Total volume in October was 57.3 million contracts, and average daily volume was 2.5 million contracts per day including non-traditional TRAKRSSM contracts and 2.44 million per day excluding TRAKRS. Interest rate products - led by Eurodollar futures - posted their busiest October ever with more than 20.1 million contracts traded. Exchangewide average daily volume in October declined 7 percent compared to October 2002, the second-busiest month in CME history.
Year-to-date GLOBEX volume is up 47 percent compared to year-ago levels. Average daily volume on CME's GLOBEX® electronic trading platform was 1,135,839 in October, or 1 percent below the record level in September, and accounted for 46 percent of total volume for the month. Significant overall volume increases were posted in October in foreign exchange (FX) and commodity product groups compared to year-ago levels, while the percentage of both interest rate and FX contracts traded electronically also jumped during the month.
"Overall CME volume remained very strong across all product groups, despite equity market volatility as measured by the CBOE VIX Index falling from 35 to 19 in October compared to year-ago levels," said CME Chairman Terry Duffy.
"With nearly 50 percent growth in electronic trading year-to-date, we have seen electronic trading of equity products grow to 92 percent of equity volume, and foreign exchange volume - thanks to the successful introduction of side-by-side trading in 2001 - grow to 58 percent of total FX volume," said Craig Donohue, who will become CME's CEO on Jan. 1, 2004. "We have also seen encouraging growth in our electronic trading of Eurodollar futures on GLOBEX."
In CME's interest rate complex, average volume remained solid at over 1.2 million contracts per day even though there was no floor trading of interest rate products on the Columbus Day holiday.
Eurodollar futures traded via the Eagle engine of GLOBEX continued to post strong growth, with average daily volume exceeding 57,000 contracts per day in October, a nearly 30 percent increase over the prior month and 72 percent over year-ago levels. Electronically traded Eurodollars accounted for 4.6 percent of all Eurodollar trade, its highest percentage ever and up substantially from the 3.5 percent of volume in September.
Average daily volume in FX for the month was 118,000 contracts, a 45 percent increase over year-ago levels. Electronic trading as a percentage of overall foreign exchange trading volume rose 13 percent during October, constituting 58 percent of total FX volume for the month, a significant increase from 44 percent in September and 43 percent for the first three quarters of the year. October volume in all E-mini™ equity index products combined averaged 949,000 contracts per day, equal to average daily volume in the third quarter of 2003. October was also the second best "non-roll" month of the year for electronically traded equity index products. A roll occurs when a position in an expiring contract is replaced by a similar position in the new front-month contract.
October daily volume in privately negotiated contracts averaged roughly 26,000 contracts, compared to average volume of 40,000 per day in the third quarter.
Average daily volume in commodity contracts in October remained strong at about 41,200, a 44 percent increase over year-ago levels, fueled by continued price volatility in the live cattle contracts.
Products setting all-time single month trading volume records included the E-mini Russell 2000® futures at 509,058 contracts, the E-mini S&P MidCap 400äfutures at 150,619 and milk options at 14,112. In addition to Eurodollars, which traded more than 20 million futures contracts in October, other individual products posting their best October trading month ever include: E-mini NASDAQ-100® futures at more than 6.6 million, Euro FX futures at nearly 1.1 million, Eurodollar Mid-Curve options at more than 2.7 million, lean hog futures at 207,247, Nikkei® 225 futures at 70,065 and CME HDD Weather futures at 886.
Chicago Mercantile Exchange Inc. (www.cme.com) is the largest futures exchange in the United States. As an international marketplace, CME brings together buyers and sellers on its trading floors and GLOBEX® electronic trading platform. CME offers futures and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moved about $1.5 billion per day in settlement payments in the first nine months of 2003 and managed $29.6 billion in collateral deposits at Sept. 30, 2003. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME), which is part of the Russell 1000® Index.
Chicago Mercantile Exchange, CME and GLOBEX are registered trademarks of Chicago Mercantile Exchange Inc. E-mini is a trademark of CME. S&P, NASDAQ-100, Nikkei 225, S&P MidCap 400, Russell 1000, Russell 2000, TRAKRS, Total Return Asset Contracts and other trade names, service marks, trademarks and registered trademarks that are not proprietary to Chicago Mercantile Exchange Inc. are the property of their respective owners, and are used herein under license. Further information about CME and its products is available on the CME Web site at www.cme.com.
