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CME Group, the world's leading and most diverse derivatives marketplace, today announced that July volume averaged 10.8 million contracts per day, up 12 percent from July 2009. Total volume was 227 million contracts for July, of which 83 percent was traded electronically.
In July 2010, CME Group interest rate volume averaged 4.5 million contracts per day, up 8 percent compared with the prior July. Treasury futures volume averaged 2.0 million contracts per day, up 35 percent compared with the same period in 2009, and Treasury options volume averaged 235,000 contracts per day, up 13 percent. Eurodollar futures volume averaged 1.5 million contracts per day, down 16 percent versus July 2009, while Eurodollar options volume averaged 657,000 contracts per day, up 8 percent.
CME Group equity index volume averaged 2.8 million contracts per day, up 13 percent from July 2009, reflecting the third consecutive month of positive year-over-year growth since May 2009. CME Group foreign exchange (FX) volume averaged 833,000 contracts per day, up 36 percent compared with the same period a year ago, reflecting average daily notional value of $104 billion.
CME Group energy volume averaged 1.5 million contracts per day, up 6 percent compared with July 2009. CME Group agricultural commodities and alternative investments volume averaged 859,000 contracts per day, up 15 percent compared with the prior July. CME Group metals volume averaged 300,000 contracts per day, up 54 percent compared with the same period last year.
Electronic volume averaged 9.0 million contracts per day, up 14 percent from the prior July, while privately negotiated volume increased 2 percent to 153,000 contracts per day. Average daily volume cleared through CME ClearPort was 459,000 contracts for July 2010, up 6 percent compared with July 2009. Open outcry volume averaged 1.2 million contracts per day in July, up 2 percent versus July 2009.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
(in thousands)
Jul 2010 Jul 2009
-------- --------
Trading Days 21 22
PRODUCT LINE Jul 2010 Jul 2009 Percent Change
-------- -------- --------------
Interest Rates 4,484 4,168 8%
Equity Index 2,850 2,532 13%
FX 833 612 36%
Energy (including CME
ClearPort) 1,504* 1,421 6%
Commodities and Alt.
Inv. 859 748 15%
Metals (including CME
ClearPort) 300 195 54%
--- --- ---
Total 10,829 9,676 12%
Jul 2010 Jul 2009 Percent Change
VENUE -------- -------- --------------
Open outcry 1,206 1,185 2%
CME Globex 9,012 7,908 14%
Privately negotiated 153 150 2%
CME ClearPort (OTC) 459 433 6%
*The PJM daily electricity swap futures contracts, which have an average rate per contract of approximately 10 cents, averaged 108,644 in July 2010. This accounted for approximately 7 percent of the total Energy volume in July 2010, up from 2 percent in June 2010.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Jul-10 Jun-10 May-10 Apr-10
Interest Rates 5,708 6,074 6,147 5,393
Equity Index 3,555 3,455 3,119 2,724
FX 1,035 1,035 1,008 892
Energy 1,718 1,798 1,737 1,645
Commodities/Alt.
Investments 843 855 773 827
Metals 322 308 315 296
--- --- --- ---
Total 13,180 13,525 13,098 11,778
VENUE Jul-10 Jun-10 May-10 Apr-10
Open outcry 1,473 1,538 1,540 1,349
Electronic 11,043 11,340 10,916 9,809
Privately negotiated 192 198 196 187
CME ClearPort (OTC) 472 448 445 432
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT LINE Jun-10 May-10 Apr-10 Mar-10
Interest Rates 0.481 0.484 0.492 0.503
Equity Index 0.713 0.713 0.712 0.713
FX 0.798 0.809 0.811 0.803
Energy 1.581 1.604 1.628 1.636
Commodities/Alt.
Investments 1.282 1.265 1.248 1.244
Metals 1.749 1.776 1.696 1.734
----- ----- ----- -----
Total 0.790 0.789 0.809 0.821
VENUE Jun-10 May-10 Apr-10 Mar-10
Exchange-Traded 0.732 0.730 0.746 0.754
CME ClearPort (OTC) 2.489 2.478 2.465 2.392
Average daily volume and rate per contract figures from 2008 have been revised due to standardizing NYMEX reporting conventions to follow CME's treatment of post-trade transactions such as exercises, assignments and deliveries.
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, HuRLO products and credit default swap clearing.
