CME reports slow April 2012, fx volume down 5%

Lack of volatility is taking its toll on brokers and exchanges alike. Most fx brokers are reporting almost 6 slow

Lack of volatility is taking its toll on brokers and exchanges alike. Most fx brokers are reporting almost 6 slow consecutive months now with reduced volatility and hence profitability. CME, world’s largest fx exchange, too reports a downward trend transacting 5% less fx volume in April 2012 than in April 2011.

CHICAGO, May 2, 2012 /PRNewswire/ — CME Group, the world’s leading and most diverse derivatives marketplace, today announced that April 2012 volume averaged 10.7 million contracts per day, down 12 percent from April 2011. Total volume for April was more than 225 million contracts, of which 85 percent was traded electronically.

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Open interest at the end of April 2012 reached 91 million contracts, up 16 percent from the end of 2011. Open interest growth year-to-date through April 2012 was especially strong in agricultural commodities and interest rates, both up more than 25 percent, as well as equity indexes, foreign exchange (FX) and metals, each up more than 15 percent.

In April 2012, CME Group interest rate volume averaged 4.4 million contracts per day, down 24 percent from April 2011. Treasury futures volume averaged 1.9 million contracts per day, while Treasury options volume averaged 346,000 contracts per day. Eurodollar futures volume averaged 1.6 million contracts per day, while Eurodollar options volume averaged 494,000 contracts per day.

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CME Group equity index volume in April 2012 averaged 2.4 million contracts per day, up 6 percent from the same period last year. CME Group foreign exchange (FX) volume averaged 759,000 contracts per day, down 5 percent from April last year, reflecting average daily notional value of $96 billion.

CME Group energy volume averaged 1.6 million contracts per day in April 2012, down 4 percent compared with the same period in 2011. CME Group agricultural commodities volume averaged 1.3 million contracts per day, up 1 percent compared with the prior-year period. CME Group metals volume averaged 329,000 contracts per day, down 23 percent compared with the same period last year.

Electronic volume averaged 9.1 million contracts per day in April 2012, down 10 percent from April 2011. Privately negotiated volume decreased 8 percent to 219,000 contracts per day from the prior April. Average daily volume cleared through CME ClearPort was 412,000 contracts in April 2012, down 7 percent compared with April 2011. Open outcry volume averaged 969,000 contracts per day, down 28 percent versus the prior-year period.

 

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MONTHLY AVERAGE DAILY VOLUME (ADV)    
     
Total Exchange ADV (in thousands)    
     
 Apr-12Apr-11  
Trading Days2120  
     
PRODUCT LINEApr-12Apr-11 Percent Change 
Interest Rates4,3515,734-24% 
Equity Indexes2,3502,2246% 
Foreign Exchange (FX)759796-5% 
Energy (including CME ClearPort)1,6131,679-4% 
Agricultural Commodities1,2931,2841% 
Metals (including CME ClearPort)329424-23% 
 Total10,69412,143-12% 
     
     
  Apr 2012 Apr 2011 Percent Change 
VENUE    
Open outcry9691,337-28% 
CME Globex9,09510,125-10% 
Privately negotiated219237-8% 
CME ClearPort (OTC)412444-7% 
ROLLING THREE-MONTH AVERAGES    
     
Average Daily Volume (In thousands)    
     
 3-Month Period Ending   
PRODUCT LINEApr-12Mar-12Feb-12Jan-12
Interest Rates5,3235,6134,8884,858
Equity Indexes2,4282,3902,4192,751
Foreign Exchange (FX)849846771760
Energy1,8161,9521,8541,749
Agricultural Commodities1,2001,1221,019995
Metals373385342335
 Total11,98912,30811,29411,449
     
VENUEApr-12Mar-12Feb-12Jan-12
Open outcry1,2261,3481,1961,215
Electronic10,03310,1779,3649,524
Privately negotiated232229202202
CME ClearPort (OTC)498554531507
     
Average Rate Per Contract (In dollars)    
     
 3-Month Period Ending   
PRODUCT LINEMar-12Feb-12Jan-12Dec-11
Interest Rates0.4750.480.4810.48
Equity Indexes0.6920.6910.6970.705
Foreign Exchange (FX)0.8410.8370.8410.828
Energy1.5171.5441.5471.507
Agricultural Commodities1.2161.2061.2231.23
Metals1.6471.6391.6971.706
 Total0.8110.8250.820.811
     
VENUEMar-12Feb-12Jan-12Dec-11
Exchange-Traded0.7370.7460.750.748
CME ClearPort (OTC)2.3882.4242.332.29
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