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CME Group Volume Averaged 14.4 Million Contracts per Day in March 2011, Up 31 Percent, and 13.8 Million Contracts per Day in First-Quarter 2011, Up 19 Percent
- Double-digit year-over-year growth across all product lines in March
- Second highest total quarterly average daily volume ever
- Record quarterly average daily volume for Energy, Commodities and Metals product lines

CHICAGO, April 4, 2011 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced March volume averaged 14.4 million contracts per day, up 31 percent from March 2010.  Total volume for March was 331 million contracts, of which a record 85 percent was traded electronically.  First-quarter 2011 volume averaged 13.8 million contracts per day, up 19 percent from first-quarter 2010, representing the second highest quarterly volume ever.

In March 2011, CME Group interest rate volume averaged 6.6 million contracts per day, up 33 percent compared with the prior March.  Treasury futures volume averaged 2.7 million contracts per day, up 48 percent compared with the same period in 2010, and Treasury options volume averaged 329,000 contracts per day, up 34 percent.  Contributing to the Treasury options growth, the newly launched weekly Treasury options grew to 14,000 contracts per day on average in March, up 28 percent from February 2011.  Eurodollar futures volume averaged 2.7 million contracts per day, up 32 percent versus March 2010, and Eurodollar options volume averaged 767,000 contracts per day, up 8 percent.

CME Group equity index volume averaged 3.5 million contracts per day, up 32 percent from March 2010.  CME Group foreign exchange (FX) volume averaged 1.0 million contracts per day, up 11 percent compared with the same period a year ago, reflecting average daily notional value of $134 billion.

CME Group energy volume averaged 1.8 million contracts per day, up 20 percent compared with March 2010.  CME Group agricultural commodities volume averaged a record 1.1 million contracts per day, up 60 percent compared with the prior March.  CME Group metals volume averaged 366,000 contracts per day, up 24 percent compared with the same period last year.

Electronic volume averaged 12.2 million contracts per day, up 34 percent from the prior March, while privately negotiated volume increased 33 percent, to 234,000 contracts per day. Average daily volume cleared through CME ClearPort was 493,000 contracts for March 2011, up 11 percent compared with March 2010.  Highlighting that commercial grain market participants are increasingly using CME Group cleared OTC products as part of their risk management toolkit, Corn Calendar Swaps volume reached a daily record of 11,710 contracts on the last day of the month, surpassing the previous record of 3,331 contracts set on Jan. 12, 2011. Open outcry volume averaged 1.4 million contracts per day in March 2011, up 12 percent versus the prior March.

During the first quarter, CME Group interest rate volume averaged 6.4 million contracts per day, up 25 percent compared with first-quarter 2010.  Treasury futures volume averaged 2.7 million contracts per day, up 32 percent compared with the same period a year ago, and Treasury options volume averaged 324,000 contracts per day, up 19 percent.  Eurodollar futures volume averaged 2.5 million contracts per day, up 26 percent versus first-quarter 2010, while Eurodollar options volume averaged 769,000 contracts per day, up 14 percent compared with the prior first quarter.  

First-quarter 2010 CME Group equity index volume averaged 2.9 million contracts per day, up 3 percent.  CME Group FX volume averaged 961,000 contracts per day, up 8 percent compared with the same period a year ago, reflecting average daily notional value of $129 billion.

First-quarter CME Group energy volume averaged a record 2.0 million contracts per day, up 23 percent compared with the same period last year.  The energy complex posted record quarterly average daily volume in multiple contracts, including the global benchmark WTI futures and options, with respective volumes of 829,000 and 170,000 contracts per day; the benchmark Henry Hub Natural Gas Futures, with volume of 321,000 contracts per day, and Heating Oil, with volume of 128,000 contracts per day.

CME Group commodities and alternative investments volume averaged a record 1.2 million contracts per day, up 47 percent from first-quarter 2010.  CME Group metals volume averaged a record 376,000 contracts per day in first-quarter 2011, up 15 percent compared with the prior first quarter.

Electronic volume averaged 11.6 million contracts per day, up 21 percent from the prior first quarter, while privately negotiated volume increased 18 percent to 224,000 contracts per day.  Average daily volume cleared through CME ClearPort was 498,000 contracts for first-quarter 2010, up 5 percent compared with first-quarter 2010.  First-quarter open outcry volume averaged 1.5 million contracts per day, up 11 percent versus first-quarter 2010.



MONTHLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

( in thousands)



Mar 2011

Mar 2010


Trading Days

23

23






PRODUCT LINE

Mar 2011

Mar 2010

Percent Change

Interest Rates

6,611

4,961

33%

Equity Index

3,504

2,663

32%

FX

1,003

907

11%

Energy (including CME ClearPort)

1,794

1,497

20%

Commodities

1,108

692

60%

Metals (including CME ClearPort)

366

296

24%

    Total

14,385

11,016

31%





VENUE

Mar 2011

Mar 2010

Percent Change

Open outcry

1,445

1,288

12%

CME Globex

12,212

9,105

34%

Privately negotiated

234

177

33%

CME ClearPort (OTC)

493

446

11%





QUARTERLY AVERAGE DAILY VOLUME (ADV)





Total Exchange ADV

( in thousands)



Q1 2011

Q1 2010


Trading Days

62

61






PRODUCT LINE

Q1 2011

Q1 2010

Percent Change

Interest Rates

6,424

5,120

25%

Equity Index

2,906

2,816

3%

FX

961

887

8%

Energy (including CME ClearPort)

1,973

1,609

23%

Commodities

1,154

785

47%

Metals (including CME ClearPort)

376

327

15%

    Total

13,794

11,544

19%





VENUE

Q1 2011

Q1 2010

Percent Change

Open outcry

1,467

1,318

11%

CME Globex

11,605

9,562

21%

Privately negotiated

224

190

18%

CME ClearPort (OTC)

498

474

5%




ROLLING THREE-MONTH AVERAGES


Average Daily Volume (In thousands)



3-Month Period Ending

PRODUCT LINE

Mar-11

Feb-11

Jan-11

Dec-10

Interest Rates

6,424

5,851

5,767

5,566

Equity Index

2,906

2,407

2,510

2,545

FX

961

891

903

887

Energy

1,973

1,846

1,674

1,581

Commodities

1,154

1,057

1,048

1,067

Metals

376

342

391

372

    Total

13,794

12,394

12,293

12,018






VENUE

Mar-11

Feb-11

Jan-11

Dec-10

Open outcry

1,467

1,380

1,393

1,418

Electronic

11,605

10,356

10,283

9,978

Privately negotiated

224

210

214

222

CME ClearPort (OTC)

498

447

402

400




Average Rate Per Contract (In dollars)


3-Month Period Ending

PRODUCT LINE

Feb-11

Jan-11

Dec-10

Nov-10

Interest Rates

0.485

0.491

0.496

0.498

Equity Index

0.711

0.707

0.702

0.695

FX

0.820

0.811

0.804

0.795

Energy

1.608

1.637

1.631

1.606

Commodities

1.257

1.223

1.219

1.220

Metals

1.706

1.716

1.708

1.733

    Total

0.820

0.816

0.813

0.815






VENUE

Feb-11

Jan-11

Dec-10

Nov-10

Exchange-Traded

0.748

0.748

0.748

0.751

CME ClearPort (OTC)

2.735

2.826

2.704

2.579




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.

As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk.  CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate.   CME Group brings buyers and sellers together through its CME Globex electronic trading platform and its trading facilities in New York and Chicago.  CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.  These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed and over-the-counter derivatives markets. 

CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc.  CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc.  NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc.  COMEX is a trademark of Commodity Exchange, Inc.  All other trademarks are the property of their respective owners.

CME-G

SOURCE CME Group