CME Group, the world’s largest and most diverse derivatives marketplace, today announced that August volume averaged 10.2 million contracts per day, down 7 percent from August 2008, but up 5 percent from July 2009 and representing the best year-over-year performance to date in 2009. Total volume was 214 million contracts for August, of which 81 percent was traded electronically. Electronic volume averaged 8.3 million contracts per day, down 6 percent from the prior August, but up 5 percent compared with July 2009. Average daily volume cleared through CME ClearPort was 440,000 contracts for August 2009, up 7 percent compared with August 2008. CME Group year-to-date volume through August averaged 10.2 million contracts per day.
CME Group interest rate volume averaged 4.7 million contracts per day, down 6 percent compared with August 2008, but up 14 percent compared with July 2009. CME Group equity index volume averaged 2.5 million contracts per day, down 10 percent compared with August 2008. CME Group foreign exchange (FX) volume experienced its highest non-roll month level to date in 2009, averaging 616,000 contracts per day, with notional value of approximately $79 billion, down 7 percent compared with the prior August. CME Group commodities and alternative investments volume averaged 735,000 contracts per day, down 14 percent from August 2008. CME Group energy volume (including volume cleared through CME ClearPort) averaged 1.5 million contracts per day for August 2009, up 5 percent compared with the same period last year. CME Group metals volume (including volume cleared through CME ClearPort) averaged 184,000 contracts per day for August 2009, down 23 percent compared with the prior August.
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.
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, Swapstream products, and HuRLO products.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange Pro Forma ADV
(CME, CBOT and NYMEX combined, in thousands)
Aug 2009 Aug 2008
——– ——–
Trading Days 21 21
PRODUCT LINE Aug 2009 Aug 2008 Percent Change
——– ——– ————–
Interest Rates 4,738 5,056 -6%
Equity Index 2,452 2,733 -10%
FX 616 659 -7%
Commodities and Alt. Inv. 735 852 -14%
Energy (including CME
ClearPort) 1,470 1,396 5%
Metals (including CME
ClearPort) 184 240 -23%
— — —
Total 10,194 10,936 -7%
Aug 2009 Aug 2008 Percent Change
——– ——– ————–
VENUE
Open outcry 1,338 1,524 -12%
CME Globex 8,267 8,835 -6%
Privately negotiated 149 165 -10%
CME ClearPort (OTC) 440* 412 7%
*The PJM daily electricity swap futures contracts, which have an average
rate per contract of approximately 10 cents, accounted for approximately
15 percent of the total volume cleared through CME ClearPort in August
2009.
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
Aug-09 Jul-09 Jun-09 May-09
Interest Rates 4,670 4,664 4,389 3,942
Equity Index 2,639 2,812 2,987 3,407
FX 644 622 568 513
Commodities/Alt. Investments 799 799 818 717
Energy 1,450 1,430 1,396 1,393
Metals 193 201 190 195
— — — —
Total 10,395 10,527 10,349 10,167
Open outcry 1,382 1,444 1,431 1,318
Electronic 8,389 8,446 8,266 8,187
Privately negotiated 173 177 173 152
CME ClearPort (OTC) 451 460 478 510
Average Rate Per Contract (In dollars)
3-Month Period Ending
Jul-09 Jun-09 May-09 Apr-09
Interest Rates 0.518 0.525 0.522 0.527
Equity Index 0.720 0.712 0.701 0.708
FX 0.874 0.901 0.905 0.920
Commodities/Alt. Investments 1.129 1.130 1.107 1.126
Energy 1.673 1.653 1.616 1.578
Metals 1.803 1.808 1.831 1.860
—– —– —– —–
Total 0.821 0.823 0.818 0.829
Exchange-Traded 0.759 0.765 0.757 0.769
CME ClearPort (OTC) 2.163 2.031 1.972 1.850
