– January OTC volume cleared on CME ClearPort was up 50 percent
– Fourth-quarter pro forma rate per contract averaged 86 cents compared with 75 cents for fourth-quarter 2007, driven largely by increased proportion of higher priced contracts
CME Group, the world’s largest and most diverse derivatives exchange, today announced January volume averaged 9.5 million contracts per day, down 41 percent from January 2008, which was the second-highest monthly volume ever on a combined basis. Total volume was 190 million contracts for the month, of which 78 percent was traded electronically. Total electronic volume averaged 7.4 million contracts per day, down 40 percent from the prior January. Average daily volume cleared on CME ClearPort was 603,000 contracts for the month, up 50 percent compared with January 2008, continuing to highlight market participants’ increased interest in the safety and soundness of CME Group’s regulated, transparent and centrally cleared markets. Total exchange volume during the second half of January averaged 10.1 million contracts per day, up 14 percent from average daily volume of 8.9 million contracts during the first half of January and up 23 percent from average daily volume of 8.1 million contracts for the full month of December 2008.
CME Group January interest rate volume averaged 3.6 million contracts per day, down 59 percent compared with the same period in 2008. E-mini equity index volume averaged 2.9 million contracts per day, down 26 percent compared with January 2008. Equity standard volume averaged 122,000 contracts per day in January, down 36 percent compared with the same year-ago period. CME Group foreign exchange (FX) contracts volume averaged 460,000 contracts per day, down 23 percent, and represented an average daily notional value of $59 billion. CME Group commodities and alternative investments volume averaged 655,000 contracts per day, down 28 percent from January 2008.
Total NYMEX volume in January averaged 1.8 million contracts, up 4 percent compared with the same prior year period. Annual NYMEX energy futures and options volume averaged 948,000 contracts per day, down 5 percent from January 2008. COMEX metals volume averaged 203,000 contracts per day for January, down 23 percent. Average daily volume cleared on CME ClearPort was 603,000 contracts for the month, up 50 percent compared with January 2008. The remaining NYMEX volume of 48,000 trades per day consisted of other transactions, which include position transfers and exchanges.
All references to CME Group volume and rate per contract information in the text of this document exclude our non-traditional TRAKRS products, for which CME Group receives significantly lower clearing fees than other CME Group products, and Swapstream products.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV (Legacy CME, CBOT, and NYMEX combined, in thousands)
January 2009 January 2008 Percent Change
———— ———— ————–
Total 9,479 16,048 -41%
CME Group ADV (Legacy CME and CBOT combined, in thousands)
PRODUCT LINE January 2009 January 2008 Percent Change
———— ———— ————–
Interest Rates 3,577 8,733 -59%
E-minis 2,863 3,888 -26%
Equity Standard 122 190 -36%
FX 460 596 -23%
Commodities and Alt.
Inv. 655 906 -28%
Total 7,677 14,313 -46%
January 2009 January 2008 Percent Change
VENUE ———— ———— ————–
Open outcry 1,169 2,760 -58%
CME Globex 6,378 11,355 -44%
Privately negotiated 131 198 -34%
NYMEX/COMEX ADV (In thousands)
January 2009 January 2008 Percent Change
———— ———— ————–
NYMEX floor 144 256 -44%
NYMEX electronic 804 743 8%
COMEX floor 32 54 -40%
COMEX electronic 171 209 -18%
CME ClearPort 603 402 50%
Other 48 71 -33%
Total 1,802 1,736 4%
ROLLING THREE-MONTH AVERAGES
CME Group (Legacy CME and CBOT combined)
Average Rate Per Contract (In dollars)
3-Month Period Ending
Dec-08 Nov-08 Oct-08 Sep-08
Interest Rates 0.569 0.545 0.539 0.521
E-minis 0.706 0.703 0.703 0.677
Equity Standard 1.582 1.559 1.529 1.486
FX 0.894 0.915 0.932 0.936
Commodities/Alt.
Investments 1.154 1.167 1.144 1.154
—– —– —– —–
Total 0.713 0.691 0.684 0.659
Open outcry 0.663 0.619 0.608 0.607
Electronic 0.691 0.672 0.665 0.637
Privately negotiated 2.558 2.546 2.533 2.526
Average Daily Volume (In thousands)
3-Month Period Ending
Jan-08 Dec-08 Nov-08 Oct-08
Interest Rates 3,325 3,692 5,156 5,538
E-minis 3,157 3,799 4,444 4,049
Equity Standard 153 194 238 228
FX 444 481 625 681
Commodities/Alt.
Investments 648 691 746 786
— — — —
Total 7,727 8,857 11,208 11,282
Open outcry 1,145 1,275 1,595 1,607
Electronic 6,459 7,447 9,445 9,510
Privately negotiated 123 136 167 165
NYMEX/COMEX
Average Rate Per Contract (In dollars, on a pro forma basis*)
3-Month Period Ending
Dec-08 Nov-08 Oct-08 Sep-08
NYMEX floor 1.60 1.60 1.36 1.39
NYMEX electronic 1.31 1.30 1.30 1.32
COMEX floor 1.80 1.76 1.73 1.63
COMEX electronic 1.78 1.75 1.74 1.72
CME ClearPort 2.10 2.11 2.04 1.93
Other 2.04 1.99 1.97 1.93
—- —- —- —-
Total Pro Forma Average Gross
Rate 1.67 1.66 1.60 1.57
Total Pro Forma Average Net Rate 1.57 1.56 1.53 1.49
*Pro forma adjustment excludes the Globex payment to CME Group from the NYMEX electronic, COMEX electronic and Direct Transaction Cost lines. Average RPC by venue are gross figures – NYMEX historically reported average net RPC by venue.
Average Daily Volume (In thousands)
3-Month Period Ending
Jan-08 Dec-08 Nov-08 Oct-08
NYMEX floor 147 166 184 185
NYMEX electronic 705 682 754 796
COMEX floor 28 29 36 35
COMEX electronic 147 144 186 192
CME ClearPort 513 489 509 500
Other 72 75 78 59
— — — —
Total 1,612 1,584 1,746 1,767
