CHICAGO, Sept. 2, 2011 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, today
announced August volume averaged an all-time record 17.1 million
contracts per day, up 46 percent from August
2010, and up 35 percent sequentially. Total volume for
August was 393 million contracts, of which 84 percent was traded
electronically. August 2011 month-end open interest reached
100 million contracts, up 7 percent from the same period last
year.
"While customers rely on liquidity during all market conditions,
it becomes increasingly crucial during times of high market
volatility," said CME Group Executive Chairman Terry Duffy. "The market turbulence in
August reinforced the need for deep liquidity across time zones,
allowing for the decisive action necessary to manage risk in an
uncertain environment."
"Given CME Group's product diversity, we provide customers the
ability to manage risks across all major asset classes," said CME
Group Chief Executive Officer Craig
Donohue. "Reaching a record of more than 100 million
open contracts in August, including 46 million in interest rates
alone, our products deliver capital efficiencies plus the proven
safety and security of CME Clearing."
In August 2011, CME Group interest
rate volume averaged 8.0 million contracts per day, up 47 percent
compared with August 2010.
Treasury futures volume averaged 3.7 million contracts per
day, up 33 percent compared with same period a year ago.
Treasury options volume averaged 362,000 contracts per day,
down one percent from August 2010.
Ultra Treasury bond futures and options averaged a record
112,000 contracts per day in August, up 105 percent compared with
August 2010. Eurodollar futures
volume averaged 2.7 million contracts per day, up 71 percent versus
prior August, and Eurodollar options volume averaged 1.2 million
contracts per day, up 75 percent, and included a monthly record for
2-Year Eurodollar Mid-curve options, surpassing last month's record
by 16 percent.
CME Group equity index volume averaged 4.7 million contracts per
day, up 83 percent from August 2010,
and included record August average daily volume of 3.9 million
contracts for the E-mini S&P futures and options. CME
Group foreign exchange (FX) volume averaged 991,000 contracts per
day, up 21 percent compared with the same period a year ago,
reflecting average daily notional value of $137 billion.
CME Group energy volume averaged 1.8 million contracts per day,
up 8 percent compared with August
2010. CME Group agricultural commodities volume
averaged 1.0 million contracts per day, up 7 percent compared with
the prior August. CME Group metals volume averaged a record
521,000 contracts per day, more than doubling the average daily
volume from the same period last year, and up 38 percent
sequentially. The month of August included record average
daily volumes for Gold futures and options as well as Copper
futures.
Electronic volume averaged a record 14.4 million contracts per
day in August 2011, up 49 percent
from August 2010, while privately
negotiated volume increased 57 percent to a record 306,000
contracts per day. Average daily volume cleared through CME
ClearPort was 484,000 contracts in August
2011, down 2 percent compared with August 2010, however there was record volume in
FX and metals cleared during the month. Open outcry volume
averaged 1.9 million contracts per day, up 37 percent versus the
prior August.
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|
MONTHLY AVERAGE DAILY VOLUME
(ADV)
|
|
|
|
|
|
|
Total
Exchange ADV
( in
thousands)
|
|
|
|
|
Aug
2011
|
Aug
2010
|
|
|
Trading Days
|
23
|
22
|
|
|
|
|
|
|
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PRODUCT LINE
|
Aug
2011
|
Aug
2010
|
Percent
Change
|
|
Interest Rates
|
7,979
|
5,427
|
47%
|
|
Equity Index
|
4,726
|
2,584
|
83%
|
|
FX
|
991
|
818
|
21%
|
|
Energy (including
CME ClearPort)
|
1,848
|
1,704
|
8%
|
|
Agricultural
Commodities
|
1,030
|
963
|
7%
|
|
Metals (including
CME ClearPort)
|
522
|
226
|
131%
|
|
Total
|
17,095
|
11,722
|
46%
|
|
|
|
|
|
VENUE
|
Aug 2011
|
Aug 2010
|
Percent Change
|
|
Open outcry
|
1,884
|
1,380
|
37%
|
|
CME Globex
|
14,420
|
9,652
|
49%
|
|
Privately negotiated
|
306
|
196
|
57%
|
|
CME ClearPort (OTC)
|
484
|
495
|
-2%
|
|
|
|
|
|
|
|
|
|
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ROLLING THREE-MONTH
AVERAGES
Average Daily Volume
(In thousands)
|
|
|
3-Month
Period Ending
|
|
PRODUCT LINE
|
Aug-11
|
Jul-11
|
Jun-11
|
May-11
|
|
Interest Rates
|
7,095
|
6,572
|
6,449
|
6,299
|
|
Equity Index
|
3,745
|
3,051
|
2,842
|
2,852
|
|
FX
|
954
|
946
|
918
|
928
|
|
Energy
|
1,695
|
1,683
|
1,757
|
1,769
|
|
Agricultural
Commodities
|
1,074
|
1,054
|
1,159
|
1,117
|
|
Metals
|
411
|
388
|
403
|
416
|
|
Total
|
14,974
|
13,695
|
13,528
|
13,380
|
|
|
|
|
|
|
|
VENUE
|
Aug-11
|
Jul-11
|
Jun-11
|
May-11
|
|
Open outcry
|
1,573
|
1,391
|
1,393
|
1,386
|
|
Electronic
|
12,701
|
11,658
|
11,454
|
11,312
|
|
Privately
negotiated
|
275
|
236
|
242
|
222
|
|
CME ClearPort
(OTC)
|
426
|
409
|
438
|
460
|
|
|
|
|
|
|
|
|
Average
Rate Per Contract
(In dollars)
|
|
|
3-Month
Period Ending
|
|
PRODUCT LINE
|
Jul-11
|
Jun-11
|
May-11
|
Apr-11
|
|
Interest Rates
|
0.485
|
0.486
|
0.486
|
0.484
|
|
Equity Index
|
0.704
|
0.709
|
0.706
|
0.712
|
|
FX
|
0.850
|
0.868
|
0.845
|
0.840
|
|
Energy
|
1.611
|
1.595
|
1.574
|
1.585
|
|
Agricultural
Commodities
|
1.330
|
1.303
|
1.266
|
1.265
|
|
Metals
|
1.668
|
1.636
|
1.687
|
1.697
|
|
Total
|
0.796
|
0.807
|
0.804
|
0.807
|
|
|
|
|
|
|
|
VENUE
|
Jul-11
|
Jun-11
|
May-11
|
Apr-11
|
|
Exchange-Traded
|
0.736
|
0.745
|
0.741
|
0.741
|
|
CME ClearPort
(OTC)
|
2.739
|
2.665
|
2.582
|
2.574
|
|
|
|
|
|
|
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. Further information about CME Group (NASDAQ:
CME) and its products can be found at www.cmegroup.com.
CME-G
SOURCE CME Group