CHICAGO, Dec. 2, 2011 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, today
announced November volume averaged 13.2 million contracts per day,
up 6 percent from October 2011, but
down 7 percent from November 2010. Average daily volume for
November 2010, boosted by the
completion of QE2, came in at 14.2 million contracts per day.
November 2011 average daily volume
was higher than 4 other months during 2011, and year-to-date volume
is averaging 13.8 million contracts per day, up 12 percent from the
same time period in 2010. Total volume for November was 276
million contracts, of which 83 percent was traded
electronically.
In November 2011, CME Group
interest rate volume averaged 5.8 million contracts per day, up 22
percent from October 2011, but down
16 percent compared with November 2010. Treasury futures
volume averaged 2.8 million contracts per day, up 27 percent
sequentially, but down 5 percent compared with same period a year
ago. Treasury options volume averaged 304,000 contracts per
day, up 5 percent sequentially, but down 31 percent from November
2010. Eurodollar futures volume averaged 1.9 million
contracts per day, up 15 percent from October 2011, but down 29 percent compared with
the prior November. Eurodollar options volume averaged
824,000 contracts per day, up 31 percent sequentially, but down 2
percent from November 2010. Additionally, the 3-Year
Eurodollar Midcurve option contract averaged a monthly record of
145,000 contracts per day in November.
CME Group equity index volume averaged 3.2 million contracts per
day, up 12 percent from November 2010. CME Group foreign
exchange (FX) volume averaged 811,000 contracts per day, down 16
percent from the prior November, reflecting average daily notional
value of $106 billion.
CME Group energy volume averaged 1.8 million contracts per day,
up 13 percent compared with November
2010. CME Group agricultural commodities volume
averaged 1.1 million contracts per day, up 3 percent sequentially,
but down 12 percent compared with the prior November. CME
Group metals volume averaged 373,000 contracts per day, up 23
percent sequentially, but down 25 percent compared with the same
period last year.
Electronic volume averaged 11.0 million contracts per day in
November 2011, up 4 percent
sequentially, but down 7 percent from November 2010, while privately negotiated volume
decreased 15 percent, to 224,000 contracts per day, from the prior
November. Average daily volume cleared through CME ClearPort
was 549,000 contracts in November
2011, up 36 percent compared with November 2010. Open
outcry volume averaged 1.4 million contracts per day, down 17
percent versus the prior November.
MONTHLY
AVERAGE DAILY VOLUME (ADV)
|
|
|
|
Total
Exchange ADV
(in
thousands)
|
|
|
Nov
2011
|
Nov
2010
|
|
Trading
Days
|
21
|
21
|
|
|
|
|
|
PRODUCT
LINE
|
Nov
2011
|
Nov
2010
|
Percent
Change
|
Interest
Rates
|
5,850
|
6,971
|
-16%
|
Equity
Index
|
3,190
|
2,849
|
12%
|
FX
|
811
|
964
|
-16%
|
Energy
(including CME ClearPort)
|
1,821
|
1,606
|
13%
|
Agricultural Commodities
|
1,112
|
1,263
|
-12%
|
Metals
(including CME ClearPort)
|
373
|
500
|
-25%
|
Total
|
13,156
|
14,152
|
-7%
|
|
|
|
|
VENUE
|
Nov
2011
|
Nov
2010
|
Percent
Change
|
Open
outcry
|
1,422
|
1,717
|
-17%
|
CME
Globex
|
10,961
|
11,769
|
-7%
|
Privately
negotiated
|
224
|
263
|
-15%
|
CME
ClearPort (OTC)
|
549
|
403
|
36%
|
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
|
|
|
|
3-Month
Period Ending
|
PRODUCT
LINE
|
Nov-11
|
Oct-11
|
Sep-11
|
Aug-11
|
Interest
Rates
|
5,315
|
6,085
|
6,518
|
7,095
|
Equity
Index
|
3,673
|
4,202
|
4,040
|
3,745
|
FX
|
940
|
1,000
|
988
|
954
|
Energy
|
1,795
|
1,805
|
1,670
|
1,695
|
Agricultural Commodities
|
1,099
|
1,070
|
1,032
|
1,074
|
Metals
|
376
|
429
|
454
|
411
|
Total
|
13,199
|
14,591
|
14,702
|
14,974
|
|
|
|
|
|
VENUE
|
Nov-11
|
Oct-11
|
Sep-11
|
Aug-11
|
Open
outcry
|
1,346
|
1,512
|
1,557
|
1,573
|
Electronic
|
11,136
|
12,354
|
12,463
|
12,701
|
Privately
negotiated
|
225
|
254
|
257
|
275
|
CME
ClearPort (OTC)
|
492
|
470
|
426
|
426
|
Average Rate Per Contract (In dollars)
|
|
|
|
3-Month
Period Ending
|
PRODUCT
LINE
|
Oct-11
|
Sep-11
|
Aug-11
|
Jul-11
|
Interest
Rates
|
0.473
|
0.479
|
0.480
|
0.485
|
Equity
Index
|
0.707
|
0.703
|
0.708
|
0.704
|
FX
|
0.799
|
0.801
|
0.829
|
0.850
|
Energy
|
1.507
|
1.580
|
1.593
|
1.611
|
Agricultural Commodities
|
1.237
|
1.264
|
1.305
|
1.330
|
Metals
|
1.639
|
1.649
|
1.620
|
1.668
|
Total
|
0.781
|
0.779
|
0.776
|
0.796
|
|
|
|
|
|
VENUE
|
Oct-11
|
Sep-11
|
Aug-11
|
Jul-11
|
Exchange-Traded
|
0.724
|
0.724
|
0.721
|
0.736
|
CME
ClearPort (OTC)
|
2.473
|
2.621
|
2.651
|
2.739
|
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