CME Group equity index volume averaged 2.6 million contracts per day, down 11 percent from January 2010. CME Group foreign exchange (FX) volume averaged 939,000 contracts per day, up 15 percent compared with the same period a year ago, reflecting average daily notional value of $126 billion.
CME Group energy volume averaged 2.0 million contracts per day, up 22 percent compared with January 2010. Driving this strong growth in energy, Light Sweet Crude Oil (WTI) futures and options were up 57 percent and 21 percent for the month, respectively. The futures contract reached a record volume of 1.5 million contracts on January 28, and the options contract set a record of 294,000 contracts on January 31, one trading day after the prior record.
CME Group agricultural commodities volume averaged 1.1 million contracts per day, up 37 percent compared with the prior January. CME Group metals volume averaged 412,000 contracts per day, up 16 percent compared with the same period last year.
Electronic volume averaged 10.4 million contracts per day, up 13 percent from the prior January, while privately negotiated volume increased 2 percent, to 182,000 contracts per day. Average daily volume cleared through CME ClearPort was 457,000 contracts for January 2011, down 11 percent compared with January 2010. Open outcry volume averaged 1.3 million contracts per day in January 2011, down 4 percent versus the prior January.
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MONTHLY AVERAGE DAILY VOLUME (ADV) |
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Total Exchange ADV ( in thousands) |
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|
Jan 2011 |
Jan 2010 |
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|
Trading Days |
20 |
19 |
|
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PRODUCT LINE |
Jan 2011 |
Jan 2010 |
Percent Change |
|
Interest Rates |
5,312 |
4,761 |
12% |
|
Equity Index |
2,553 |
2,861 |
-11% |
|
FX |
939 |
820 |
15% |
|
Energy (including CME ClearPort) |
2,011* |
1,646 |
22% |
|
Commodities |
1,056 |
771 |
37% |
|
Metals (including CME ClearPort) |
412 |
355 |
16% |
|
Total |
12,282 |
11,213 |
10% |
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VENUE |
Jan 2011 |
Jan 2010 |
Percent Change |
|
Open outcry |
1,263 |
1,317 |
-4% |
|
CME Globex |
10,379 |
9,201 |
13% |
|
Privately negotiated |
182 |
179 |
2% |
|
CME ClearPort (OTC) |
457 |
516 |
-11% |
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ROLLING THREE-MONTH AVERAGES Average Daily Volume (In thousands) |
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3-Month Period Ending |
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PRODUCT LINE |
Jan-11 |
Dec-10 |
Nov-10 |
Oct-10 |
|
Interest Rates |
5,767 |
5,566 |
5,608 |
5,098 |
|
Equity Index |
2,510 |
2,545 |
2,837 |
2,746 |
|
FX |
903 |
887 |
935 |
885 |
|
Energy |
1,674 |
1,581 |
1,693 |
1,725 |
|
Commodities |
1,048 |
1,067 |
1,125 |
1,025 |
|
Metals |
391 |
372 |
365 |
273 |
|
Total |
12,293 |
12,018 |
12,563 |
11,752 |
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VENUE |
Jan-11 |
Dec-10 |
Nov-10 |
Oct-10 |
|
Open outcry |
1,393 |
1,418 |
1,484 |
1,372 |
|
Electronic |
10,283 |
9,978 |
10,422 |
9,715 |
|
Privately negotiated |
214 |
222 |
222 |
200 |
|
CME ClearPort (OTC) |
402 |
400 |
434 |
465 |
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Average Rate Per Contract (In dollars) |
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|
3-Month Period Ending |
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PRODUCT LINE |
Nov-10 |
Oct-10 |
Sep-10 |
Aug-10 |
|
|
Interest Rates |
0.498 |
0.497 |
0.495 |
0.493 |
|
|
Equity Index |
0.695 |
0.696 |
0.708 |
0.709 |
|
|
FX |
0.795 |
0.793 |
0.795 |
0.791 |
|
|
Energy |
1.606 |
1.558 |
1.540 |
1.542 |
|
|
Commodities |
1.220 |
1.242 |
1.256 |
1.287 |
|
|
Metals |
1.733 |
1.750 |
1.791 |
1.743 |
|
|
Total |
0.815 |
0.816 |
0.810 |
0.811 |
|
|
VENUE |
Nov-10 |
Oct-10 |
Sep-10 |
Aug-10 |
|
|
Exchange-Traded |
0.751 |
0.749 |
0.747 |
0.747 |
|
|
CME ClearPort (OTC) |
2.579 |
2.439 |
2.292 |
2.317 |
|
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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. |
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