CME Group Inc. (CME) reported Tuesday that its average rate per contract declined for the third straight month as the exchange operator released May volume data.

Trading fees at CME have been on the decline since the beginning of the year, putting continued pressure on the exchange as average daily volume was 15% lower in May.

Year-on-year volume declines continued across most CME product groups, though sequential improvement was seen in its key interest rate futures sector.

CME officials have pointed to customers' shifting product focus as the reason for the a continued drop in its average rate per contract, which fell to 82.3 cents for the three-month period ended in April.

In January, CME's pro forma RPC was 87 cents.

CME Group's shares recently were 3.3% higher at 340.65.

An average 10.7 million contracts were traded each day in May, according to CME, with electronic volume down 14% to 8.4 million.

Interest rate futures volume remained 29% lower year-on-year, but that decline was the smallest so far this year for a segment hit hard by the freeze in credit markets.

An average 4.7 million rate-futures contracts changed hands each day last month at CME, the market's best monthly volume of 2009.

For the second month running, CME's interest rate markets outpaced activity in e-mini stock index futures, averaging 2.9 million contracts per day, up 15% from May 2008.

E-mini stock index volume has regularly topped interest rates since the onset of the financial crisis last fall, but interest rate activity has picked up lately as the government's unprecedented issuance of cash Treasurys and speculation about inflation fueled price volatility and a sharp steepening of the yield curve.

"We're traders here, so we like volatility," said Craig Ross, vice president of the retail brokerage firm ApexFutures.com.

Ross said many of his customers, who've been exclusively trading stock indexes, have recently decided to trade long-term Treasury futures.

CME reported May Treasury futures and options volume rose 62% from April but remained 36% lower than May of last year.

Average volume in Eurodollar futures and options, almost 2.5 million contracts, was 30% higher than the previous month but 20% lower than the same time last year.

Energy trading slowed in May on CME's Nymex markets, with average daily volume down 21% from the year-ago period.

Atlanta's IntercontinentalExchange Inc. (ICE), another operator of energy markets, saw trade in its benchmark Brent crude contract drop 15.1% last month, with West Texas crude futures down 29.7% for the month.

The decline in ICE's core markets was partially offset by bolstered activity in gas oil and Russell 2000 equity index products, according to a report from the exchange.

ICE's average daily volume in May rose 11% from the year-ago period, with more than 20 million contracts traded across its U.S., U.K. and Canada futures markets.

As U.S. regulators push for tighter oversight of over-the-counter derivatives, ICE has gained traction in the credit default swap market, with its ICE Trust clearinghouse handling $731 billion in notional CDS trades through May 29.

ICE shares were 5.3% higher at $115.85 in early trading.

-By Jacob Bunge, Dow Jones Newswires; (312) 750 4117; jacob.bunge@dowjones.com; and Howard Packowitz, Dow Jones Newswires; 312-750-4132; howard.packowitz@dowjones.com

(Tess Stynes contributed to this report.)