CHICAGO, June 2, 2011 /PRNewswire/ -- 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.
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MONTHLY AVERAGE DAILY VOLUME
(ADV)
|
|
|
|
|
|
|
Total
Exchange ADV
( in
thousands)
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|
|
|
|
May
2011
|
May
2010
|
|
|
Trading Days
|
21
|
20
|
|
|
|
|
|
|
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PRODUCT LINE
|
May
2011
|
May
2010
|
Percent
Change
|
|
Interest Rates
|
6,494
|
8,105
|
-20%
|
|
Equity Index
|
2,735
|
4,229
|
-35%
|
|
FX
|
972
|
1,306
|
-26%
|
|
Energy (including
CME ClearPort)
|
1,826
|
2,000
|
-9%
|
|
Agricultural
Commodities
|
967
|
731
|
32%
|
|
Metals (including
CME ClearPort)
|
463
|
398
|
16%
|
|
Total
|
13,458
|
16,768
|
-20%
|
|
|
|
|
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VENUE
|
May
2011
|
May
2010
|
Percent
Change
|
|
Open outcry
|
1,369
|
1,974
|
-31%
|
|
CME Globex
|
11,455
|
14,041
|
-18%
|
|
Privately negotiated
|
194
|
246
|
-21%
|
|
CME ClearPort (OTC)
|
440
|
507
|
-13%
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|
|
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ROLLING THREE-MONTH
AVERAGES
Average Daily Volume
(In thousands)
|
|
|
3-Month
Period Ending
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PRODUCT LINE
|
May-11
|
Apr-11
|
Mar-11
|
Feb-11
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|
Interest Rates
|
6,299
|
6,560
|
6,424
|
5,851
|
|
Equity Index
|
2,852
|
2,800
|
2,906
|
2,407
|
|
FX
|
928
|
915
|
961
|
891
|
|
Energy
|
1,769
|
1,866
|
1,973
|
1,846
|
|
Agricultural
Commodities
|
1,117
|
1,228
|
1,154
|
1,057
|
|
Metals
|
416
|
380
|
376
|
342
|
|
Total
|
13,380
|
13,750
|
13,794
|
12,394
|
|
|
|
|
|
|
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VENUE
|
May-11
|
Apr-11
|
Mar-11
|
Feb-11
|
|
Open outcry
|
1,386
|
1,491
|
1,467
|
1,380
|
|
Electronic
|
11,312
|
11,523
|
11,605
|
10,356
|
|
Privately
negotiated
|
222
|
241
|
224
|
210
|
|
CME ClearPort
(OTC)
|
460
|
494
|
498
|
447
|
|
|
|
|
|
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Average
Rate Per Contract
(In dollars)
|
|
|
3-Month
Period Ending
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PRODUCT LINE
|
Apr-11
|
Mar-11
|
Feb-11
|
Jan-11
|
|
Interest Rates
|
0.484
|
0.481
|
0.485
|
0.491
|
|
Equity Index
|
0.712
|
0.705
|
0.711
|
0.707
|
|
FX
|
0.840
|
0.823
|
0.820
|
0.811
|
|
Energy
|
1.585
|
1.573
|
1.608
|
1.637
|
|
Agricultural
Commodities
|
1.265
|
1.271
|
1.257
|
1.223
|
|
Metals
|
1.697
|
1.732
|
1.706
|
1.716
|
|
Total
|
0.807
|
0.808
|
0.820
|
0.816
|
|
|
|
|
|
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VENUE
|
Apr-11
|
Mar-11
|
Feb-11
|
Jan-11
|
|
Exchange-Traded
|
0.741
|
0.740
|
0.748
|
0.748
|
|
CME ClearPort
(OTC)
|
2.574
|
2.630
|
2.735
|
2.826
|
|
|
|
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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.
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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
world's leading central counterparty clearing providers, which
offers 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.
CME Group is a trademark of CME Group Inc. The Globe Logo, CME,
Globex and Chicago Mercantile Exchange are trademarks of Chicago
Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the
Board of Trade of the City of
Chicago, Inc. NYMEX, New York Mercantile Exchange and
ClearPort are registered 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.
CME-G
SOURCE CME Group