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CME total interest rate volume was 2.1 million contracts per day in July, up 20 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 July, compared with 58 percent in July 2004. Electronic CME Eurodollar futures averaged 1.1 million contracts per day in July, up more than 60 percent from the same period a year ago
Average daily volume of CME foreign exchange products was 315,000 contracts, representing notional value of $41 billion per day and an 80 percent increase compared with July 2004. During the month, electronic foreign exchange products increased 129 percent from the same period one year ago to reach 270,000 contracts per day.
Trading in CME E-mini™ equity index products averaged 1.1 million contracts per day in July, remaining relatively flat compared with the same period last year.
During July, CME averaged 836,000 options on futures contracts per day, up from 750,000 in June, and 46,000 electronic options on futures contracts per day, up from 40,000 in June.
Open interest for all CME products at the end of July exceeded 30 million contracts, with an additional 8 million Total Return Asset ContractsTM (Trakrs). Additionally, the Chicago Board of Trade (CBOT) had approximately 13 million open positions at the CME Clearing House in July. Open interest represents the number of contract positions that are not closed out at the end of a trading session.
session.
CME MONTHLY AVERAGE DAILY VOLUME(In Thousands)
|
|
July 2005 |
July 2004 |
Percent Change |
|
CME PRODUCT LINE |
|
|
|
|
Interest Rates |
2,112 |
1,764 |
20% |
|
E-Minis |
1,100 |
1,116 |
-1% |
|
Equity Standard |
87 |
85 |
2% |
|
Foreign Exchange |
315 |
175 |
80% |
|
Commodities |
53 |
42 |
26% |
|
Sub Total |
3,667 |
3,182 |
15% |
|
trakrs |
25 |
41 |
-40% |
|
Total |
3,692 |
3,223 |
14% |
|
|
|
|
|
|
VENUE |
|
|
|
|
Open Outcry |
1,092 |
1,194 |
-8% |
|
Globex (Ex trakrs) |
2,535 |
1,945 |
30% |
|
Privately Negotiated |
40 |
43 |
-8% |
CME RATE PER CONTRACT THROUGH JUNE 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 |
Equity Minis |
Equity Standard |
Foreign Exchange |
Commodities |
Open Outcry |
CME Globex |
Privately Negotiated |
||
|
Jun-05 |
0.506 |
0.687 |
1.330 |
1.357 |
0.870 |
0.651 |
0.467 |
0.678 |
3.615 |
|
May-05 |
0.510 |
0.684 |
1.336 |
1.414 |
0.883 |
0.655 |
0.471 |
0.686 |
3.637 |
|
Apr-05 |
0.514 |
0.679 |
1.330 |
1.459 |
0.906 |
0.658 |
0.460 |
0.701 |
3.686 |
Average Daily Volume (In Thousands)
Rolling 3 Month Average
|
3-Month Period Ending |
By Product Line |
Total |
By Venue |
||||||
|
Interest Rates |
Equity Minis |
Equity Standard |
Foreign Exchange |
Commodities |
Open Outcry |
CME Globex |
Privately Negotiated |
||
|
Jun-05 |
2,577 |
1,301 |
124 |
332 |
46 |
4,380 |
1,210 |
3,122 |
47 |
|
May-05 |
2,574 |
1,334 |
130 |
310 |
50 |
4,397 |
1,308 |
3,041 |
49 |
|
Apr-05 |
2,540 |
1,308 |
131 |
301 |
47 |
4,326 |
1,372 |
2,905 |
49 |
