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CME Group, the world's largest and most diverse exchange, today announced November volume averaged 13.0 million contracts per day, up 41 percent from November 2006, and second only to August in terms of highest monthly average daily volume during 2007. Total electronic volume averaged 10.6 million contracts per day, up 52 percent from the prior November. Total volume exceeded 273 million contracts for the month -- of which a record 81 percent were traded electronically. Overall average daily volume year to date through November increased 29 percent versus the same period last year, and quarter-to-date average daily volume through November increased 27 percent.
CME Group E-mini equity index product volume averaged 3.4 million contracts per day in November, up 89 percent compared with November 2006. CME Group interest rate product volume averaged 8.0 million contracts per day in November, up 35 percent from November 2006. CME Group foreign exchange product volume averaged 640,000 contracts per day in November, up 26 percent compared with the year-ago period. CME Group commodities and alternative investment products volume averaged 825,000 contracts per day in November, down 4 percent compared with the same period a year ago. NYMEX energy and metals volume on the CME Globex platform in November averaged a record 951,000 contracts per day, up 154 percent versus the same period a year ago.
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.
CME GROUP MONTHLY AVERAGE DAILY VOLUME - INTEREST RATES
(In thousands)
% Change vs.
November 2007 November 2006
Eurodollar futures 2,562K 26%
10-year U.S. Treasury Note futures 1,757K 30%
5-year U.S. Treasury Note futures 1,013K 59%
30-year Bond futures 531K 18%
2-year U.S. Treasury Note futures 421K 83%
Eurodollar options 1,151K 40%
Treasury and Bond options 441K 26%
CME GROUP MONTHLY AVERAGE DAILY VOLUME
(In thousands)
November 2007 November 2006 Percent Change
PRODUCT LINE
Interest Rates 8,006 5,949 35%
E-Minis 3,383 1,786 89%
Equity Standard 162 133 21%
Foreign Exchange 640 508 26%
Commodities and Alt. Inv.* 825 858 -4%
Total 13,016 9,235 41%
VENUE
Open Outcry 2,274 2,134 7%
CME Globex and e-CBOT 10,555 6,960 52%
Privately Negotiated 187 141 33%
* 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
Average Rate Per Contract
(In dollars, and calculated from combined average daily volumes for entire
period)
By Product Line By Venue
Commod-
3-Month Inte- ities Priv-
Period rest Equity Foreign and Alt Open Elect- ately
Ending Rates E-Minis Standard Exchange Inv. Total Outcry ronic Negotiated
Oct-07 0.520 0.663 1.454 0.956 1.056 0.623 0.474 0.618 2.906
Sep-07 0.519 0.673 1.451 0.951 1.032 0.622 0.473 0.613 2.878
Aug-07 0.517 0.677 1.397 0.981 1.040 0.624 0.474 0.612 2.876
Jul-07 0.514 0.686 1.357 1.036 1.021 0.627 0.487 0.611 2.914
Average Daily Volume
(In thousands, average daily volumes combined for entire period)
By Product Line By Venue
Commod-
3-Month Inte- ities Priv-
Period rest Equity Foreign and Alt Open Elect- ately
Ending Rates E-Minis Standard Exchange Inv. Total Outcry ronic Negotiated
Nov-07 6,847 2,395 173 599 744 11,298 2,149 8,979 169
Oct-07 7,500 3,019 190 601 694 12,004 2,488 9,330 186
Sep-07 8,060 3,057 202 635 716 12,670 2,652 9,806 212
Aug-07 8,345 3,051 206 645 794 13,041 2,705 10,104 232
CME Group (http://www.cmegroup.com) is the world's largest and most diverse exchange. Formed by the 2007 merger of the Chicago Mercantile Exchange Holdings and CBOT Holdings, CME Group serves the risk management needs of customers around the globe. As an international marketplace, CME Group brings buyers and sellers together on the CME Globex electronic trading platform and on its trading floors. CME Group offers the widest range of benchmark products available across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, agricultural commodities and alternative investment products such as weather and real estate. CME Group's Class A common stock is traded on the New York Stock Exchange and the Nasdaq Global Select Market under the symbol "CME."
