IntercontinentalExchange (NYSE: ICE), a leading operator of regulated global futures exchanges and over-the-counter (OTC) markets, today reported volume of 19.4 million futures contracts in February 2009, a decline of 5% from February 2008. Average daily volume (ADV) was 980,786 for the month, roughly flat compared to the prior February. ICE operates three regulated futures exchanges: ICE Futures Europe(R), ICE Futures U.S.(R) and ICE Futures Canada(R), as well as global OTC markets for energy and credit default swaps (CDS).
ADV at ICE Futures Europe increased 4% year-over-year for the month of February. ADV at ICE Futures U.S. and ICE Futures Canada declined 10% and 7%, respectively, from February 2008.
European Futures Volume and RPC
ICE Futures Europe is ICE’s London-based regulated energy futures exchange. In February, ICE Futures Europe reported monthly volume of 12,267,356 contracts, roughly flat compared to 12,349,016 contracts in February 2008. ADV was 613,368 contracts, an increase of 4% from 588,048 contracts the prior February.
The three-month rolling average rate per contract (RPC) for February 2009 was $1.55. RPC averaged $1.54 and $1.42, respectively, for the three-month periods ended January 2009 and December 2008. RPC is calculated by dividing transaction revenues by contract volume, and can vary based on pricing, customer and product mix. RPC includes clearing revenues beginning with the launch of ICE Clear Europe(TM) on November 3, 2008.
Open interest for ICE Futures Europe was 2,251,249 contracts as of February 28, 2009, up from 2,102,574 contracts on December 31, 2008.
North American Futures Volume and RPC
ICE’s agricultural, soft commodity, financial and index futures trade on ICE’s U.S. and Canadian futures exchanges. Total volume at ICE Futures U.S. was 6,770,061 in February 2009, a 12% decrease from 7,720,079 contracts the prior February. ADV declined 10% to 348,432 contracts, compared with 385,430 contracts in February 2008.
The three-month rolling average RPC for agricultural futures and options was $2.33 for February, compared to $2.25 for each of the three-month periods ended January 2009 and December 2008. RPC for financial futures and options contracts averaged $0.81 for the three-months ended February 2009 versus $0.74 and $0.78 for the three-month periods ended January 2009 and December 2008, respectively.
Open interest for ICE Futures U.S. was 2,580,980 contracts on February 28, 2009, compared to 3,028,877 contracts on December 31, 2008.
ICE Futures Canada recorded volume of 360,733 contracts in February 2009, a decrease of 11% from the prior February. ADV was 18,986, 7% lower than February 2008 ADV of 20,342. Open interest for ICE Futures Canada was 103,323 as of February 28, 2009, compared to 97,673 contracts on December 31, 2008.
ICE Futures: Rolling Three-Month Average Rate per Contract
Three Months Three Months Three Months
Ending Ending Ending
February 2009 January 2009 December 2008
Product Line
ICE Futures Europe $1.55 $1.54 $1.42
ICE Futures U.S. Ag $2.33 $2.25 $2.25
ICE Futures U.S. Fin $0.81 $0.74 $0.78
Additional February 2009 Information:
— On February 19, ICE Clear Europe announced its intention to serve as a
European-regulated central counterparty clearing house for the European
CDS market.
— On February 17, ICE Clear U.S.(TM) executed the exchange industry’s
first cleared agricultural swap transaction.
— ICE was named Derivatives Exchange of the Year for 2008 by Risk magazine
for the second consecutive year.
— Trading days in February 2009:
— ICE Futures Europe: 20
— ICE Futures U.S. Agricultural: 19
— ICE Futures U.S. Currency and Index: 20
— ICE Futures Canada: 19
— ICE Futures Europe product records achieved in February 2009:
— On February 2, the Gas Oil futures contract set an open interest record
of 463,569.
ICE Futures: February 2009 Average Daily Volume by Product
ADV ADV ADV
February February % Change
Product Line 2009 2008
ICE Brent Crude futures 276,688 258,784 6.9
ICE WTI Crude futures 185,456 196,761 -5.7
ICE Gas Oil futures 112,972 118,116 -4.4
Other contracts (1) 38,252 14,387 165.9
Total ICE Futures Europe 613,368 588,048 4.3
Russell 2000 mini futures &
options 141,652 874 16,100.2
Sugar No. 11 futures &
options 128,837 212,931 -39.5
Other agricultural
commodity contracts (2) 69,737 161,022 -56.7
Currency futures (3) 2,716 5,777 -52.9
Index futures (4) 5,240 4,593 14.1
Other contracts (5) 251 233 7.4
Total ICE Futures U.S. 348,432 385,430 -9.6
Total ICE Futures Canada (6) 18,986 20,342 -6.7
—— —— —-
TOTAL FUTURES CONTRACTS 980,786 993,820 -1.3
(1)"Other contracts" include ICE Middle East Sour Crude futures; ICE Heating Oil futures; ICE Unleaded Gasoline Blendstock (RBOB) futures; ICE UK Natural Gas futures; ICE-ECX CFI futures; ICE-ECX CFI CER futures; ICE UK Electricity futures; ICE Coal futures; ICE Brent options; ICE WTI options, ICE Gas Oil options; ICE-ECX CFI options and ICE-ECX CFI CER options. The ICE-ECX CFI futures and options contracts and the ICE-ECX CFI CER futures and options contracts are the result of a cooperative relationship between ICE Futures Europe and the Chicago Climate Exchange, Inc. and its subsidiary, the European Climate Exchange. ICE Futures Europe shares in the revenue derived from the ECX CFI and ECX CER futures and options contracts.
(2) "Other agricultural commodity contracts" include futures and/or options for Cocoa, Coffee "C", Cotton No. 2, Orange Juice, Sugar No. 14 and Sugar No. 16.
(3) "Currency futures" include futures for foreign exchange products and ICE Millions contracts.
(4) "Index futures" include futures for the US Dollar Index, Russell 2000 (full size), Russell 1000, Russell 1000 mini, the Continuous Commodity Index, the Euro Index, and the NYSE Composite. The transition of the Russell Index futures and options contracts to exclusive trading on ICE occurred in September 2008.
(5) "Other contracts" include options on foreign exchange futures and options on index futures, excluding Russell 2000 mini options.
(6) "ICE Futures Canada" includes futures and options for Canola and Western Barley.
Monthly RPC and volumes are estimated using best available current information. Final figures are reported in ICE’s quarterly and annual filings with the Securities and Exchange Commission.
Historical futures volume and OTC commission data can be found at:
http://ir.theice.com/supplemental.cfm
