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CME Group forex volume down 24% in July 2012

by Michael Greenberg
    CME Group forex volume down 24% in July 2012
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    CME's Forex volumes kept their downward trend in July 2012 dropping as much as 24% comparing to June 2012 and 9.5% comparing to July 2011. Some forex brokers however cautiously report slight growth in volumes since Q1.

    CME Group, the world's leading and most diverse derivatives marketplace, today announced that July 2012 volume averaged 10.4 million contracts per day, down 18 percent from July 2011. Total volume for July was more than 218 million contracts, of which 85 percent was traded electronically.

    In July 2012, CME Group interest rate volume averaged 3.9 million contracts per day, down 37 percent from July 2011. Treasury futures volume averaged 1.7 million contracts per day, while Treasury options volume averaged 278,000 contracts per day. Eurodollar futures volume averaged 1.3 million contracts per day, while Eurodollar options volume averaged 555,000 contracts per day.

    CME Group equity index volume in July 2012 averaged 2.5 million contracts per day, down 14 percent from the same period last year. CME Group foreign Exchange (FX) volume averaged 801,000 contracts per day, down 9 percent from July last year, reflecting average daily notional value of $99 billion.

    CME Group energy volume averaged 1.5 million contracts per day in July 2012, up 6 percent compared with the same period in 2011. CME Group metals volume averaged 324,000 contracts per day, down 14 percent from the same period last year.

    CME Group agricultural commodities markets were particularly active in July with volume averaging 1.4 million contracts per day, up 46 percent compared with the prior-year period, as customers turned to CME Group to manage their risk associated with exceedingly dry and hot weather conditions in June and July. Contributing to this strong volume were two monthly average daily volume records in soybean and soybean meal futures and options contracts. In addition, agricultural commodities open interest reached a 2012 high of 8.8 million open contracts on July 26, which was up from 6.1 million open contracts at the beginning of January 2012 and up 23 percent versus the same period last year.

    Electronic volume averaged 8.8 million contracts per day in July 2012, down 18 percent compared with July 2011. Privately negotiated volume decreased 9 percent to 198,000 contracts per day from the prior July. Average daily volume cleared through CME ClearPort was 330,000 contracts in July 2012, down 6 percent compared with July 2011. Open outcry volume averaged 1.1 million contracts per day, down 21 percent versus the prior-year period.

    MONTHLY AVERAGE DAILY VOLUME (ADV)

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    .tableizer-table th {background-color: #104E8B; color: #FFF; font-weight: bold;}

    Jul-12Jul-11
    Trading Days 2120
    PRODUCT LINE Jul-12Jul-11 Percent Change
    Interest Rates 3,8866,121-37%
    Equity Indexes 2,4862,883-14%
    Foreign Exchange (FX) 801885-9%
    Energy (including CME ClearPort) 1,5401,4516%
    Agricultural Commodities 1,38495146%
    Metals (including CME ClearPort) 324377-14%
    Total 10,42112,669-18%
    VENUE Jul-12Jul-11 Percent Change
    Open outcry 1,0511,332-21%
    CME Globex 8,84110,768-18%
    Privately negotiated 198219-9%
    CME ClearPort (OTC) 330350-6%
    ROLLING THREE-MONTH AVERAGES
    Average Daily Volume (In thousands)
    3-Month Period Ending
    PRODUCT LINEJul-12Jun-12May-12Apr-12
    Interest Rates4,9845,1365,3335,323
    Equity Indexes2,9632,9192,6742,428
    Foreign Exchange (FX)934920882849
    Energy1,7161,7411,7151,816
    Agricultural Commodities1,3191,2881,1941,200
    Metals370372377373
    Total12,28612,37612,17411,989
    VENUEJul-12Jun-12May-12Apr-12
    Open outcry1,1361,1091,1791,226
    Electronic10,51210,59510,30710,033
    Privately negotiated231238232232
    CME ClearPort (OTC)408434456498
    Average Rate Per Contract (In dollars)
    3-Month Period Ending
    PRODUCT LINEJun-12May-12Apr-12Mar-12
    Interest Rates0.4850.4860.4840.475
    Equity Indexes0.6740.6870.6910.692
    Foreign Exchange (FX)0.8070.8210.8350.841
    Energy1.4961.5021.5071.517
    Agricultural Commodities1.2641.2471.2321.216
    Metals1.6491.6491.6481.647
    Total0.8120.8080.8170.811
    VENUEJun-12May-12Apr-12Mar-12
    Exchange-Traded0.750.7470.7490.737
    CME ClearPort (OTC)2.512.3942.3812.388

    CME's Forex volumes kept their downward trend in July 2012 dropping as much as 24% comparing to June 2012 and 9.5% comparing to July 2011. Some forex brokers however cautiously report slight growth in volumes since Q1.

    CME Group, the world's leading and most diverse derivatives marketplace, today announced that July 2012 volume averaged 10.4 million contracts per day, down 18 percent from July 2011. Total volume for July was more than 218 million contracts, of which 85 percent was traded electronically.

    In July 2012, CME Group interest rate volume averaged 3.9 million contracts per day, down 37 percent from July 2011. Treasury futures volume averaged 1.7 million contracts per day, while Treasury options volume averaged 278,000 contracts per day. Eurodollar futures volume averaged 1.3 million contracts per day, while Eurodollar options volume averaged 555,000 contracts per day.

    CME Group equity index volume in July 2012 averaged 2.5 million contracts per day, down 14 percent from the same period last year. CME Group foreign Exchange (FX) volume averaged 801,000 contracts per day, down 9 percent from July last year, reflecting average daily notional value of $99 billion.

    CME Group energy volume averaged 1.5 million contracts per day in July 2012, up 6 percent compared with the same period in 2011. CME Group metals volume averaged 324,000 contracts per day, down 14 percent from the same period last year.

    CME Group agricultural commodities markets were particularly active in July with volume averaging 1.4 million contracts per day, up 46 percent compared with the prior-year period, as customers turned to CME Group to manage their risk associated with exceedingly dry and hot weather conditions in June and July. Contributing to this strong volume were two monthly average daily volume records in soybean and soybean meal futures and options contracts. In addition, agricultural commodities open interest reached a 2012 high of 8.8 million open contracts on July 26, which was up from 6.1 million open contracts at the beginning of January 2012 and up 23 percent versus the same period last year.

    Electronic volume averaged 8.8 million contracts per day in July 2012, down 18 percent compared with July 2011. Privately negotiated volume decreased 9 percent to 198,000 contracts per day from the prior July. Average daily volume cleared through CME ClearPort was 330,000 contracts in July 2012, down 6 percent compared with July 2011. Open outcry volume averaged 1.1 million contracts per day, down 21 percent versus the prior-year period.

    MONTHLY AVERAGE DAILY VOLUME (ADV)

    table.tableizer-table {border: 1px solid #CCC; font-family: Arial, Helvetica, sans-serif; font-size: 12px;} .tableizer-table td {padding: 4px; margin: 3px; border: 1px solid #ccc;}

    .tableizer-table th {background-color: #104E8B; color: #FFF; font-weight: bold;}

    Jul-12Jul-11
    Trading Days 2120
    PRODUCT LINE Jul-12Jul-11 Percent Change
    Interest Rates 3,8866,121-37%
    Equity Indexes 2,4862,883-14%
    Foreign Exchange (FX) 801885-9%
    Energy (including CME ClearPort) 1,5401,4516%
    Agricultural Commodities 1,38495146%
    Metals (including CME ClearPort) 324377-14%
    Total 10,42112,669-18%
    VENUE Jul-12Jul-11 Percent Change
    Open outcry 1,0511,332-21%
    CME Globex 8,84110,768-18%
    Privately negotiated 198219-9%
    CME ClearPort (OTC) 330350-6%
    ROLLING THREE-MONTH AVERAGES
    Average Daily Volume (In thousands)
    3-Month Period Ending
    PRODUCT LINEJul-12Jun-12May-12Apr-12
    Interest Rates4,9845,1365,3335,323
    Equity Indexes2,9632,9192,6742,428
    Foreign Exchange (FX)934920882849
    Energy1,7161,7411,7151,816
    Agricultural Commodities1,3191,2881,1941,200
    Metals370372377373
    Total12,28612,37612,17411,989
    VENUEJul-12Jun-12May-12Apr-12
    Open outcry1,1361,1091,1791,226
    Electronic10,51210,59510,30710,033
    Privately negotiated231238232232
    CME ClearPort (OTC)408434456498
    Average Rate Per Contract (In dollars)
    3-Month Period Ending
    PRODUCT LINEJun-12May-12Apr-12Mar-12
    Interest Rates0.4850.4860.4840.475
    Equity Indexes0.6740.6870.6910.692
    Foreign Exchange (FX)0.8070.8210.8350.841
    Energy1.4961.5021.5071.517
    Agricultural Commodities1.2641.2471.2321.216
    Metals1.6491.6491.6481.647
    Total0.8120.8080.8170.811
    VENUEJun-12May-12Apr-12Mar-12
    Exchange-Traded0.750.7470.7490.737
    CME ClearPort (OTC)2.512.3942.3812.388
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