– Highest monthly volume to date in 2009 for interest rates, FX, commodities and alternative investments product lines
– Double-digit quarterly sequential growth in interest rates, FX, commodities and alternative investments and monthly sequential growth in equity standard, FX, commodities and alternative investments
– Second-quarter volume averaged 10.4 million contracts per day, slightly higher than first-quarter 2009
CME Group, the world’s largest and most diverse derivatives exchange, today announced that June volume averaged 11.4 million contracts per day, down 20 percent from June 2008, but up 6 percent from May 2009. Total volume was 251 million contracts for June, of which 79 percent was traded electronically. Electronic volume averaged 9.0 million contracts per day, down 21 percent from the prior June, but up 6 percent sequentially.
"In the current financial environment, we are encouraged by record 2009 monthly volume across major products lines, from interest rates and foreign exchange to commodities and alternative investments," said CME Executive Chairman Terry Duffy. "In addition, the 33 percent increase in over-the-counter volume cleared through CME ClearPort is a good indicator that the OTC market continues moving toward the safety and soundness our cleared solution offers."
"Improvements in credit and lending markets and significantly increased Treasury issuance have positively impacted CME Group’s interest rate volumes and open interest in June," said CME Group chief executive officer Craig Donohue. "Reduced volatility and improvements in market depth have resulted in record volume of more than 6 million Eurodollar futures contracts on June 5."
CME Group interest rate volume averaged 5.1 million contracts per day, down 24 percent compared with the same period in 2008, but up 8 percent sequentially – representing the best monthly volume to date in 2009. Interest rate futures and options volume was up 14 percent second quarter over first quarter, with Treasury futures and options gaining 11 percent in the same timeframe. Average daily volume in inter-commodity spreads of Treasury futures and open interest for 3-Year Treasury Note futures reached record levels in June. Furthermore, a record volume of 6.0 million Eurodollar futures was traded June 5.
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.
CME Group E-mini equity index volume averaged 2.8 million contracts per day, down 21 percent compared with June 2008. Equity standard volume averaged 154,000 contracts per day, down 32 percent compared with the same period last year. CME Group foreign exchange (FX) volume averaged 702,000 contracts per day, with notional value of approximately $89 billion, down 8 percent compared with the prior June, but up 29 percent sequentially – representing the best monthly volume to date in 2009. CME Group commodities and alternative investments volume averaged 912,000 contracts per day, down 18 percent from June 2008, but up 25 percent compared with May 2009 – representing the highest monthly volume to date so far in 2009.
Total NYMEX volume averaged 1.7 million contracts for June 2009, down 4 percent compared with the same period last year, but up 1 percent compared with May 2009. Monthly NYMEX energy futures and options volume averaged 975,000 contracts per day, down 13 percent from June 2008, but up 5 percent sequentially. COMEX metals volume averaged 188,000 contracts per day for June 2009, down 8 percent compared with the same period last year and down 2 percent sequentially. Average daily volume cleared through CME ClearPort was 542,000 contracts for June 2009, up 33 percent compared with June 2008, as users continue to seek the safety and soundness of CME Group’s regulated, centrally cleared markets. The remaining NYMEX volume of 38,000 trades per day consisted of other transactions, which include position transfers and exchanges.
Second-quarter volume averaged 10.4 million contracts per day, down 19 percent from second-quarter 2008, but up slightly from first-quarter 2009. Compared with first-quarter 2009, second-quarter interest rates volume increased 14 percent, FX volume increased 12 percent and commodities and alternative investments volume increased 19 percent. In addition, second-quarter average daily volume cleared through CME ClearPort was 537,000 contracts, up 29 percent compared with second-quarter 2008.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Jun 2009 Jun 2008 Percent Change
——– ——– ————–
Total 11,389 14,179 -20%
Trading Days 22 21
CME Group ADV
(CME and CBOT combined, in thousands)
PRODUCT LINE Jun 2009 Jun 2008 Percent Change
——– ——– ————–
Interest Rates 5,107 6,758 -24%
E-minis 2,771 3,501 -21%
Equity Standard 154 228 -32%
FX 702 764 -8%
Commodities and Alt. Inv. 912 1,110 -18%
Total 9,646 12,360 -22%
Jun 2009 Jun 2008 Percent Change
VENUE ——– ——– ————–
Open outcry 1,485 1,897 -22%
CME Globex 7,979 10,259 -22%
Privately negotiated 182 204 -11%
NYMEX/COMEX ADV
(in thousands)
Jun 2009 Jun 2008 Percent Change
——– ——– ————–
NYMEX floor 128 235 -45%
NYMEX electronic 847 889 -5%
COMEX floor 27 36 -25%
COMEX electronic 161 169 -5%
CME ClearPort 542* 407 33%
Other 38 84 -55%
Total 1,743 1,819 -4%
*The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, accounted for approximately
24 percent of the total volume cleared through CME ClearPort in June 2009.
QUARTERLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Q2 2009 Q2 2008 Percent Change
——- ——- ————–
Total 10,438 12,875 -19%
Trading Days 63 64
CME Group ADV
(CME and CBOT combined, in thousands)
PRODUCT LINE Q2 2009 Q2 2008 Percent Change
——- ——- ————–
Interest Rates 4,389 6,467 -32%
E-minis 2,867 2,833 1%
Equity Standard 121 161 -25%
FX 568 665 -15%
Commodities and Alt. Inv. 818 933 -12%
Total 8,762 11,060 -21%
Q2 2009 Q2 2008 Percent Change
VENUE ——- ——- ————–
Open outcry 1,294 1,836 -30%
CME Globex 7,331 9,054 -19%
Privately negotiated 137 170 -19%
NYMEX/COMEX ADV
(in thousands)
Q2 2009 Q2 2008 Percent Change
——- ——- ————–
NYMEX floor 126 238 -47%
NYMEX electronic 785 865 -9%
COMEX floor 28 38 -27%
COMEX electronic 149 172 -13%
CME ClearPort 537* 417 29%
Other 49 84 -41%
Total 1,675 1,815 -8%
*The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, accounted for approximately
21 percent of the total volume cleared through CME ClearPort in second-
quarter 2009.
ROLLING THREE-MONTH AVERAGES
Total Exchange Pro Forma RPC (Legacy CME, CBOT, and NYMEX combined)
May-09 Apr-09 Mar-09 Feb-09
Total Average RPC 0.812 0.823 0.833 0.860
CME Group (Legacy CME and CBOT combined)
Average Rate Per Contract (In dollars)
3-Month Period Ending
May-09 Apr-09 Mar-09 Feb-09
Interest Rates 0.522 0.527 0.532 0.553
E-minis 0.666 0.671 0.677 0.685
Equity Standard 1.536 1.536 1.543 1.581
FX 0.905 0.920 0.918 0.947
Commodities/Alt.
Investments 1.107 1.126 1.108 1.114
—– —– —– —–
Total 0.665 0.677 0.677 0.696
Open outcry 0.618 0.631 0.607 0.648
Electronic 0.647 0.658 0.659 0.672
Privately negotiated 2.436 2.419 2.460 2.516
Average Daily Volume (In thousands)
3-Month Period Ending
Jun-09 May-09 Apr-09 Mar-09
Interest Rates 4,389 3,942 3,752 3,843
E-minis 2,867 3,267 3,396 3,378
Equity Standard 121 140 152 159
FX 568 513 503 507
Commodities/Alt.
Investments 818 717 734 685
— — — —
Total 8,762 8,579 8,538 8,572
Open outcry 1,294 1,180 1,133 1,188
Electronic 7,331 7,281 7,284 7,255
Privately negotiated 137 118 120 130
NYMEX/COMEX
Average Rate Per Contract (In dollars, on a pro forma basis*)
3-Month Period Ending
May-09 Apr-09 Mar-09 Feb-09
NYMEX floor 1.79 1.53 1.38 1.46
NYMEX electronic 1.31 1.32 1.35 1.40
COMEX floor 1.89 1.83 1.78 1.81
COMEX electronic 1.77 1.80 1.80 1.80
CME ClearPort 1.77 1.67 1.75 1.77
Other 1.88 2.45 2.46 2.33
—- —- —- —-
Total Pro Forma Average Gross
Rate 1.57 1.54 1.57 1.60
Total Pro Forma Average Net Rate 1.46 1.44 1.47 1.51
*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
Jun-09 May-09 Apr-09 Mar-09
NYMEX floor 126 125 126 135
NYMEX electronic 785 753 766 798
COMEX floor 28 28 27 30
COMEX electronic 149 153 156 170
CME ClearPort 537 553 605 629
Other 49 52 54 54
— — — —
Total 1,675 1,664 1,734 1,816
