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CME Group, the world's largest and most diverse derivatives exchange, today announced that April volume averaged 9.2 million contracts per day, down 23 percent from April 2008. Total volume was 193 million contracts for April, of which 80 percent was traded electronically. Electronic volume averaged 7.3 million contracts per day, down 20 percent from the prior April.
CME Group E-mini equity index volume averaged 2.9 million contracts per day, up 18 percent compared with April 2008. Equity standard volume averaged 102,000 contracts per day, down 20 percent compared with the same period last year. CME Group commodities and alternative investments volume averaged 801,000 contracts per day, down 15 percent from April 2008, but up 28 percent sequentially. CME Group foreign exchange (FX) contracts volume averaged 451,000 contracts per day, with notional value of approximately $52 billion, down 26 percent. CME Group interest rate volume averaged 3.3 million contracts per day, down 45 percent compared with the same period in 2008.
Total NYMEX volume averaged 1.6 million contracts for April 2009, down 9 percent compared with the same period last year. Monthly NYMEX energy futures and options volume averaged 826,000 contracts per day, down 18 percent from April 2008. COMEX metals volume averaged 152,000 contracts per day for April 2009, down 26 percent. Average daily volume cleared through CME ClearPort was 533,000 contracts for April 2009, up 24 percent compared with April 2008, as users continue to seek the safety and soundness of CME Group's regulated, centrally cleared markets. The remaining NYMEX volume of 47,000 trades per day consisted of other transactions, which include position transfers and exchanges.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
April 2009 April 2008 Percent Change
---------- ---------- --------------
Total 9,175 11,926 -23%
Trading Days 21 22
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.
CME Group ADV
(CME and CBOT combined, in thousands)
PRODUCT LINE April 2009 April 2008 Percent Change
---------- ---------- --------------
Interest Rates 3,321 6,038 -45%
E-minis 2,943 2,495 18%
Equity Standard 102 128 -20%
FX 451 613 -26%
Commodities and
Alt. Inv. 801 937 -15%
--- --- --
Total 7,617 10,210 -25%
April 2009 April 2008 Percent Change
VENUE ---------- ---------- --------------
Open outcry 1,008 1,843 -45%
CME Globex 6,506 8,220 -21%
Privately negotiated 104 147 -29%
NYMEX/COMEX ADV
(in thousands)
April 2009 April 2008 Percent Change
---------- ---------- --------------
NYMEX floor 117 238 -51%
NYMEX electronic 709 773 -8%
COMEX floor 23 38 -38%
COMEX electronic 129 169 -24%
CME ClearPort 533 429 24%
Other 47 69 -32%
-- -- --
Total 1,558 1,716 -9%
The PJM daily electricity swap futures contracts, which have an average rate per contract of approximately 10 cents, accounted for approximately 24 percent of the total volume cleared through CME ClearPort in April 2009.
ROLLING THREE-MONTH AVERAGES
Total Exchange Pro Forma RPC (Legacy CME, CBOT, and NYMEX combined)
Mar-09 Feb-09 Jan-09 Dec-08
Total Average RPC 0.833 0.860 0.870 0.858
CME Group (Legacy CME and CBOT combined)
Average Rate Per Contract (In dollars)
3-Month Period Ending
Mar-09 Feb-09 Jan-09 Dec-08
Interest Rates 0.532 0.553 0.567 0.569
E-minis 0.677 0.685 0.688 0.706
Equity Standard 1.543 1.581 1.588 1.582
FX 0.918 0.947 0.928 0.894
Commodities/Alt.
Investments 1.108 1.114 1.150 1.154
----- ----- ----- -----
Total 0.677 0.696 0.706 0.713
Open outcry 0.607 0.648 0.669 0.663
Electronic 0.659 0.672 0.680 0.691
Privately negotiated 2.460 2.516 2.579 2.558
Average Daily Volume (In thousands)
3-Month Period Ending
Apr-09 Mar-09 Feb-09 Jan-09
Interest Rates 3,752 3,843 3,452 3,325
E-minis 3,396 3,378 3,014 3,157
Equity Standard 152 159 147 153
FX 503 507 457 444
Commodities/Alt.
Investments 734 685 669 648
--- --- --- ---
Total 8,538 8,572 7,738 7,727
Open outcry 1,133 1,188 1,135 1,145
Electronic 7,284 7,255 6,480 6,459
Privately negotiated 120 130 123 123
NYMEX/COMEX
Average Rate Per Contract (In dollars, on a pro forma basis*)
3-Month Period Ending
Mar-09 Feb-09 Jan-09 Dec-08
NYMEX floor 1.38 1.46 1.54 1.60
NYMEX electronic 1.35 1.40 1.38 1.31
COMEX floor 1.78 1.81 1.79 1.80
COMEX electronic 1.80 1.80 1.78 1.78
CME ClearPort 1.75 1.77 1.94 2.10
Other 2.46 2.33 2.21 2.04
---- ---- ---- ----
Total Pro Forma Average
Gross Rate 1.57 1.60 1.66 1.67
Total Pro Forma Average
Net Rate 1.47 1.51 1.55 1.57
*Pro forma adjustment excludes the Globex payment to CME Group from the
NYMEX electronic, COMEX electronic and Direct Transaction Cost lines.
Average RPC by venue are gross figures - NYMEX historically reported
average net RPC by venue.
Average Daily Volume (In thousands)
3-Month Period Ending
Apr-09 Mar-09 Feb-09 Jan-09
NYMEX floor 126 135 140 147
NYMEX electronic 766 798 759 705
COMEX floor 27 30 26 28
COMEX electronic 156 170 146 147
CME ClearPort 605 629 584 513
Other 54 54 58 72
-- -- -- --
Total 1,734 1,816 1,713 1,612
