CME Group Volume Averaged 13.5 Million Contracts Per Day In May 2011, Up 11 Percent From April 2011 - Agricultural Commodities Average Daily Volume Up 32 Percent Year Over Year - Metals Average Daily Volume Up 16 Percent Year Over Year

CME Group, the world's leading and most diverse derivatives marketplace, today announced May volume averaged 13.5 million contracts per day, up 11 percent from April 2011, but down 20 percent from the all-time record monthly average daily volume in May 2010.  Total volume for May was 283 million contracts, of which a record 85 percent was traded electronically.  May 2011 month-end open interest reached 97 million contracts, up 7 percent from the same period last year and up 4 percent from the same period last quarter.  

In May 2011, CME Group interest rate volume averaged 6.5 million contracts per day, up 13 percent compared with April 2011, but down 20 percent from the prior May.  Treasury futures volume averaged 3.3 million contracts per day, up 52 percent sequentially but down 9 percent compared with May 2010.  Treasury options volume averaged 262,000 contracts per day, down 17 percent from May 2010.  Eurodollar futures volume averaged 2.2 million contracts per day, down 24 percent versus May 2010, and Eurodollar options volume averaged 691,000 contracts per day, down 41 percent.

CME Group equity index volume averaged 2.7 million contracts per day, up 23 percent from April 2011, but down 35 percent from May 2010.  CME Group foreign exchange (FX) volume averaged 972,000 contracts per day, up 22 percent versus last month, but down 26 percent compared with the same period a year ago, reflecting average daily notional value of $135 billion.

CME Group energy volume averaged 1.8 million contracts per day, up 9 percent sequentially but down 9 percent compared with May 2010.  RBOB Gas averaged a record 161,000 contracts per day, surpassing the prior record of 130,000 contracts last month.  CME Group agricultural commodities volume averaged 967,000 contracts per day, up 32 percent compared with the prior May.  CME Group metals volume averaged 463,000 contracts per day, up 9 percent compared with April 2011 and up 16 percent compared with the same period last year.

Electronic volume averaged 11.5 million contracts per day in May 2011, up 13 percent sequentially, while privately negotiated volume decreased 18 percent from April 2011, to 194,000 contracts per day.  Average daily volume cleared through CME ClearPort was 440,000 contracts, relatively in line with the prior month, and down 13 percent compared with May 2010, and included a  record for Corn Calendar Swaps averaging 1,500 contracts per day during the month.  Open outcry volume averaged 1.4 million contracts per day, up 2 percent sequentially, and down 31 percent versus the prior May.