CME Group, the world's largest and most diverse derivatives marketplace, today announced that October volume averaged 10.8 million contracts per day, down 13 percent from October 2008, but up 2 percent from September 2009. Total volume was 237 million contracts for October, of which 82 percent was traded electronically, and represented the highest first month of a quarter volume to date in 2009. Electronic volume averaged 8.9 million contracts per day, down 11 percent from the prior October, but up 3 percent compared with September 2009. Average daily volume cleared through CME ClearPort was 559,000 contracts for October 2009, up 16 percent compared with October 2008, and up 14 percent sequentially. CME Group year-to-date volume through October averaged 10.3 million contracts per day.
In October, CME Group interest rate volume demonstrated the best year-over-year growth so far in 2009, averaging 4.5 million contracts per day, down only 2 percent compared with October 2008, but up 2 percent compared with the prior month. Eurodollar futures volume averaged 1.8 million contracts per day, up 4 percent versus October 2008, and Treasury futures volume averaged 1.8 million contracts per day, up 12 percent compared with the same period a year ago. CME Group equity index volume averaged 2.8 million contracts per day, down 43 percent compared with October 2008. CME Group foreign exchange (FX) volume experienced its highest non-roll month to date in 2009, up 33 percent compared with the prior October to average 747,000 contracts per day, reflecting average daily notional value of approximately $99 billion, a record for a non-roll month.
CME Group energy volume, which includes volume cleared through CME ClearPort, averaged 1.7 million contracts per day for October 2009, up 22 percent compared with the same period last year, and up 10 percent compared with September 2009. CME Group commodities and alternative investments volume averaged 785,000 contracts per day, up 2 percent from October 2008, and up 23 percent sequentially. CME Group metals volume, which includes volume cleared through CME ClearPort, averaged 239,000 contracts per day for October 2009, up 16 percent compared with the prior October, and up 6 percent from September 2009.
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, Swapstream products, and HuRLO products.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Oct 2009 Oct 2008
-------- --------
Trading Days 22 23
PRODUCT LINE Oct 2009 Oct 2008 Percent Change
-------- -------- --------------
Interest Rates 4,472 4,566 -2%
Equity Index 2,824 4,930 -43%
FX 747 561 33%
Energy (including CME ClearPort) 1,726* 1,413 22%
Commodities and Alt. Inv. 785 772 2%
Metals (including CME ClearPort) 239 206 16%
--- --- ---
Total 10,793 12,448 -13%
Oct 2009 Oct 2008 Percent Change
-------- -------- --------------
VENUE
Open outcry 1,186 1,743 -32%
CME Globex 8,873 10,023 -11%
Privately negotiated 175 199 -12%
CME ClearPort (OTC) 559 484 16%
*The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, averaged 128,685 contracts
per day in October 2009. This accounted for approximately 7 percent of
the total Energy volume in October 2009.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Oct-09 Sep-09 Aug-09 Jul-09
Interest Rates 4,527 4,422 4,670 4,664
Equity Index 2,756 2,656 2,639 2,812
FX 707 660 644 622
Energy 1,588 1,484 1,450 1,430
Commodities/Alt. Investments 721 708 799 799
Metals 216 201 193 201
--- --- --- ---
Total 10,515 10,132 10,395 10,527
Oct-09 Sep-09 Aug-09 Jul-09
VENUE
Open outcry 1,261 1,264 1,382 1,444
Electronic 8,599 8,267 8,389 8,446
Privately negotiated 158 147 173 177
CME ClearPort (OTC) 497 453 451 460
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT LINE Sep-09 Aug-09 Jul-09 Jun-09
Interest Rates 0.505 0.511 0.518 0.525
Equity Index 0.722 0.727 0.720 0.712
FX 0.853 0.876 0.874 0.901
Energy 1.694 1.677 1.673 1.653
Commodities/Alt. Investments 1.199 1.175 1.129 1.130
Metals 1.849 1.823 1.803 1.808
----- ----- ----- -----
Total 0.834 0.826 0.821 0.823
VENUE Sep-09 Aug-09 Jul-09 Jun-09
Exchange-Traded 0.765 0.764 0.759 0.765
CME ClearPort (OTC) 2.304 2.195 2.163 2.031
As the world's largest and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex® electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort®. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed and over-the-counter derivatives markets.
The Globe logo, CME, Chicago Mercantile Exchange, CME Group, Globex, E-mini and CME ClearPort are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago. NYMEX and New York Mercantile Exchange are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners. Further information about CME Group (NASDAQ: CME) and its products can be found at www.cmegroup.com.
