CME Group Volume Averaged 16.9 Million Contracts per Day in June 2013, Up 29 Percent from June 2012
Interest rate average daily volume up 70 percent in June
– Record metals average daily volume up 27 percent in second quarter
– Record foreign exchange average daily volume up 13 percent in second quarter
– Energy open interest record set in both WTI and Brent futures during June
– OTC cleared interest rate swaps of $66 billion per day in June, up 64 percent from May
CME Group, the world’s leading and most diverse derivatives marketplace, today announced that June 2013 volume averaged 16.9 million contracts per day, up 29 percent compared with June 2012, and up 15 percent sequentially. Total volume for June 2013 was more than 339 million contracts, of which 86 percent was traded electronically.
CME Group interest rate volume averaged 8.6 million contracts per day in June, up 70 percent from June 2012, and the highest monthly average daily volume since January 2008. Treasury futures volume averaged 3.3 million contracts per day, up 42 percent compared with the same period a year ago. Treasury options volume averaged a record 811,000 contracts per day, up 164 percent from June 2012. Eurodollar futures volume averaged 3.5 million contracts per day, up 91 percent from the same period a year ago, including monthly records on years three through five in Eurodollars futures. Eurodollar options volume averaged 977,000 contracts per day, up 66 percent from June last year, which included a monthly record in Eurodollar Midcurve options.
CME Group foreign exchange (FX) volume averaged 1.2 million contracts per day, up 15 percent from June 2012, and represented $146 billion of notional value per day. This included a monthly average daily volume record in Japanese Yen futures and options, and several other currency pairs.
CME Group equity index volume in June 2013 averaged 3.8 million contracts per day, up 10 percent from the same period last year, driven by a monthly average daily volume record in the Nikkei 225 Yen futures.
In June 2013, CME Group metals volume averaged 435,000 contracts per day, up 14 percent from June 2012. CME Group energy volume averaged 1.7 million contracts per day in June 2013, down 3 percent compared with the prior June, while WTI and Brent futures open interest records were set. CME Group agricultural commodities volume in June 2013 averaged 1.2 million contracts per day, down 18 percent compared with the prior-year period, despite a quarterly average daily volume record in Soybean Meal futures.
In June 2013, CME Group cleared an average $66 billion a day of notional value of OTC interest rate swaps, up 64 percent from $40 billion a day in May. OTC IRS open interest increased 45 percent to $3.0 trillion, as 187 market participants cleared trades at CME Group in June.
Second-quarter 2013 volume averaged 14.3 million contracts per day, up 16 percent from second-quarter 2012. The main highlights included quarterly records in the FX and Metals products lines. Additional quarterly records included 10-year Treasury note futures, Eurodollar futures years three through five, Copper futures, Soybean Meal futures, Nikkei 225 Yen futures, and Japanese Yen futures and options.
Note that the KCBT hard red winter wheat average daily volume is included within the CME Group rollup as of April 1, 2013, but not historically prior to that date, following the acquisition which closed on November 30, 2012.
MONTHLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
( in thousands)
Jun 2013 Jun 2012
Trading Days 20 21
PRODUCT LINE Jun 2013 Jun 2012 Percent Change
Interest Rates 8,581 5,059 70%
Equity Indexes 3,810 3,458 10%
Foreign Exchange (FX) 1,213 1,054 15%
Energy (including CME ClearPort) 1,738 1,788 -3%
Agricultural Commodities 1,156 1,407 -18%
Metals (including CME ClearPort) 435 381 14%
Total 16,933 13,147 29%
VENUE Jun 2013 Jun 2012 Percent Change
Open outcry 1,508 1,128 34%
CME Globex 14,599 11,348 29%
Privately negotiated 420 271 55%
CME ClearPort (OTC) 406 400 2%
QUARTERLY AVERAGE DAILY VOLUME (ADV)
Total Exchange ADV
Q2 2013 Q2 2012
Trading Days 64 64
PRODUCT LINE Q2 2013 Q2 2012 Percent Change
Interest Rates 6,828 5,136 33%
Equity Indexes 3,079 2,919 5%
Foreign Exchange (FX) 1,042 920 13%
Energy (including CME ClearPort) 1,796 1,741 3%
Agricultural Commodities 1,106 1,288 -14%
Metals (including CME ClearPort) 471 372 27%
Total 14,323 12,376 16%
VENUE Q2 2013 Q2 2012 Percent Change
Open outcry 1,134 1,109 2%
CME Globex 12,457 10,595 18%
Privately negotiated 304 238 28%
CME ClearPort (OTC) 427 434 -2%
ROLLING THREE-MONTH AVERAGES
Average Daily Volume (In thousands)
3-Month Period Ending
PRODUCT LINE Jun-13 May-13 Apr-13 Mar-13
Interest Rates 6,828 5,779 5,270 5,656
Equity Indexes 3,079 2,844 2,821 2,608
Foreign Exchange (FX) 1,042 998 1,008 1,010
Energy 1,796 1,804 1,821 1,730
Agricultural Commodities 1,106 1,048 1,148 1,084
Metals 471 451 449 396
Total 14,323 12,924 12,516 12,484
VENUE Jun-13 May-13 Apr-13 Mar-13
Open outcry 1,134 924 837 885
Electronic 12,457 11,305 10,956 10,908
Privately negotiated 304 254 277 275
CME ClearPort (OTC) 427 442 447 416
Average Rate Per Contract (In dollars)
3-Month Period Ending
PRODUCT LINE May-13 Apr-13 Mar-13 Feb-13
Interest Rates 0.465 0.468 0.468 0.472
Equity Indexes 0.701 0.693 0.691 0.698
Foreign Exchange (FX) 0.854 0.868 0.848 0.850
Energy 1.278 1.319 1.390 1.449
Agricultural Commodities 1.360 1.337 1.318 1.305
Metals 1.630 1.631 1.656 1.664
Total 0.774 0.796 0.785 0.799
VENUE May-13 Apr-13 Mar-13 Feb-13
Exchange-Traded 0.731 0.747 0.730 0.742
CME ClearPort (OTC) 1.995 2.130 2.360 2.557
As the world’s leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex® electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the world’s leading central counterparty clearing providers, which offers clearing and settlement services across asset classes for exchange-traded contracts and over-the-counter derivatives transactions. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk.
CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. KCBOT, KCBT and Kansas City Board of Trade are trademarks of The Board of Trade of Kansas City, Missouri, Inc. All other trademarks are the property of their respective owners. Further information about CME Group (NASDAQ: CME) and its products can be found at www.cmegroup.com.
SOURCE: CME Group
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