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