CHICAGO, Dec. 2, 2010 /PRNewswire-FirstCall/ -- CME Group,
the world's leading and most diverse derivatives marketplace, today
announced that November volume averaged 14.2 million contracts per
day, up 31 percent from November
2009, and up 24 percent compared with October 2010. November represents the
highest monthly average daily volume since September 2008, outside of the 16.8 million
contracts averaged in May 2010.
Total volume for November was 297 million contracts, of which
83 percent was traded electronically.
In November 2010, CME Group
interest rate volume averaged 7.0 million contracts per day, up 46
percent compared with the prior November, and up 48 percent
sequentially. Treasury futures volume averaged 3.0 million
contracts per day, up 37 percent compared with the same period in
2009, and Treasury options volume averaged 444,000 contracts per
day, up 106 percent. Eurodollar futures volume averaged 2.6
million contracts per day, up 61 percent versus November 2009, and Eurodollar options volume
averaged 838,000 contracts per day, up 24 percent.
CME Group equity index volume averaged 2.8 million contracts per
day, up 15 percent from November
2009, and up 7 percent sequentially. CME Group foreign
exchange (FX) volume averaged 964,000 contracts per day, up 23
percent compared with the same period a year ago, reflecting
average daily notional value of $131
billion.
CME Group energy volume averaged 1.6 million contracts per day,
up 6 percent compared with November
2009. CME Group commodities volume averaged a record
1.3 million contracts per day, up 47 percent compared with the
prior November, and up 13 percent from October 2010. CME Group metals volume
averaged a record 500,000 contracts per day, up 34 percent compared
with the same period last year, and up 42 percent sequentially.
Electronic volume averaged 11.8 million contracts per day, up 33
percent from the prior November, while privately negotiated volume
increased 51 percent to 263,000 contracts per day. Average daily
volume cleared through CME ClearPort was 403,000 contracts for
November 2010, down 5 percent
compared with November 2009.
Open outcry volume averaged 1.7 million contracts per day in
November, up 25 percent versus November
2009.
|
|
MONTHLY AVERAGE DAILY VOLUME
(ADV)
|
|
|
|
|
|
|
Total
Exchange ADV
( in
thousands)
|
|
|
|
|
Nov
2010
|
Nov
2009
|
|
|
Trading Days
|
21
|
20
|
|
|
|
|
|
|
|
PRODUCT LINE
|
Nov
2010
|
Nov
2009
|
Percent
Change
|
|
Interest Rates
|
6,971
|
4,786
|
46%
|
|
Equity Index
|
2,849
|
2,479
|
15%
|
|
FX
|
964
|
782
|
23%
|
|
Energy (including
CME ClearPort)
|
1,606*
|
1,514
|
6%
|
|
Commodities
|
1,263
|
862
|
47%
|
|
Metals (including
CME ClearPort)
|
500
|
372
|
34%
|
|
Total
|
14,152
|
10,795
|
31%
|
|
|
|
|
|
|
VENUE
|
Nov
2010
|
Nov
2009
|
Percent
Change
|
|
Open outcry
|
1,717
|
1,372
|
25%
|
|
CME Globex
|
11,769
|
8,822
|
33%
|
|
Privately negotiated
|
263
|
174
|
51%
|
|
CME ClearPort (OTC)
|
403
|
427
|
-5%
|
|
|
|
|
|
|
|
*The PJM daily electricity swap
futures contracts, which have an average rate per contract of
approximately 10 cents, averaged 22,155 in November 2010. This
accounted for approximately 1 percent of the total Energy volume in
November 2010, down from 3 percent in October 2010.
|
|
|
ROLLING THREE-MONTH
AVERAGES
Average Daily Volume
(In thousands)
|
|
|
3-Month
Period Ending
|
|
PRODUCT LINE
|
Nov-10
|
Oct-10
|
Sep-10
|
Aug-10
|
|
Interest Rates
|
5,608
|
5,098
|
5,020
|
4,875
|
|
Equity Index
|
2,837
|
2,746
|
2,809
|
3,019
|
|
FX
|
935
|
885
|
866
|
878
|
|
Energy
|
1,693
|
1,725
|
1,657
|
1,626
|
|
Commodities
|
1,125
|
1,025
|
941
|
918
|
|
Metals
|
365
|
273
|
257
|
266
|
|
Total
|
12,563
|
11,752
|
11,550
|
11,583
|
|
|
|
|
|
|
|
VENUE
|
Nov-10
|
Oct-10
|
Sep-10
|
Aug-10
|
|
Open outcry
|
1,484
|
1,372
|
1,327
|
1,288
|
|
Electronic
|
10,422
|
9,715
|
9,574
|
9,650
|
|
Privately
negotiated
|
222
|
200
|
181
|
177
|
|
CME ClearPort
(OTC)
|
434
|
465
|
468
|
469
|
|
|
|
|
|
|
|
|
Average
Rate Per Contract
(In dollars)
|
|
|
3-Month
Period Ending
|
|
PRODUCT LINE
|
Oct-10
|
Sep-10
|
Aug-10
|
Jul-10
|
|
Interest Rates
|
0.497
|
0.495
|
0.493
|
0.486
|
|
Equity Index
|
0.696
|
0.708
|
0.709
|
0.715
|
|
FX
|
0.793
|
0.795
|
0.791
|
0.790
|
|
Energy
|
1.558
|
1.540
|
1.542
|
1.553
|
|
Commodities
|
1.242
|
1.256
|
1.287
|
1.294
|
|
Metals
|
1.750
|
1.791
|
1.743
|
1.775
|
|
Total
|
0.816
|
0.810
|
0.811
|
0.794
|
|
|
|
|
|
|
|
VENUE
|
Oct-10
|
Sep-10
|
Aug-10
|
July-10
|
|
Exchange-Traded
|
0.749
|
0.747
|
0.747
|
0.737
|
|
CME ClearPort
(OTC)
|
2.439
|
2.292
|
2.317
|
2.332
|
|
|
|
|
|
|
|
|
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.
As the world's leading 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.
CME-G
SOURCE CME Group