CME Group, the world's largest and most diverse derivatives exchange, today announced that August 2008 volume averaged 11.0 million contracts per day, assuming combined CME Group and NYMEX volumes for the entire month. On this basis, total monthly volume totaled 231 million contracts, 80 percent of which were traded electronically. While August typically sees lower trading activity compared with other months, in August 2007 CME Group recorded its highest monthly volume ever due to the onset of the subprime lending crisis and the ensuing impact on global financial markets. Compared with that heightened activity, August 2008 volume was down 32 percent. On a combined basis, CME Group year-to-date 2008 volume through August averaged 13.6 million contracts per day, up 9 percent from the same period last year.
CME Group commodities and alternative investments volume averaged 852,000 contracts per day, up 26 percent from August 2007. CME Group foreign exchange (FX) contracts volume averaged 659,000 contracts per day, up 3 percent, and represented average daily notional value traded of $90 billion, up 14 percent. CME Group E-mini equity index volume averaged 2.6 million contracts per day, down 28 percent compared with August 2007. CME Group interest rate volume averaged 5.1 million contracts per day, down 48 percent compared with the same period in 2007.
Total NYMEX volume averaged 1.7 million contracts for August 2008, up 20 percent compared with August 2007. Monthly NYMEX energy futures and options volume averaged 979,000 contracts per day, up 10 percent from August 2007. COMEX metals volume averaged 226,000 contracts per day for August 2008, up 61 percent. Average daily volume on NYMEX ClearPort was 453,000 contracts for August 2008, up 37 percent compared with August 2007. The remaining NYMEX volume of 63,000 trades per day consisted of other transactions which include position transfers and exchanges.
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.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV (Legacy CME, CBOT, and NYMEX combined)
(In thousands)
August 2008 August 2007 Percent Change
Total 11,020 16,292 -32%
CME Group ADV (Legacy CME and CBOT combined)
(In thousands)
PRODUCT LINE August 2008 August 2007 Percent Change
Interest Rates 5,056 9,753 -48%
E-minis 2,596 3,582 -28%
Equity Standard 137 211 -35%
FX 659 641 3%
Commodities and Alt. Inv. 852 676 26%
Total 9,300 14,864 -37%
VENUE August 2008 August 2007 Percent Change
Open Outcry 1,339 3,221 -58%
CME Globex 7,833 11,409 -31%
Privately Negotiated 128 234 -45%
NYMEX/COMEX ADV
(In thousands)
August August Percent NYMEX/COMEX
2008 2007 Change Standalone
Post-Close*
NYMEX floor 169 228 -26% 150
NYMEX electronic 810 666 22% 748
COMEX floor 34 31 7% 23
COMEX electronic 192 109 77% 166
NYMEX ClearPort 453 331 37% 563
Other 63 64 -2% 59
Total 1,720 1,429 20% 1,708
*Represents NYMEX/COMEX average daily volume from August 25, 2008 through
August 29, 2008.
ROLLING THREE-MONTH AVERAGES
CME Group (Legacy CME and CBOT combined)
Average Rate Per Contract (In dollars)
3-Month Period Ending
Jul-08 Jun-08 May-08 Apr-08
Interest Rates 0.518 0.522 0.527 0.521
E-minis 0.665 0.668 0.661 0.676
Equity Standard 1.455 1.453 1.473 1.484
FX 0.905 0.907 0.918 0.926
Commodities/Alt.
Investments 1.146 1.134 1.114 1.117
Total 0.647 0.648 0.644 0.643
Open Outcry 0.594 0.572 0.575 0.586
Electronic 0.624 0.629 0.622 0.617
Privately
Negotiated 2.464 2.427 2.354 2.332
Average Daily Volume (In thousands)
3-Month Period Ending
Aug-08 Jul-08 Jun-08 May-08
Interest Rates 5,922 6,438 6,467 6,702
E-minis 3,211 3,186 2,833 2,987
Equity Standard 179 177 161 172
FX 687 675 665 662
Commodities/Alt.
Investments 945 913 933 865
Total 10,945 11,388 11,060 11,387
Open Outcry 1,580 1,721 1,836 1,883
Electronic 9,202 9,494 9,054 9,308
Privately
Negotiated 162 173 170 195
NYMEX/COMEX
Average Rate Per Contract (In dollars, on a pro forma basis*)
3-Month Period Ending
Jul-08 Jun-08 May-08 Apr-08
NYMEX floor 1.63 1.61 1.59 1.58
NYMEX electronic 1.32 1.30 1.30 1.30
COMEX floor 1.63 1.71 1.70 1.71
COMEX electronic 1.73 1.71 1.68 1.66
NYMEX ClearPort 1.58 1.57 1.54 1.50
Other 1.85 1.85 1.88 1.94
Total Pro Forma Average Net Rate 1.50 1.48 1.47 1.47
Direct Transaction Cost 0.08 0.08 0.08 0.09
Total Pro Forma Average
Gross Rate 1.58 1.56 1.55 1.56
*Pro forma adjustment excludes the Globex payment to CME Group from the
NYMEX electronic, COMEX electronic and Direct Transaction Cost lines.
Average Rate Per Contract (As reported historically)
3-Month Period Ending
Jul-08 Jun-08 May-08 Apr-08
NYMEX floor 1.63 1.61 1.59 1.58
NYMEX electronic 1.04 1.03 1.03 1.03
COMEX floor 1.63 1.71 1.70 1.71
COMEX electronic 1.46 1.43 1.41 1.38
NYMEX ClearPort 1.58 1.57 1.54 1.50
Other 1.85 1.85 1.88 1.94
Total Average Net Rate 1.34 1.32 1.31 1.32
Direct Transaction Cost 0.24 0.24 0.24 0.24
Total Average Gross Rate 1.58 1.56 1.55 1.56
Average Daily Volume (In thousands)
3-Month Period Ending
Aug-08 Jul-08 Jun-08 May-08
NYMEX floor 208 232 238 244
NYMEX electronic 841 883 865 874
COMEX floor 35 37 38 41
COMEX electronic 194 190 172 191
NYMEX ClearPort 455 443 418 451
Other 72 84 85 82
Total 1,805 1,869 1,816 1,883
