CME Group forex volume down 24% in July 2012

CME’s forex volumes kept their downward trend in July 2012 dropping as much as 24% comparing to June 2012 and

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.

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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.

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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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 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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