CME interest rate volume was a record 2.9 million contracts per day during the quarter, up 31 percent from the same period a year ago. This increase was driven by continued growth in CME Eurodollar options, up 38 percent to a record 1.0 million contracts per day in the first quarter. Much of this growth came from record options volume traded on the floor, with volume averaging 968,000 contracts per day, up 33 percent from first-quarter 2005. Electronic average daily volume of CME Eurodollar options grew to 52,000 contracts per day in the first quarter, up from 13,000 during first-quarter 2005. CME Eurodollar futures grew 27 percent to 1.9 million contracts per day. Electronic CME Eurodollar futures averaged 1.6 million contracts per day in the first-quarter, up 42 percent from the same period a year ago.
CME foreign exchange volume reached a record average of 407,000 contracts per day, up 38 percent compared with first-quarter 2005. During the quarter, electronic foreign exchange products increased 53 percent to 345,000 contracts per day from the same period last year.
Trading in CME E-mini(TM) equity index products averaged a record 1.4 million contracts per day in the first quarter, an increase of 14 percent compared with the same period last year. CME E-mini options average daily volume increased 168 percent quarter over quarter, averaging 27,000 contracts per day. CME equity standard volume rose 18 percent to a record average of 152,000 contracts per day in the same period.
CME commodities volume reached a record 73,000 contracts per day in the first quarter, up 42 percent over the same period a year ago. Commodities volume traded on the CME Globex platform during the first quarter increased 42 percent compared with the prior year.
March Highlights
In March, CME volume was a record 5.3 million contracts per day, up 24 percent from March 2005. Total monthly volume was more than 122 million contracts. Trading on the CME Globex platform averaged a record 3.7 million contracts per day, up 32 percent from March 2005 and representing 69 percent of total exchange volume during the month. Total CME options reached a record 1.2 million contracts per day, up 30 percent compared with March 2005. Electronic options continued to gain momentum as average daily volume increased to 84,000, up from 28,000 in March 2005 -- an increase of nearly 200 percent and representing 7 percent of total options volume. At the same time, floor-traded options volume grew 24 percent to average nearly 1.1 million contracts per day.
Total CME interest rate volume was 3.1 million contracts per day in March, up 30 percent from the same period a year ago. This increase was driven by continued growth in CME Eurodollar options, up 28 percent to a record 1.1 million contracts per day in March. Floor-based trading volume in CME Eurodollar options reached a record level in March, averaging more than 1.0 million contracts per day. Electronic trading volume in CME Eurodollar options also reached a record level of 58,000 contracts per day in March, up sequentially from 47,000 in January and 51,000 in February. CME Eurodollar futures averaged more than 2.0 million contracts per day in March, up 32 percent, of which electronic CME Eurodollar futures averaged 1.8 million contracts, up 48 percent.
CME foreign exchange volume hit an average monthly record of 460,000 contracts per day, an increase of 42 percent from the same period a year ago. CME E-mini(TM) equity index volume averaged 1.5 million contracts per day, up 10 percent from March 2005. CME commodities volume averaged 79,000 contracts per day.
Open interest for all CME products was 40 million contracts at the end of March, up from 30 million contracts at the end of December. Additionally, the Chicago Board of Trade had approximately 14 million open positions with CME Clearing at the end of March. Open interest represents the number of contract positions that remain open at the end of a trading session.
All statistics in this news release exclude data on CME's non-traditional TRAKRS(TM) products, and CME Auction Markets(TM) products, unless otherwise noted. All references to options refer to options on futures contracts.
CME QUARTERLY AVERAGE DAILY VOLUME (In Thousands)
Q1 2006 Q1 2005 Percent Change
CME PRODUCT LINE
Interest Rates 2,919 2,235 31%
E-Minis 1,408 1,237 14%
Equity Standard 152 129 18%
Foreign Exchange 407 294 38%
Commodities 73 51 42%
Sub Total 4,958 3,946 26%
TRAKRS 160 30 437%
Total 5,119 3,976 29%
VENUE
Open Outcry 1,467 1,276 15%
CME Globex (Ex TRAKRS) 3,435 2,618 31%
Privately Negotiated 57 52 9%
CME MONTHLY AVERAGE DAILY VOLUME (In Thousands)
March 2006 March 2005 Percent Change
CME PRODUCT LINE
Interest Rates 3,137 2,411 30%
E-Minis 1,454 1,323 10%
Equity Standard 196 180 9%
Foreign Exchange 460 324 42%
Commodities 79 56 41%
Sub Total 5,326 4,294 24%
TRAKRS 104 25 318%
Total 5,430 4,319 26%
VENUE
Open Outcry 1,584 1,453 9%
CME Globex (Ex TRAKRS) 3,674 2,781 32%
Privately Negotiated 68 60 14%
CME RATE PER CONTRACT THROUGH FEBRUARY 2006 (excluding TRAKRS)
Average Rate Per Contract (In Dollars)
Rolling 3-Month Average
3-Month By Product Line By Venue
Period Pri-
Ending vately
Interest Equity Foreign Commod- Open CME Nego-
Rates E-Minis Standard Exchange ities Total Outcry Globex tiated
Feb-06 0.506 0.703 1.438 1.251 0.951 0.669 0.496 0.688 3.659
Jan-06 0.506 0.708 1.428 1.216 0.942 0.672 0.502 0.689 3.670
Dec-05 0.509 0.706 1.436 1.246 0.944 0.678 0.512 0.690 3.759
Average Daily Volume (In Thousands)
Rolling 3-Month Average
3-Month By Product Line By Venue
Period Pri-
Ending vately
Interest Equity Foreign Commod- Open CME Nego-
Rates E-Minis Standard Exchange ities Total Outcry Globex tiated
Mar-06 2,919 1,408 152 407 73 4,958 1,467 3,435 57
Feb-06 2,477 1,315 147 394 62 4,395 1,273 3,068 54
Jan-06 2,324 1,268 145 394 62 4,193 1,183 2,960 51
Dec-05 2,209 1,335 147 375 51 4,117 1,107 2,961 49
Chicago Mercantile Exchange Holdings Inc. (NYSE, Nasdaq: CME) became the first publicly traded U.S. financial exchange on Dec. 6, 2002. The company was added to the Russell 1000(R) Index on July 1, 2003. It is the parent company of Chicago Mercantile Exchange Inc. ( http://www.cme.com ), the world's largest and most diverse futures exchange. As an international marketplace, CME brings together buyers and sellers on its CME Globex electronic trading platform and on its trading floors. CME offers futures and options on futures primarily in interest rates, equities, foreign exchange and commodities. The exchange moved about $1.7 billion per day in settlement payments in 2005 and managed $45.8 billion in collateral deposits at December 30, 2005, including $3.2 billion in deposits for non-CME products.
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 Annual Report on Form 10-K, 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.
