CME Currency Futures get Trading Boost in May, Daily Volume $116 billion

CME Group, the world’s leading and most diverse derivatives marketplace, announced that May 2012 volume averaged 13.2 million contracts per

CME Group, the world’s leading and most diverse derivatives marketplace, announced that May 2012 volume averaged 13.2 million contracts per day, down 2 percent from May 2011, but up 24 percent from April 2012. Total volume for May was more than 291 million contracts, of which 85 percent was traded electronically.

Open interest at the end of May 2012 reached 92 million contracts, up 17 percent from the end of 2011. Open interest growth year-to-date through May 2012 was especially strong in foreign exchange (FX), equity indexes and agricultural commodities, all up more than 30 percent.

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In May 2012, CME Group interest rate volume averaged 6.0 million contracts per day, down 8 percent from May 2011, but up 37 percent sequentially. Treasury futures volume averaged 3.1 million contracts per day, while Treasury options volume averaged 375,000 contracts per day. Eurodollar futures volume averaged 1.9 million contracts per day, while Eurodollar options volume averaged 644,000 contracts per day.

CME Group equity index volume in May 2012 averaged 2.9 million contracts per day, up 8 percent from the same period last year, and up 25 percent sequentially. CME Group FX volume averaged 947,000 contracts per day, down 3 percent from May last year, reflecting average daily notional value of $116 billion, but up 25 percent from April 2012.

CME Group energy volume averaged 1.8 million contracts per day in May 2012, down 1 percent compared with the same period in 2011, but up 12 percent from April of this year. CME Group agricultural commodities volume averaged 1.2 million contracts per day, up 21 percent compared with the prior-year period, but down 9 percent sequentially. CME Group metals volume averaged 404,000 contracts per day, down 13 percent from the same period last year, but up 23 percent from April 2012.

Electronic volume averaged 11.3 million contracts per day in May 2012, down 1 percent from May 2011, but up 24 percent sequentially. Privately negotiated volume increased 16 percent to 225,000 contracts per day from the prior May, and rose 3 percent compared with April 2012. Average daily volume cleared through CME ClearPort was 489,000 contracts in May 2012, up 11 percent compared with May 2011, and up 19 percent sequentially. Open outcry volume averaged 1.2 million contracts per day, down 11 percent versus the prior-year period, but up 26 percent compared with April 2012.

MONTHLY AVERAGE DAILY VOLUME (ADV)

Total Exchange ADV
(in thousands)

May 2012 May 2011
——– ——–
Trading Days 22 21

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PRODUCT LINE May 2012 May 2011 Percent Change
——– ——– ————–
Interest Rates 5,959 6,494 -8%
Equity Indexes 2,948 2,735 8%
Foreign Exchange (FX) 947 972 -3%
Energy (including CME
ClearPort) 1,813 1,826 -1%
Agricultural Commodities 1,175 967 21%
Metals (including CME
ClearPort) 404 463 -13%
— — —
Total 13,245 13,458 -2%
VENUE May 2012 May 2011 Percent Change
——– ——– ————–
Open outcry 1,224 1,369 -11%
CME Globex 11,308 11,455 -1%
Privately negotiated 225 194 16%
CME ClearPort (OTC) 489 440 11%

ROLLING THREE-MONTH AVERAGES

Average Daily Volume(In thousands)

3-Month Period Ending
PRODUCT
LINE May-12 Apr-12 Mar-12 Feb-12
Interest
Rates 5,333 5,323 5,613 4,888
Equity
Indexes 2,674 2,428 2,390 2,419
Foreign
Exchange
(FX) 882 849 846 771
Energy 1,715 1,816 1,952 1,854
Agricultural
Commodities 1,194 1,200 1,122 1,019
Metals 377 373 385 342
— — — —
Total 12,174 11,989 12,308 11,294

VENUE May-12 Apr-12 Mar-12 Feb-12
Open
outcry 1,179 1,226 1,348 1,196
Electronic 10,307 10,033 10,177 9,364
Privately
negotiated 232 232 229 202
CME
ClearPort
(OTC) 456 498 554 531

AverageRate Per Contract(In dollars)

3-Month Period Ending
PRODUCT
LINE Apr-12 Mar-12 Feb-12 Jan-12
Interest
Rates 0.484 0.475 0.480 0.481
Equity
Indexes 0.691 0.692 0.691 0.697
Foreign
Exchange
(FX) 0.835 0.841 0.837 0.841
Energy 1.507 1.517 1.544 1.547
Agricultural
Commodities 1.232 1.216 1.206 1.223
Metals 1.648 1.647 1.639 1.697
—– —– —– —–
Total 0.817 0.811 0.825 0.820

VENUE Apr-12 Mar-12 Feb-12 Jan-12
Exchange-
Traded 0.749 0.737 0.746 0.750
CME
ClearPort
(OTC) 2.381 2.388 2.424 2.330

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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