CHICAGO, Feb. 2, 2012
/PRNewswire/ -- CME Group, the world's leading and most diverse
derivatives marketplace, today announced that January 2012 volume averaged 11.6 million
contracts per day, down 5 percent from January 2010, but up 21 percent from December
2011. Total volume for January was 232 million contracts, of
which 82 percent was traded electronically.
Open interest at the end of January
2012 reached 87.1 million contracts, up 11 percent from the
end of 2011. Open interest growth was 11 percent in the month
of January 2012 versus 7 percent in
the month of January 2011. January
2012 open interest growth was especially strong in interest
rates at 17 percent, foreign exchange (FX) at 14 percent and
agricultural commodities at 13 percent.
In January 2012, CME Group
interest rate volume averaged 5.2 million contracts per day, down 2
percent from January 2011, but up 47
percent sequentially. Treasury futures volume averaged 1.9
million contracts per day, down 12 percent compared with same
period a year ago, but up 33 percent sequentially. Treasury
options volume averaged 309,000 contracts per day, up 13 percent
from January 2011, and up 42 percent
sequentially. Eurodollar futures volume averaged 2.1 million
contracts per day, down 1 percent from January 2011.
Eurodollar options volume averaged 850,000 contracts per day, up 30
percent from the prior January.
CME Group equity index volume averaged 2.2 million contracts per
day, down 13 percent from January 2011. CME Group foreign
exchange (FX) volume averaged 744,000 contracts per day, down 21
percent from January last year, but up 3 percent sequentially and
reflecting average daily notional value of $96 billion.
CME Group energy volume averaged 2.0 million contracts per day,
up 1 percent compared with January
2011, and up 43 percent sequentially. CME Group
agricultural commodities volume averaged 1.1 million contracts per
day, flat compared with the prior year period, and up 29 percent
compared with December 2011. CME Group metals volume averaged
365,000 contracts per day, down 11 percent compared with the same
period last year, but up 36 percent sequentially.
Electronic volume averaged 9.5 million contracts per day in
January 2012, down 9 percent from
January 2011, but up 17 percent
sequentially. Privately negotiated volume increased 14
percent to 208,000 contracts per day, from the prior January.
Average daily volume cleared through CME ClearPort was
582,000 contracts in January 2012, up
27 percent compared with January
2011, and up 48 percent compared with December 2011.
Open outcry volume averaged 1.3 million contracts per day, up 6
percent versus the prior year period, and up 50 percent
sequentially.
MONTHLY
AVERAGE DAILY VOLUME (ADV)
|
|
|
|
|
Total
Exchange ADV
( in
thousands)
|
|
|
Jan
2012
|
Jan
2011
|
|
Trading
Days
|
20
|
20
|
|
|
|
|
|
PRODUCT
LINE
|
Jan
2012
|
Jan
2011
|
Percent Change
|
Interest
Rates
|
5,202
|
5,312
|
-2%
|
Equity
Indexes
|
2,227
|
2,553
|
-13%
|
Foreign
Exchange (FX)
|
744
|
939
|
-21%
|
Energy
(including CME ClearPort)
|
2,024
|
2,011
|
1%
|
Agricultural Commodities
|
1,056
|
1,056
|
0%
|
Metals
(including CME ClearPort)
|
365
|
412
|
-11%
|
Total
|
11,619
|
12,282
|
-5%
|
|
|
|
|
|
|
VENUE
|
Jan
2012
|
Jan
2011
|
Percent Change
|
Open
outcry
|
1,336
|
1,263
|
6%
|
CME
Globex
|
9,492
|
10,379
|
-9%
|
Privately
negotiated
|
208
|
182
|
14%
|
CME
ClearPort (OTC)
|
582
|
457
|
27%
|
ROLLING
THREE-MONTH AVERAGES
|
Average
Daily Volume (In thousands)
|
|
3-Month
Period Ending
|
PRODUCT
LINE
|
Jan-12
|
Dec-11
|
Nov-11
|
Oct-11
|
Interest
Rates
|
4,858
|
4,729
|
5,315
|
6,085
|
Equity
Indexes
|
2,751
|
3,147
|
3,673
|
4,202
|
Foreign
Exchange (FX)
|
760
|
820
|
940
|
1,000
|
Energy
|
1,749
|
1,704
|
1,795
|
1,805
|
Agricultural Commodities
|
995
|
1,004
|
1,099
|
1,070
|
Metals
|
335
|
315
|
376
|
429
|
Total
|
11,449
|
11,719
|
13,199
|
14,591
|
|
|
|
|
|
VENUE
|
Jan-12
|
Dec-11
|
Nov-11
|
Oct-11
|
Open
outcry
|
1,215
|
1,173
|
1,346
|
1,512
|
Electronic
|
9,524
|
9,864
|
11,136
|
12,354
|
Privately
negotiated
|
202
|
204
|
225
|
254
|
CME
ClearPort (OTC)
|
507
|
492
|
470
|
426
|
Average
Rate Per Contract (In dollars)
|
|
3-Month
Period Ending
|
PRODUCT
LINE
|
Dec-11
|
Nov-11
|
Oct-11
|
Sep-11
|
Interest
Rates
|
0.480
|
0.473
|
0.473
|
0.479
|
Equity
Indexes
|
0.705
|
0.708
|
0.707
|
0.703
|
Foreign
Exchange (FX)
|
0.828
|
0.814
|
0.799
|
0.801
|
Energy
|
1.507
|
1.497
|
1.507
|
1.580
|
Agricultural Commodities
|
1.230
|
1.239
|
1.237
|
1.264
|
Metals
|
1.706
|
1.736
|
1.639
|
1.649
|
Total
|
0.811
|
0.802
|
0.781
|
0.779
|
|
|
|
|
|
VENUE
|
Dec-11
|
Nov-11
|
Oct-11
|
Sep-11
|
Exchange-Traded
|
0.748
|
0.742
|
0.724
|
0.724
|
CME
ClearPort (OTC)
|
2.290
|
2.352
|
2.473
|
2.621
|
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