CHICAGO, Oct. 4, 2011 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, today
announced September volume averaged 14.0 million contracts per day,
up 16 percent from September 2010.
Total volume for September was 294 million contracts, of
which 85 percent was traded electronically.
In September 2011, CME Group
interest rate volume averaged 5.3 million contracts per day, up 3
percent compared with September 2010.
Treasury futures volume averaged 2.4 million contracts per
day, up 6 percent compared with same period a year ago.
Treasury options volume averaged 287,000 contracts per day,
down 27 percent from September 2010.
Eurodollar futures volume averaged 1.9 million contracts per
day, up 2 percent versus the prior September, and Eurodollar
options volume averaged 748,000 contracts per day, up 22
percent.
CME Group equity index volume averaged 4.4 million contracts per
day, up 46 percent from September
2010. CME Group foreign exchange (FX) volume averaged
1.1 million contracts per day, up 14 percent compared with the same
period a year ago, reflecting average daily notional value of
$143 billion, up 16 percent
year-over-year. CME Group September FX monthly average daily
volume included records across ten different currency pairs in both
major and emerging market currencies.
CME Group energy volume averaged 1.7 million contracts per day,
down 4 percent compared with September
2010. CME Group agricultural commodities volume
averaged 1.1 million contracts per day, up 11 percent compared with
the prior September. CME Group metals volume averaged 453,000
contracts per day, up 84 percent compared with the same period last
year.
Electronic volume averaged 11.9 million contracts per day in
September 2011, up 19 percent from
September 2010, while privately
negotiated volume increased 22 percent to 239,000 contracts per
day. Average daily volume cleared through CME ClearPort was
433,000 contracts in September 2011 –
including record volume in FX and metals – but down 4 percent
overall compared with September 2010.
Open outcry volume averaged 1.4 million contracts per day, up
2 percent versus the prior September.
During the third quarter, CME Group interest rate volume
averaged 6.5 million contracts per day, up 30 percent compared with
third-quarter 2010. Treasury futures volume averaged 2.9
million contracts per day, up 24 percent compared with the same
period a year ago. Treasury options volume averaged 331,000
contracts per day, running even with the same period last year.
Eurodollar futures volume averaged 2.3 million contracts per
day, up 40 percent versus third-quarter 2010, and Eurodollar
options volume averaged 908,000 contracts per day, up 41
percent.
CME Group equity index volume averaged a record 4.0 million
contracts per day, up 44 percent from third-quarter 2010, with
record E-mini S&P 500 volume of 3.3 million contracts.
CME Group FX volume averaged 988,000 contracts per day, up 14
percent compared with the same period a year ago, reflecting
average daily notional value of $135
billion, up 23 percent year-over-year.
CME Group energy volume averaged 1.7 million contracts per day,
up 1 percent compared with third-quarter 2010. CME Group
agricultural commodities volume averaged 1.0 million contracts per
day, up 10 percent compared with the prior third quarter. CME
Group metals volume averaged a record 454,000 contracts per day, up
77 percent compared with the same period last year.
Electronic volume averaged 12.5 million contracts per day in
third-quarter 2011, up 30 percent from third-quarter 2010, while
privately negotiated volume increased 42 percent to 257,000
contracts per day. Average daily volume cleared through CME
ClearPort was 426,000 contracts, down 9 percent compared with
third-quarter 2010. Open outcry volume averaged 1.6 million
contracts per day, up 17 percent versus the same period in
2010.
|
|
MONTHLY AVERAGE DAILY VOLUME
(ADV)
|
|
|
|
|
|
|
Total
Exchange ADV
( in
thousands)
|
|
|
|
|
Sep
2011
|
Sep
2010
|
|
|
Trading Days
|
21
|
21
|
|
|
|
|
|
|
|
PRODUCT LINE
|
Sep
2011
|
Sep
2010
|
Percent
Change
|
|
Interest Rates
|
5,296
|
5,130
|
3%
|
|
Equity Index
|
4,392
|
3,004
|
46%
|
|
FX
|
1,083
|
951
|
14%
|
|
Energy (including
CME ClearPort)
|
1,688
|
1,761
|
-4%
|
|
Agricultural
Commodities
|
1,107
|
1,000
|
11%
|
|
Metals (including
CME ClearPort)
|
453
|
246
|
84%
|
|
Total
|
14,018
|
12,092
|
16%
|
|
|
|
|
|
|
|
|
|
|
|
VENUE
|
Sep
2011
|
Sep
2010
|
Percent
Change
|
|
Open outcry
|
1,413
|
1,392
|
2%
|
|
CME Globex
|
11,932
|
10,054
|
19%
|
|
Privately negotiated
|
239
|
195
|
22%
|
|
CME ClearPort (OTC)
|
433
|
450
|
-4%
|
|
|
|
|
|
|
|
|
|
QUARTERLY AVERAGE DAILY VOLUME
(ADV)
|
|
|
|
|
|
|
Total
Exchange ADV
( in
thousands)
|
|
|
|
|
Q3
2011
|
Q3
2010
|
|
|
Trading Days
|
64
|
64
|
|
|
|
|
|
|
|
PRODUCT LINE
|
Q3
2011
|
Q3
2010
|
Percent
Change
|
|
Interest Rates
|
6,518
|
5,020
|
30%
|
|
Equity Index
|
4,040
|
2,809
|
44%
|
|
FX
|
988
|
866
|
14%
|
|
Energy (including
CME ClearPort)
|
1,670
|
1,657
|
1%
|
|
Agricultural
Commodities
|
1,032
|
941
|
10%
|
|
Metals (including
CME ClearPort)
|
454
|
257
|
77%
|
|
Total
|
14,702
|
11,550
|
27%
|
|
|
|
|
|
|
|
|
|
|
|
VENUE
|
Q3
2011
|
Q3
2010
|
Percent
Change
|
|
Open outcry
|
1,557
|
1,327
|
17%
|
|
CME Globex
|
12,463
|
9,574
|
30%
|
|
Privately negotiated
|
257
|
181
|
42%
|
|
CME ClearPort (OTC)
|
426
|
468
|
-9%
|
|
|
|
|
|
|
|
ROLLING THREE-MONTH AVERAGES
Average Daily Volume
(In thousands)
|
|
|
3-Month
Period Ending
|
|
PRODUCT LINE
|
Sep-11
|
Aug-11
|
Jul-11
|
Jun-11
|
|
Interest Rates
|
6,518
|
7,095
|
6,572
|
6,449
|
|
Equity Index
|
4,040
|
3,745
|
3,051
|
2,842
|
|
FX
|
988
|
954
|
946
|
918
|
|
Energy
|
1,670
|
1,695
|
1,683
|
1,757
|
|
Agricultural
Commodities
|
1,032
|
1,074
|
1,054
|
1,159
|
|
Metals
|
454
|
411
|
388
|
403
|
|
Total
|
14,702
|
14,974
|
13,695
|
13,528
|
|
|
|
|
|
|
|
VENUE
|
Sep-11
|
Aug-11
|
Jul-11
|
Jun-11
|
|
Open outcry
|
1,557
|
1,573
|
1,391
|
1,393
|
|
Electronic
|
12,463
|
12,701
|
11,658
|
11,454
|
|
Privately
negotiated
|
257
|
275
|
236
|
242
|
|
CME ClearPort
(OTC)
|
426
|
426
|
409
|
438
|
|
|
|
|
|
|
|
|
Average
Rate Per Contract
(In dollars)
|
|
|
3-Month
Period Ending
|
|
PRODUCT LINE
|
Aug-11
|
Jul-11
|
Jun-11
|
May-11
|
|
Interest Rates
|
0.480
|
0.485
|
0.486
|
0.486
|
|
Equity Index
|
0.708
|
0.704
|
0.709
|
0.706
|
|
FX
|
0.829
|
0.850
|
0.868
|
0.845
|
|
Energy
|
1.593
|
1.611
|
1.595
|
1.574
|
|
Agricultural
Commodities
|
1.305
|
1.330
|
1.303
|
1.266
|
|
Metals
|
1.620
|
1.668
|
1.636
|
1.687
|
|
Total
|
0.776
|
0.796
|
0.807
|
0.804
|
|
|
|
|
|
|
|
VENUE
|
Aug-11
|
Jul-11
|
Jun-11
|
May-11
|
|
Exchange-Traded
|
0.721
|
0.736
|
0.745
|
0.741
|
|
CME ClearPort
(OTC)
|
2.651
|
2.739
|
2.665
|
2.582
|
|
|
|
|
|
|
|
|
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.
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