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CME Group, the world's largest and most diverse derivatives exchange, today announced that February volume averaged 10.8 million contracts per day, trending up from recent months though down 28 percent from February 2008. Average daily volume during February increased 14 percent from average daily volume of 9.5 million contracts during January 2009 and increased 32 percent from average daily volume of 8.2 million contracts in December 2008. Total volume was 206 million contracts for February, of which 79 percent was traded electronically. Total electronic volume averaged 8.5 million contracts per day, up 16 percent sequentially but down 28 percent from the prior February.
Average daily volume cleared on ClearPort was 706,000 contracts for the month, up 39 percent compared with February 2008, which highlighted market participants' increased interest in the safety and soundness of CME Group's regulated, transparent and centrally cleared markets. The PJM daily electricity swap futures contracts were launched on ClearPort on December 8, 2008. These contracts have an average rate per contract of approximately 10 cents due to their small size and averaged an estimated 168,000 contracts per day in February, representing 24 percent of the volume cleared on ClearPort for the month. This compares with average daily volume of 121,000 contracts per day representing 20 percent of volume cleared on ClearPort in January, and average daily volume of 37,000 contracts per day, representing 8 percent of volume cleared on ClearPort for the full month of December 2008. As a result, the rolling 3-month average rate per contract for ClearPort through February is expected to decrease.
CME Group interest rate volume averaged 4.1 million contracts per day in February, up 16 percent from January 2009 and down 51 percent from February 2008. E-mini equity index volume averaged 3.3 million contracts per day in February, up 15 percent sequentially and up 11 percent from the same period last year. February equity standard volume averaged 141,000 contracts per day, up 16 percent sequentially and down 7 percent from the prior February. Foreign exchange (FX) volume averaged 512,000 contracts per day in February, up 11 percent sequentially and down 10 percent from the same month last year. This volume represented an average daily notional value of $64 billion. Commodities and alternative investments volume averaged 789,000 contracts per day in February, up 20 percent from January 2009 and down 24 percent from February 2008.
All references to CME Group volume and rate per contract information in the text of this document exclude our non-traditional TRAKRS products, for which CME Group receives significantly lower clearing fees than other CME Group products, and Swapstream products.
Total NYMEX volume in February averaged 2.0 million contracts, up 9 percent sequentially and up 6 percent compared with the prior-year period. February NYMEX energy futures and options volume averaged 983,000 contracts per day, up 4 percent from January 2009 and down 6 percent from February 2008. COMEX metals volume averaged 198,000 contracts per day for February, down 2 percent sequentially and down 10 percent from February 2008. Outside the average daily volume of 706,000 contracts cleared on ClearPort, the remaining NYMEX volume of 69,000 trades per day consisted of other transactions, which include position transfers and exchanges.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV (Legacy CME, CBOT, and NYMEX combined, in
thousands)
February 2009 February 2008 Percent Change
------------- ------------- --------------
Total 10,836 15,056 -28%
CME Group ADV (Legacy CME and CBOT combined, in thousands)
PRODUCT LINE February 2009 February 2008 Percent Change
------------- ------------- --------------
Interest Rates 4,143 8,485 -51%
E-minis 3,295 2,964 11%
Equity Standard 141 151 -7%
FX 512 566 -10%
Commodities and Alt.
Inv. 789 1,041 -24%
Total 8,880 13,207 -33%
February 2009 February 2008 Percent Change
VENUE ------------- ------------- --------------
Open outcry 1,241 2,177 -43%
CME Globex 7,508 10,803 -30%
Privately negotiated 131 227 -42%
NYMEX/COMEX ADV (In thousands)
February 2009 February 2008 Percent Change
------------- ------------- --------------
NYMEX floor 139 261 -47%
NYMEX electronic 844 783 8%
COMEX floor 31 41 -25%
COMEX electronic 167 180 -7%
CME ClearPort 706 507 39%
Other 69 78 -11%
Total 1,956 1,849 6%
ROLLING THREE-MONTH AVERAGES
Total Exchange Pro Forma RPC (Legacy CME, CBOT, and NYMEX combined)
Jan-09 Dec-08 Nov-08 Oct-08
Total Average RPC 0.870 0.858 0.821 0.807
CME Group (Legacy CME and CBOT combined)
Average Rate Per Contract (In dollars)
3-Month Period Ending
Jan-09 Dec-08 Nov-08 Oct-08
Interest Rates 0.567 0.569 0.545 0.539
E-minis 0.688 0.706 0.703 0.703
Equity Standard 1.588 1.582 1.559 1.529
FX 0.928 0.894 0.915 0.932
Commodities/Alt.
Investments 1.150 1.154 1.167 1.144
----- ----- ----- -----
Total 0.706 0.713 0.691 0.684
Open outcry 0.669 0.663 0.619 0.608
Electronic 0.680 0.691 0.672 0.665
Privately negotiated 2.579 2.558 2.546 2.533
Average Daily Volume (In thousands)
3-Month Period Ending
Feb-09 Jan-09 Dec-08 Nov-08
Interest Rates 3,452 3,325 3,692 5,156
E-minis 3,014 3,157 3,799 4,444
Equity Standard 147 153 194 238
FX 457 444 481 625
Commodities/Alt.
Investments 669 648 691 746
--- --- --- ---
Total 7,738 7,727 8,857 11,208
Open outcry 1,135 1,145 1,275 1,595
Electronic 6,480 6,459 7,447 9,445
Privately negotiated 123 123 136 167
NYMEX/COMEX
Average Rate Per Contract (In dollars, on a pro forma basis*)
3-Month Period Ending
Jan-09 Dec-08 Nov-08 Oct-08
NYMEX floor 1.54 1.60 1.60 1.36
NYMEX electronic 1.38 1.31 1.30 1.30
COMEX floor 1.79 1.80 1.76 1.73
COMEX electronic 1.78 1.78 1.75 1.74
CME ClearPort 1.94 2.10 2.11 2.04
Other 2.21 2.04 1.99 1.97
---- ---- ---- ----
Total Pro Forma Average Gross
Rate 1.66 1.67 1.66 1.60
Total Pro Forma Average Net Rate 1.55 1.57 1.56 1.53
*Pro forma adjustment excludes the Globex payment to CME Group from the
NYMEX electronic, COMEX electronic and Direct Transaction Cost lines.
Average RPC by venue are gross figures - NYMEX historically reported
average net RPC by venue.
Average Daily Volume (In thousands)
3-Month Period Ending
Feb-09 Jan-09 Dec-08 Nov-08
NYMEX floor 140 147 166 184
NYMEX electronic 759 705 682 754
COMEX floor 26 28 29 36
COMEX electronic 146 147 144 186
CME ClearPort 584 513 489 509
Other 58 72 75 78
-- -- -- --
Total 1,713 1,612 1,584 1,746
