CME Group, the world's leading and most diverse derivatives marketplace, today announced that April volume averaged 11.9 million contracts per day, up 31 percent from April 2009, and represented the highest year-over-year growth since January 2008. Total volume was 263 million contracts for April, of which 84 percent was traded electronically.
In April 2010, CME Group interest rate volume averaged 5.6 million contracts per day, up 69 percent compared with the prior April, and represented the highest year-over-year growth for the past several years. Treasury futures volume averaged 2.0 million contracts per day, up 82 percent compared with the same period in 2009, and Treasury options volume averaged 265,000 contracts per day, up 16 percent. Eurodollar futures volume averaged 2.4 million contracts per day, up 68 percent versus April 2009, while Eurodollar options volume averaged 841,000 contracts per day, up 64 percent.
CME Group equity index volume averaged 2.6 million contracts per day, down 15 percent from April 2009. CME Group foreign exchange (FX) volume averaged 842,000 contracts per day, up 87 percent compared with the same period a year ago, reflecting average daily notional value of $110 billion. On April 29, FX volume hit a new record with 1,476,662 contracts traded, reflecting notional value of $193 billion.
CME Group energy volume averaged a record 1.7 million contracts per day, up 33 percent compared with April 2009, driven primarily by all time record volume for WTI and refined products. Record WTI futures and options volume averaged 960,000 contracts per day, up 56 percent, while refined products averaged a record 267,000 contracts in April, up 50 percent versus April 2009. CME Group commodities and alternative investments volume averaged 894,000 contracts per day, up 12 percent from the prior April. CME Group metals volume averaged 260,000 contracts per day, up 58 percent compared with the same period last year.
Open outcry volume averaged 1.4 million contracts in April, up 24 percent versus April 2009. Electronic volume averaged 10.0 million contracts per day, up 36 percent from the prior April, while privately negotiated volume increased 24 percent to 172,000 contracts per day. Average daily volume cleared through CME ClearPort was 388,000 contracts for April 2010, down 20 percent compared with April 2009. The rolling three-month CME ClearPort rate per contract through March was up 28 percent, even though the rolling three-month CME ClearPort average daily clearing volume was down 19 percent in the same period due to a product mix shift and the wide variance in rate per contract for individual CME ClearPort products.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
( in thousands)
Apr 2010 Apr 2009
-------- --------
Trading Days 22 21
PRODUCT LINE Apr 2010 Apr 2009 Percent Change
-------- -------- --------------
Interest Rates 5,605 3,321 69%
Equity Index 2,590 3,045 -15%
FX 842 451 87%
Energy (including CME
ClearPort) 1,748* 1,317 33%
Commodities and Alt. Inv. 894 801 12%
Metals (including CME
ClearPort) 260 164 58%
--- --- ---
Total 11,939 9,099 31%
VENUE Apr 2010 Apr 2009 Percent Change
-------- -------- --------------
Open outcry 1,409 1,134 24%
CME Globex 9,970 7,343 36%
Privately negotiated 172 138 24%
CME ClearPort (OTC) 388 484 -20%
*The PJM daily electricity swap futures contracts, which have an
average rate per contract of approximately 10 cents, averaged 34,150
in April 2010. This accounted for approximately 2 percent of the
total Energy volume in April 2010, down from 3 percent in March
2010.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Apr-10 Mar-10 Feb-10 Jan-10
Interest Rates 5,393 5,120 4,728 4,453
Equity Index 2,724 2,815 2,662 2,510
FX 892 887 824 777
Energy 1,645 1,609 1,592 1,531
Commodities/Alt.
Investments 827 786 758 744
Metals 296 327 319 331
--- --- --- ---
Total 11,778 11,544 10,884 10,346
VENUE Apr-10 Mar-10 Feb-10 Jan-10
Open outcry 1,349 1,318 1,245 1,252
Electronic 9,809 9,562 8,996 8,478
Privately negotiated 187 190 185 171
CME ClearPort (OTC) 432 474 459 446
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT LINE Mar-10 Feb-10 Jan-10 Dec-09
Interest Rates 0.503 0.511 0.511 0.509
Equity Index 0.713 0.726 0.735 0.733
FX 0.803 0.806 0.817 0.816
Energy 1.636 1.640 1.637 1.606
Commodities/Alt.
Investments 1.244 1.255 1.267 1.278
Metals 1.734 1.703 1.851 1.872
----- ----- ----- -----
Total 0.821 0.838 0.852 0.849
VENUE Mar-10 Feb-10 Jan-10 Dec-09
Exchange-Traded 0.754 0.770 0.784 0.783
CME ClearPort (OTC) 2.392 2.373 2.366 2.236
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.
