percent of total Eurodollar options volume - reflecting in part the positive impact of a pricing incentive that began May 1.
CME E-mini index product volume averaged a record 2.7 million contracts per day in June, up 30 percent compared with June 2006. CME achieved monthly total volume records in E-mini S&P 500 contracts, averaging 2.0 million per day; Nasdaq-100 contracts, averaging 403,000 per day; and Russell 2000 contracts averaging 317,000 per day. Total equity options volume averaged 174,000 contracts per day, a 29 percent increase from the same period a year ago. CME E-mini index options volume averaged a record 97,000 contracts per day, up 89 percent from June 2006.
CME foreign exchange product volume in June averaged a record 668,000 contracts per day, up 41 percent compared with the year-ago period. Electronic foreign exchange volume averaged a record 595,000 contracts per day, up 48 percent compared with June 2006. June foreign exchange futures and options volume represented a notional value of $80 billion, matching the all- time monthly record set in March 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.
CME commodities and alternative investment products volume averaged 76,000 contracts per day in June, down 12 percent compared with the same period a year ago. Importantly, the commodities volume on the CME Globex platform averaged a record 11,200 contracts per day, representing an all-time high of 15 percent of total commodities and alternative investments volume.
NYMEX energy and metals volume on the CME Globex platform in June averaged a record 737,000 contracts per day. NYMEX energy volume on CME Globex of 632,000 per day exceeded volume on the Intercontinental Exchange by 20 percent, up from 10 percent higher in May.
Second-Quarter Highlights
During the second quarter, CME volume averaged 6.3 million contracts per day, up 10 percent from the same period a year ago. Total volume exceeded 404 million contracts. Volume on the CME Globex electronic trading platform averaged 4.7 million contracts per day from the same period a year ago, a 17 percent increase, and represented 74 percent of total exchange volume. In the second quarter, total options volume averaged 1.4 million contracts per day, up 4 percent compared with second-quarter 2006. Electronic options volume averaged a record 193,000 contracts per day for the quarter, up 47 percent from the same period a year ago.
CME total interest rate product volume averaged 3.6 million contracts per day during the quarter, up 9 percent from second-quarter 2006. CME Eurodollar futures averaged 2.3 million contracts per day, a 15 percent increase. Electronic CME Eurodollar futures averaged 2.1 million contracts per day during the second quarter, up 20 percent from the same period a year ago. CME Eurodollar options averaged 1.2 million contracts per day, a 1 percent increase. Electronic volume of CME Eurodollar options averaged a record 106,000 contracts per day, up 19 percent from second-quarter 2006, and represented 9 percent of total CME Eurodollar options volume.
CME E-mini equity index product volume averaged 2.0 million contracts per day during the quarter, up 14 percent compared with second-quarter 2006. CME E-mini options volume averaged a record 81,000 contracts per day, nearly doubling from second-quarter 2006. CME equity standard volume remained relatively flat, averaging 173,000 contracts per day. CME equity standard options volume averaged 81,000 contracts per day, up 10 percent from second- quarter 2006.
CME foreign exchange product volume averaged 527,000 contracts per day, up 12 percent compared with second-quarter 2006. During the quarter, electronic foreign exchange volume averaged 476,000 contracts per day, up 15 percent from the same period last year.
CME commodities and alternative investments volume averaged 75,000 contracts per day for the quarter, down 7 percent from the same period a year ago. Electronic commodities volume averaged a record 7,000 contracts per day, representing a record 9 percent of total commodities and alternative investments volume.
During the second quarter, NYMEX energy and metals volume on CME Globex averaged a record 710,000 contracts per day. NYMEX energy volume on CME Globex of 605,000 per day in the second quarter exceeded volume on the Intercontinental Exchange by 16 percent, up from 10 percent higher in the first quarter.
Open interest for all CME products was 49 million contracts at the end of the second quarter, up from 35 million contracts at the end of December. Open interest represents the number of contract positions that remain open at the end of a trading session.
The rolling three-month rate per contract for all CME products through May was 63.3 cents. The decrease from the prior month was driven by a higher proportion of Eurodollar options in May, representing 21 percent of total CME volume compared with February, when Eurodollar options represented 17 percent of total CME volume. Eurodollar options currently have the lowest rate per contract of any major CME product, at approximately 31 cents per contract.
CME MONTHLY AVERAGE DAILY VOLUME (In Thousands)
June 2007 June 2006 Percent Change
CME PRODUCT LINE
Interest Rates 4,290 3,513 22%
E-Minis 2,715 2,087 30%
Equity Standard 235 239 -2%
Foreign Exchange 668 474 41%
Commodities and Alt. Inv. 76 87 -12%
Sub Total 7,984 6,400 25%
TRAKRS 77 888 -91%
Total 8,060 7,288 11%
VENUE
Open Outcry 1,849 1,935 -4%
CME Globex (Ex TRAKRS) 6,057 4,409 37%
Privately Negotiated 78 56 39%
CME QUARTERLY AVERAGE DAILY VOLUME (In Thousands)
Q2 2007 Q2 2006 Percent Change
CME PRODUCT LINE
Interest Rates 3,560 3,255 9%
E-Minis 1,988 1,748 14%
Equity Standard 173 173 0%
Foreign Exchange 527 471 12%
Commodities 75 81 -7%
Sub Total 6,323 5,728 10%
TRAKRS 98 419 -77%
Total 6,421 6,147 4%
VENUE
Open Outcry 1,562 1,657 -6%
CME Globex (Ex TRAKRS) 4,704 4,022 17%
Privately Negotiated 57 49 17%
CME MONTHLY AVERAGE DAILY VOLUME RECORDS
For June 2007 (based on monthly ADV's)
Percent Change
from Same
Period
Product ADV Prior Year
Total Products Excluding TRAKRS Volume 7,983,541 24.7%
Interest Rate Total Volume 4,289,765 22.1%
Equity E-mini Total Volume 2,715,453 30.1%
Foreign Currency Total Volume 667,689 40.8%
Commodity and Alternative Investment Globex
Volume 11,205 1,101.2%
Eurodollar Total Volume 4,280,438 22.2%
E-mini S&P 500 Total Volume 1,956,627 37.1%
E-mini NASDAQ 100 Total Volume 403,386 7.2%
E-mini Russell 2000 Total Volume 316,985 26.9%
Swiss Franc Total Volume 71,995 59.0%
Canadian Dollar Total Volume 66,373 31.9%
Australian Dollar Total Volume 34,056 101.7%
E-mini S&P Midcap Futures Volume 37,119 11.2%
Mexican Peso Total Volume 32.212 103.9%
New Zealand Dollar Total Volume 7,862 221.5%
Milk Total Volume 2,143 107.7%
European Style Options Total Volume 2,065 131.6%
E-mini MSCI EAFE Futures Volume 1,288 1,175.4%
2-year Swap Rate Futures Volume 404 3.3%
S&P 500 Growth Futures Volume
Swedish Krone/U.S. Dollar Cross-rate Futures
Volume 89 231.4%
iShares Russell Futures Volume 9 869.0%
S&P 500 Futures Volume 106,562 1.0%
Lean Hog Options Volume 1,586 71.3%
Euroyen Globex Volume 2,765 N/A
Feeder Cattle Globex Volume 68 12,340.5%
Polish Zloty Globex Volume 54 328.8%
S&P 400 Midcap Globex Volume 1 N/A
Russian Ruble Pit Volume 342 1,272.8%
Chinese Renminbi/U.S. Dollar Cross-rate Futures
Pit Volume 23 N/A
Euro FX Options Globex Volume 2,397 35,526.1%
Live Cattle Options Globex Volume 33 N/A
CME QUARTERLY AVERAGE DAILY VOLUME RECORDS
For Second-Quarter 2007 (based on quarterly ADV's)
Percent Change
from Same
Period
Product ADV Prior Year
Equity E-mini Total Volume 1,988,397 13.7%
Equity E-mini Options Volume 81,225 94.0%
Interest Rate Options Volume 1,237,161 1.0%
Total Products excluding TRAKRS Options Volume 1,422,556 4.3%
Commodity and Alternative Investment Globex
Volume 7,011 759.8%
E-mini S&P 500 Total Volume 1,411,846 17.7%
E-mini Russell 2000 Total Volume 228,289 22.2%
Swiss Franc Total Volume 44,953 23.6%
Canadian Dollar Total Volume 49,828 18.3%
Australian Dollar Total Volume 39,383 46.4%
New Zealand Dollar Total Volume 4,110 118.9%
Milk Total Volume 2,001 108.3%
Lumber Total Volume 1,431 26.4%
Equity E-mini MSCI EAFE Futures Volume 707 968.2%
S&P 500 Growth Futures Volume 75 200.7%
Mid-sized Milk Total Volume 7 445.7%
Eurodollar Options Volume 1,237,161 1.0%
British Pound Options 1,375 49.8%
S&P 400 Midcap 1 100.0%
Mexican Peso Globex Volume 14,750 105.6%
Lean Hog Globex Volume 4,147 1,089.6%
Euroyen Globex Volume 1,937 N/A
Live Cattle Globex Volume 1,605 550.5%
Butter Globex Volume 92 41.4%
S&P 500 Growth Futures Globex Volume 52 717.7%
Feeder Cattle Globex Volume 39 8,158.9%
Polish Zloty Globex Volume 29 92.2%
Frozen Pork Belly Globex Volume 1 5,707.8%
Nikkei 225 (Yen) Futures Pit Volume 161 72.8%
Swedish Krone/U.S. Dollar Cross-rate Futures
Pit Volume 19 94.0%
Euro FX Options Globex Volume 2,154 14,168.1%
CME ROLLING THREE-MONTH AVERAGES (excluding TRAKRS)
Average Rate Per Contract (In Dollars)
By Product Line
3-Month
Period Interest Equity Foreign Commodities
Ending Rates E-Minis Standard Exchange and Alt. Inv. Total
May-07 0.477 0.709 1.388 1.080 0.963 0.633
Apr-07 0.495 0.710 1.392 1.121 0.960 0.649
Mar-07 0.492 0.706 1.414 1.109 0.944 0.644
Feb-07 0.509 0.712 1.419 1.107 0.953 0.657
By Venue
3-Month
Period
Ending Open CME Privately
Outcry Globex Negotiated
May-07 0.480 0.650 3.526
Apr-07 0.503 0.659 3.601
Mar-07 0.489 0.657 3.650
Feb-07 0.506 0.666 3.645
Average Daily Volume (In Thousands)
By Product Line
3-Month
Period Interest Equity Foreign Commodities
Ending Rates E-Minis Standard Exchange and Alt. Inv. Total
Jun-07 3,560 1,988 173 527 75 6,323
May-07 3,538 1,918 192 525 83 6,256
Apr-07 3,517 1,920 197 535 83 6,252
Mar-07 3,639 1,977 190 555 93 6,454
By Venue
3-Month
Period
Ending Open CME Privately
Outcry Globex Negotiated
Jun-07 1,562 4,704 57
May-07 1,553 4,648 55
Apr-07 1,494 4,699 58
Mar-07 1,578 4,815 61
