CME Group Volume Averaged a Record 13.4 Million Contracts per Day in 2011, Up 10 Percent from 2010

CME Group, the world’s leading and most diverse derivatives marketplace, today announced that 2011 volume averaged a record 13.4 million contracts per day, up 10 percent from 2010.  Highlights for the year included record annual average daily volume for foreign exchange (FX), agricultural commodities, energy and metals, as well as double-digit average daily volume growth in interest rates, equity indexes, agricultural commodities and metals product lines.

Fourth-quarter volume averaged 11.7 million contracts per day, down 2 percent from fourth-quarter 2010, but included 24 percent average daily volume growth in equity index products, 8 percent growth in energy products, and 20 percent growth in volume cleared through CME ClearPort. 

December 2011 volume averaged 9.6 million contracts per day, down 9 percent from December 2010.  Equity index average daily volume increased 31 percent versus December 2010, and volume cleared through CME ClearPort was up 12 percent compared with the prior December.  Total volume for December was 201 million contracts, of which 85 percent was traded electronically.

In 2011, CME Group interest rate volume averaged 6.0 million contracts per day, up 11 percent from 2010.  Treasury futures volume averaged 2.7 million contracts per day, up 15 percent compared with same period a year ago.  Treasury options volume averaged 307,000 contracts per day, down 1 percent from 2010.  Eurodollar futures volume averaged 2.2 million contracts per day, up 11 percent from 2010.  Eurodollar options volume averaged 767,000 contracts per day, up 6 percent from 2010.

CME Group equity index volume averaged 3.2 million contracts per day, up 11 percent from 2010.  CME Group foreign exchange (FX) volume averaged 922,000 contracts per day, in line with last year, reflecting average daily notional value of $124 billion.

CME Group energy volume averaged 1.8 million contracts per day, up 7 percent compared with 2010.  CME Group agricultural commodities volume averaged 1.1 million contracts per day, up 19 compared with the prior year.  CME Group metals volume averaged 387,000 contracts per day, up 23 compared with the same period last year.

Electronic volume averaged 11.3 million contracts per day in 2011, up 12 percent from 2010, while privately negotiated volume increased 17 percent to 232,000 contracts per day, from the prior year.  Average daily volume cleared through CME ClearPort was 460,000 contracts in 2011, up 3 percent compared with 2010.  Open outcry volume averaged 1.4 million contracts per day, even versus the prior year.

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands)

Average Rate Per Contract (In dollars)