CME maintains FX volumes – Feb 2012

The worlds largest derivatives exchange has maintained its daily FX trade volumes after a sloppy December (2011) and January (2012).

The worlds largest derivatives exchange has maintained its daily FX trade volumes after a sloppy December (2011) and January (2012). FX volume stood at $110 billion for the month of February.

CME Group, the world’s leading and most diverse derivatives marketplace, today announced that February 2012 volume averaged 12.8 million contracts per day, down 13 percent from February 2011 – which posted exceptionally strong average daily volume due to the impact of significant unrest in the Middle East throughout the month – but up 10 percent from January 2012. Total volume for February was 255 million contracts, of which 83 percent was traded electronically.

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Open interest at the end of February 2012 reached 91.8 million contracts, up 17 percent from the end of 2011. This open interest growth year-to-date in 2012 through February compares with 11 percent to date in 2011 through February. Open interest growth year-to-date through February 2012 was especially strong in interest rates at 30 percent, equity indexes at 22 percent and foreign exchange (FX) at 20 percent.
In February 2012, CME Group interest rate volume averaged 6.0 million contracts per day, down 19 percent from February 2011, but up 15 percent sequentially. Treasury futures volume averaged 2.9 million contracts per day, down 13 percent compared with same period a year ago, but up 50 percent sequentially. Treasury options volume averaged 322,000 contracts per day, down 13 percent from February 2011, but up 4 percent sequentially. Eurodollar futures volume averaged 1.9 million contracts per day, down 29 percent from February 2011. Eurodollar options volume averaged 815,000 contracts per day, down 8 percent from the prior February.

CME Group equity index volume averaged 2.2 million contracts per day, down 14 percent from February 2011. CME Group foreign exchange (FX) volume averaged 848,000 contracts per day, down 9 percent from February last year, but up 14 percent sequentially, reflecting average daily notional value of $110 billion.

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CME Group energy volume averaged 2.1 million contracts per day, in line with February 2011, and up 6 percent sequentially. CME Group agricultural commodities volume averaged 1.2 million contracts per day, down 9 percent compared with the prior year period, but up 13 percent compared with January 2012. CME Group metals volume averaged 395,000 contracts per day, up 12 percent compared with the same period last year, and up 8 percent sequentially.

Electronic volume averaged 10.5 million contracts per day in February 2012,down 13 percent from February 2011, but up 11 percent sequentially. Privately negotiated volume decreased 12 percent to 225,000 contracts per day, from the prior February. Average daily volume cleared through CME ClearPort was 624,000 contracts in February 2012, up 14 percent compared with February 2011, and up 7 percent compared with January 2012. Open outcry volume averaged 1.4 million contracts per day, down 20 percent versus the prior-year period, and up 3 percent sequentially.

CME Group has been positioning it self as the go to venue for on exchange FX products, with a diverse offering of minors ad exotics the exchange is working hard to become a leader in Yuan trading.
Currency futures have taken a back seat against margin FX. After CME daily trade volume for on exchange currency futures averages $10 billion a day.

Forexmagnates team complied a detailed analysis of institutional trading venue daily volumes, available in the latest quarterly report.

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