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- Growth was significant across major product lines compared with August 2006
- Record E-mini equity index volume was up 155 percent; record interest rate volume was up 67 percent; and foreign exchange volume was highest ever in a non-roll month, up 67 percent
- Record August NYMEX energy and metals volumes on CME Globex was up 402 percent
- Record total options volume was up 69 percent; and record electronic Eurodollar options volume was up 129 percent , representing a record 10 percent of total Eurodollar options volume
CME Group, the world's largest and most diverse exchange, today announced August volume averaged 14.9 million contracts per day, up 78 percent from August 2006. Total monthly volume exceeded 341 million contracts, of which 77 percent was traded electronically. Total options volume averaged a record 3.0 million contracts per day, up 69 percent from August 2006. Electronic options volume averaged a record 442,000 contracts per day, up 107 percent from the same period a year ago, representing 15 percent of total CME Group options volume.
CME Group E-mini equity index product volume averaged a record 3.6 million contracts per day in August, up 155 percent compared with August 2006. CME Group achieved monthly total volume records in E-mini S&P 500 contracts, averaging 2.5 million per day; Nasdaq-100 contracts, averaging 461,000 per day; Russell 2000 contracts, averaging 336,000 per day; S&P MidCap 400 contracts, averaging 42,000 per day; and $5 Dow contracts, averaging 234,000 per day. Total equity options volume averaged 209,000 contracts per day, an 82 percent increase from the same period a year ago. Total E-mini index options volume averaged 109,000 contracts per day, more than doubling from August 2006.
CME Group interest rate product volume averaged a record 9.8 million contracts per day in August, up 67 percent from August 2006. CME Group achieved monthly total volume records in Eurodollars, 5-year and 2-year U.S. Treasury Notes of 5.6 million, 1.1 million and 468,000 contracts per day, respectively.
All references to 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.
During August, a record 10 percent of Eurodollar options traded electronically and 24 percent of Treasury and Bond options were traded electronically, and a combined 12 percent of interest rate options were traded electronically.
CME Group foreign exchange product volume averaged 641,000 contracts per day in August, up 67 percent compared with the year-ago period, reaching the highest non-roll month average daily volume ever. Electronic foreign exchange volume averaged a record 608,000 contracts per day, up 75 percent compared with August 2006. August foreign exchange futures and options volume represented a notional value of $79 billion.
CME Group commodities and alternative investment products volume averaged 676,000 contracts per day in August, up 13 percent compared with the same period a year ago. Corn futures volume averaged 189,000 contracts per day, up 3 percent from August 2006. Soybean futures averaged 101,000 contracts per day, up 42 percent, and wheat futures averaged 92,000 contracts per day, up 27 percent. CME Group electronic commodities and alternative investments volume was 52 percent of total CME Group commodities and alternative investments volume in August.
NYMEX energy and metals volume on the CME Globex platform in August averaged a record 774,000 contracts per day, increasing 5 times the average daily volume for the same period a year ago.
CME GROUP MONTHLY AVERAGE DAILY VOLUME - INTEREST RATES
(In thousands, average daily volume combined for entire month)
August 2007 ADV % Change vs. August 2006
Eurodollar futures 3,371K 72 %
10-year U.S. Treasury
Note futures 1,686K 56 %
5-year U.S. Treasury
Note futures 972K 67 %
30-year Bond futures 497K 31 %
2-year U.S. Treasury
Note futures 459K 137 %
Eurodollar options 2,179K 89 %
Treasury and Bond
options 410K 12 %
CME GROUP MONTHLY AVERAGE DAILY VOLUME
(In thousands, average daily volume combined for entire month)
August 2007 August 2006 Percent Change
PRODUCT LINE
Interest Rates 9,753 5,843 67 %
E-Minis 3,582 1,404 155 %
Equity Standard 211 129 63 %
Foreign Exchange 641 383 67 %
*Commodities and
Alt. Inv. 676 596 13 %
Total 14,864 8,356 78 %
VENUE
Open Outcry 3,221 2,426 33 %
CME Globex and e- CBOT 11,409 5,794 97 %
Privately Negotiated 234 136 72 %
*CME Group Commodities and Alternative Investments product line includes the legacy CME Commodities and Alternative Investments product line and the legacy CBOT Agricultural product line and Metals, Energy and Other product line.
CME GROUP ROLLING THREE-MONTH AVERAGES (excluding trakrs)
Average Rate Per Contract (In Dollars)
By Product Line By Venue
Commod-
3-Month Inter- Equity Foreign ities Privately
Period est Stan- Ex- and Alt. Open Elec- Nego-
Ending Rates E-Minis dard change Inv. Total Outcry tronic tiated
Jul-07 0.514 0.686 1.357 1.036 1.021 0.627 0.487 0.611 2.914
Jun-07 0.516 0.700 1.334 1.090 1.034 0.639 0.492 0.626 2.948
May-07 0.515 0.715 1.364 1.080 0.994 0.639 0.492 0.631 3.018
Apr-07 0.524 0.716 1.367 1.118 0.993 0.650 0.509 0.637 3.144
Average Daily Volume (In Thousands)
By Product Line By Venue
Commod-
3-Month Inter- Equity Foreign ities Privately
Period est Stan- Ex- and Alt. Open Elec- Nego-
Ending Rates E-Minis dard change Inv. Total Outcry tronic tiated
Aug-07 8,345 3,051 206 645 794 13,041 2,705 10,104 232
Jul-07 7,386 2,482 185 591 790 11,434 2,391 8,835 208
Jun-07 6,670 2,127 180 527 818 10,322 2,297 7,838 188
May-07 6,444 2,055 200 525 744 9,967 2,200 7,607 159
Methodology for Reporting Third-Quarter Results
CME Group was formed on July 12, 2007, at the completion of the merger of CME and Chicago Board of Trade. For the purpose of quarterly reporting, volume will be calculated from that date onward in the following manner. CME standalone volume through July 12, 2007, plus the combined volumes of CME and CBOT for the remainder of the month of July and the full month of August, averaged 12.4 million contracts per day, up 61 percent through the same period in the third-quarter 2006 using the same methodology.
This methodology also will be the basis for calculating transaction fee revenue for the third quarter. Following is a breakdown of this comparison by product line.
CME GROUP QUARTER-TO-DATE AVERAGE DAILY VOLUME
(In thousands, average daily volume totals reflect CME standalone volume
for the first eight trading days and combined volume for the remainder of the
month)
Q3TD 2007 Q3TD 2006 Percent Change
PRODUCT LINE
Interest Rates 7,925 4,298 55 %
E-Minis 3,106 1,743 99 %
Equity Standard 187 139 40 %
Foreign Exchange 635 373 68 %
Commodities and
Alt. Inv. 593 412 16 %
Total 12,446 6,965 61 %
CME GROUP ROLLING THREE-MONTH AVERAGES (excluding trakrs)
Average Rate Per Contract
(In dollars, and calculated using July volume reflecting CME standalone volume for the first eight trading days and combined volume for the remainder of the month)
By Product Line By Venue
Commod-
3-Month Inter- Equity Foreign ities Privately
Period est Stan- Ex- and Alt. Open Elec- Nego-
Ending Rates E-Minis dard change Inv. Total Outcry tronic tiated
Jul-07 0.513 0.684 1.359 1.036 1.042 0.628 0.486 0.614 2.937
