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CME announces Q1 2012 results - fx volume was lower however improved in March

by Michael Greenberg
    CME announces Q1 2012 results - fx volume was lower however improved in March
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    CME Group, the world's leading and most diverse derivatives marketplace, today announced that first-quarter 2012 volume averaged 12.3 million contracts per day, up 5 percent from fourth-quarter 2011, but down 11 percent from first-quarter 2011 – which posted exceptionally strong average daily volume due to the impact of significant unrest in the Middle East and a natural disaster in Japan within the quarter. March 2012 volume averaged 12.5 million contracts per day, down 13 percent from March 2011. Total volume for March was more than 275 million contracts, of which 84 percent was traded electronically.

    Open interest at the end of March 2012 reached 89.7 million contracts, up 15 percent from the end of 2011. This open interest growth year-to-date through March 2012 compares with 9 percent through March 2011. Open interest growth year-to-date through March 2012 was especially strong in agricultural commodities at 28 percent, interest rates at 20 percent, and equity indexes at 19 percent.

    In first-quarter 2012, CME Group interest rate volume averaged 5.6 million contracts per day, down 13 percent from first-quarter 2011, but up 19 percent sequentially. Treasury futures volume averaged 2.4 million contracts per day, down 14 percent compared with the same period a year ago, but up 9 percent sequentially. Treasury options volume averaged 360,000 contracts per day, up 11 percent from first-quarter 2011, and up 33 percent sequentially. Eurodollar futures volume averaged 2.0 million contracts per day, down 19 percent from first-quarter 2011, but up 25 percent sequentially. Eurodollar options volume averaged 811,000 contracts per day, up 6 percent from the prior first-quarter, and up 27 percent sequentially.

    CME Group equity index volume averaged 2.4 million contracts per day, down 18 percent from first-quarter 2011, and down 24 percent sequentially. CME Group foreign Exchange (FX) volume averaged 846,000 contracts per day, down 12 percent from first-quarter last year, but up 3 percent sequentially, reflecting average daily notional value of $108 billion.

    CME Group energy volume averaged 2.0 million contracts per day in first-quarter 2012, down 1 percent compared with the same period in 2011, but up 15 percent sequentially. CME Group agricultural commodities volume averaged 1.1 million contracts per day, down 3 percent compared with the prior-year period, but up 12 percent compared with fourth-quarter 2011. CME Group metals volume averaged 385,000 contracts per day, up 2 percent compared with the same period last year, and up 22 percent sequentially.

    Electronic volume averaged 10.2 million contracts per day in first-quarter 2012, down 12 percent from first-quarter 2011, but up 3 percent from fourth-quarter 2011. Privately negotiated volume increased 2 percent to 229,000 contracts per day from the prior first-quarter, and increased 12 percent sequentially. Average daily volume cleared through CME ClearPort was 554,000 contracts in first-quarter 2012, up 11 percent compared with first-quarter 2011, and up 16 percent compared with fourth-quarter 2011. Open outcry volume averaged 1.3 million contracts per day, down 8 percent versus the prior-year period, and up 15 percent sequentially.

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    Total Exchange ADV
    ( in thousands)
    Mar-12Mar-11
    Trading Days2223
    PRODUCT LINEMar-12Mar-11 Percent Change
    Interest Rates5,6436,611-15%
    Equity Indexes2,7103,504-23%
    Foreign Exchange (FX)9361,003-7%
    Energy (including CME ClearPort)1,7141,794-4%
    Agricultural Commodities1,1181,1081%
    Metals (including CME ClearPort)3953668%
    Total12,51614,385-13%
    VENUE Mar 2012 Mar 2011 Percent Change
    Open outcry1,3351,445-8%
    CME Globex10,46412,212-14%
    Privately negotiated2522347%
    CME ClearPort (OTC)464493-6%
    QUARTERLY AVERAGE DAILY VOLUME (ADV)
    Total Exchange ADV
    ( in thousands)
    1Q 20121Q 2011
    Trading Days6262
    PRODUCT LINE1Q 20121Q 2011Percent Change
    Interest Rates5,6136,424-13%
    Equity Indexes2,3902,906-18%
    Foreign Exchange (FX)846961-12%
    Energy (including CME ClearPort)1,9521,973-1%
    Agricultural Commodities1,1221,154-3%
    Metals (including CME ClearPort)3853762%
    Total12,30813,794-11%
    VENUE1Q 20121Q 2011Percent Change
    Open outcry1,3481,467-8%
    CME Globex10,17711,605-12%
    Privately negotiated2292242%
    CME ClearPort (OTC)55449811%
    ROLLING THREE-MONTH AVERAGES
    Average Daily Volume (In thousands)
    3-Month Period Ending
    PRODUCT LINEMar-12Feb-12Jan-12Dec-11
    Interest Rates5,6134,8884,8584,729
    Equity Indexes2,3902,4192,7513,147
    Foreign Exchange (FX)846771760820
    Energy1,9521,8541,7491,704
    Agricultural Commodities1,1221,0199951,004
    Metals385342335315
    Total12,30811,29411,44911,719
    VENUEMar-12Feb-12Jan-12Dec-11
    Open outcry1,3481,1961,2151,173
    Electronic10,1779,3649,5249,864
    Privately negotiated229202202204
    CME ClearPort (OTC)554531507479
    Average Rate Per Contract (In dollars)
    3-Month Period Ending
    PRODUCT LINEFeb-12Jan-12Dec-11Nov-11
    Interest Rates0.480.4810.480.473
    Equity Indexes0.6910.6970.7050.708
    Foreign Exchange (FX)0.8370.8410.8280.814
    Energy1.5441.5471.5071.497
    Agricultural Commodities1.2061.2231.231.239
    Metals1.6391.6971.7061.736
    Total0.8250.820.8110.802
    VENUEFeb-12Jan-12Dec-11Nov-11
    Exchange-Traded0.7460.750.7480.742
    CME ClearPort (OTC)2.4242.332.292.352

    CME Group, the world's leading and most diverse derivatives marketplace, today announced that first-quarter 2012 volume averaged 12.3 million contracts per day, up 5 percent from fourth-quarter 2011, but down 11 percent from first-quarter 2011 – which posted exceptionally strong average daily volume due to the impact of significant unrest in the Middle East and a natural disaster in Japan within the quarter. March 2012 volume averaged 12.5 million contracts per day, down 13 percent from March 2011. Total volume for March was more than 275 million contracts, of which 84 percent was traded electronically.

    Open interest at the end of March 2012 reached 89.7 million contracts, up 15 percent from the end of 2011. This open interest growth year-to-date through March 2012 compares with 9 percent through March 2011. Open interest growth year-to-date through March 2012 was especially strong in agricultural commodities at 28 percent, interest rates at 20 percent, and equity indexes at 19 percent.

    In first-quarter 2012, CME Group interest rate volume averaged 5.6 million contracts per day, down 13 percent from first-quarter 2011, but up 19 percent sequentially. Treasury futures volume averaged 2.4 million contracts per day, down 14 percent compared with the same period a year ago, but up 9 percent sequentially. Treasury options volume averaged 360,000 contracts per day, up 11 percent from first-quarter 2011, and up 33 percent sequentially. Eurodollar futures volume averaged 2.0 million contracts per day, down 19 percent from first-quarter 2011, but up 25 percent sequentially. Eurodollar options volume averaged 811,000 contracts per day, up 6 percent from the prior first-quarter, and up 27 percent sequentially.

    CME Group equity index volume averaged 2.4 million contracts per day, down 18 percent from first-quarter 2011, and down 24 percent sequentially. CME Group foreign Exchange (FX) volume averaged 846,000 contracts per day, down 12 percent from first-quarter last year, but up 3 percent sequentially, reflecting average daily notional value of $108 billion.

    CME Group energy volume averaged 2.0 million contracts per day in first-quarter 2012, down 1 percent compared with the same period in 2011, but up 15 percent sequentially. CME Group agricultural commodities volume averaged 1.1 million contracts per day, down 3 percent compared with the prior-year period, but up 12 percent compared with fourth-quarter 2011. CME Group metals volume averaged 385,000 contracts per day, up 2 percent compared with the same period last year, and up 22 percent sequentially.

    Electronic volume averaged 10.2 million contracts per day in first-quarter 2012, down 12 percent from first-quarter 2011, but up 3 percent from fourth-quarter 2011. Privately negotiated volume increased 2 percent to 229,000 contracts per day from the prior first-quarter, and increased 12 percent sequentially. Average daily volume cleared through CME ClearPort was 554,000 contracts in first-quarter 2012, up 11 percent compared with first-quarter 2011, and up 16 percent compared with fourth-quarter 2011. Open outcry volume averaged 1.3 million contracts per day, down 8 percent versus the prior-year period, and up 15 percent sequentially.

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    Total Exchange ADV
    ( in thousands)
    Mar-12Mar-11
    Trading Days2223
    PRODUCT LINEMar-12Mar-11 Percent Change
    Interest Rates5,6436,611-15%
    Equity Indexes2,7103,504-23%
    Foreign Exchange (FX)9361,003-7%
    Energy (including CME ClearPort)1,7141,794-4%
    Agricultural Commodities1,1181,1081%
    Metals (including CME ClearPort)3953668%
    Total12,51614,385-13%
    VENUE Mar 2012 Mar 2011 Percent Change
    Open outcry1,3351,445-8%
    CME Globex10,46412,212-14%
    Privately negotiated2522347%
    CME ClearPort (OTC)464493-6%
    QUARTERLY AVERAGE DAILY VOLUME (ADV)
    Total Exchange ADV
    ( in thousands)
    1Q 20121Q 2011
    Trading Days6262
    PRODUCT LINE1Q 20121Q 2011Percent Change
    Interest Rates5,6136,424-13%
    Equity Indexes2,3902,906-18%
    Foreign Exchange (FX)846961-12%
    Energy (including CME ClearPort)1,9521,973-1%
    Agricultural Commodities1,1221,154-3%
    Metals (including CME ClearPort)3853762%
    Total12,30813,794-11%
    VENUE1Q 20121Q 2011Percent Change
    Open outcry1,3481,467-8%
    CME Globex10,17711,605-12%
    Privately negotiated2292242%
    CME ClearPort (OTC)55449811%
    ROLLING THREE-MONTH AVERAGES
    Average Daily Volume (In thousands)
    3-Month Period Ending
    PRODUCT LINEMar-12Feb-12Jan-12Dec-11
    Interest Rates5,6134,8884,8584,729
    Equity Indexes2,3902,4192,7513,147
    Foreign Exchange (FX)846771760820
    Energy1,9521,8541,7491,704
    Agricultural Commodities1,1221,0199951,004
    Metals385342335315
    Total12,30811,29411,44911,719
    VENUEMar-12Feb-12Jan-12Dec-11
    Open outcry1,3481,1961,2151,173
    Electronic10,1779,3649,5249,864
    Privately negotiated229202202204
    CME ClearPort (OTC)554531507479
    Average Rate Per Contract (In dollars)
    3-Month Period Ending
    PRODUCT LINEFeb-12Jan-12Dec-11Nov-11
    Interest Rates0.480.4810.480.473
    Equity Indexes0.6910.6970.7050.708
    Foreign Exchange (FX)0.8370.8410.8280.814
    Energy1.5441.5471.5071.497
    Agricultural Commodities1.2061.2231.231.239
    Metals1.6391.6971.7061.736
    Total0.8250.820.8110.802
    VENUEFeb-12Jan-12Dec-11Nov-11
    Exchange-Traded0.7460.750.7480.742
    CME ClearPort (OTC)2.4242.332.292.352
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