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

Jan 4, 2012

CHICAGO, Jan. 4, 2012 /PRNewswire/ -- 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.

 

ANNUAL AVERAGE DAILY VOLUME (ADV)

 

 

 

 

Total Exchange ADV

( in thousands)

 

 

2011

2010

 

Trading Days

252

253

 

 

 

 

 

PRODUCT LINE

2011

2010

   Percent Change

Interest Rates

6,030

5,449

11%

Equity Indexes

3,238

2,907

11%

Foreign Exchange (FX)

922

919

0%

Energy (including CME ClearPort)

1,775

1,662

7%

Agricultural Commodities

1,087

913

19%

Metals (including CME ClearPort)

387

316

23%

     Total

13,439

12,167

10%

 

 

 

 

 

 


VENUE

2011

2010

    Percent Change

Open outcry

1,398

1,401

0%

CME Globex

11,350

10,120

12%

Privately negotiated

232

198

17%

CME ClearPort (OTC)

460

447

3%

 

 

 

QUARTERLY AVERAGE DAILY VOLUME (ADV)

 

 

 

 

Total Exchange ADV

( in thousands)

 

 

Q4 2011

Q4 2010

 

Trading Days

63

64

 

 

 

 

 

PRODUCT LINE

Q4 2011

Q4 2010

   Percent Change

Interest Rates

4,729

5,566

-15%

Equity Indexes

3,147

2,545

24%

Foreign Exchange (FX)

820

887

-7%

Energy (including CME ClearPort)

1,704

1,581

8%

Agricultural Commodities

1,004

1,067

-6%

Metals (including CME ClearPort)

315

372

-15%

     Total

11,719

12,018

-2%

 

 

 

 

 

 

 


VENUE

       Q4 2011

       Q4 2010

    Percent Change

Open outcry

1,173

1,418

-17%

CME Globex

9,864

9,978

-1%

Privately negotiated

204

222

-8%

CME ClearPort (OTC)

479

400

20%

 

 

 

MONTHLY AVERAGE DAILY VOLUME (ADV)

 

 

 

 

Total Exchange ADV

( in thousands)

 

 

Dec 2011

Dec 2010

 

Trading Days

21

22

 

 

 

 

 

PRODUCT LINE

Dec 2011

Dec 2010

   Percent Change

Interest Rates

3,539

5,031

-30%

Equity Indexes

2,811

2,147

31%

Foreign Exchange (FX)

724

811

-11%

Energy (including CME ClearPort)

1,416

1,433

-1%

Agricultural Commodities

821

836

-2%

Metals (including CME ClearPort)

268

270

0%

     Total

9,580

10,528

-9%

 

 

 

 

 

 

 

 


VENUE

       Dec 2011

       Dec 2010

    Percent Change

Open outcry

894

1,203

-26%

CME Globex

8,117

8,777

-8%

Privately negotiated

175

196

-11%

CME ClearPort (OTC)

394

351

12%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume (In thousands)

 

3-Month Period Ending

PRODUCT LINE

Dec-11

Nov-11

Oct-11

Sep-11

Interest Rates

4,729

5,315

6,085

6,518

Equity Indexes

3,147

3,673

4,202

4,040

Foreign Exchange (FX)

820

940

1,000

988

Energy

1,704

1,795

1,805

1,670

Agricultural Commodities

1,004

1,099

1,070

1,032

Metals

315

376

429

454

     Total

11,719

13,199

14,591

14,702

 

 

 

 

 


VENUE

Dec-11

Nov-11

Oct-11

Sep-11

Open outcry

1,173

1,346

1,512

1,557

Electronic

9,864

11,136

12,354

12,463

Privately negotiated

204

225

254

257

CME ClearPort (OTC)

479

492

470

426


Average Rate Per Contract (In dollars)

 

3-Month Period Ending

PRODUCT LINE

Nov-11

Oct-11

Sep-11

Aug-11

Interest Rates

0.473

0.473

0.479

0.480

Equity Indexes

0.708

0.707

0.703

0.708

Foreign Exchange (FX)

0.814

0.799

0.801

0.829

Energy

1.497

1.507

1.580

1.593

Agricultural Commodities

1.239

1.237

1.264

1.305

Metals

1.736

1.639

1.649

1.620

     Total

0.802

0.781

0.779

0.776

 

 

 

 

 

VENUE

Nov-11

Oct-11

Sep-11

Aug-11

Exchange-Traded

0.742

0.724

0.724

0.721

CME ClearPort (OTC)

2.352

2.473

2.621

2.651

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 world's leading central counterparty clearing providers, which offers 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. Further information about CME Group (NASDAQ: CME) and its products can be found at www.cmegroup.com

CME-G

SOURCE CME Group