CME Group, the world’s leading derivatives marketplace, announced that September 2012 volume averaged 11.9 million contracts per day, down 15 percent from September 2011, but up 16 percent compared with August 2012. Total volume for September 2012 was more than 227 million contracts, of which a record 87 percent was traded electronically.
In September 2012, CME Group interest rate volume averaged 5.0 million contracts per day, down 6 percent from September 2011, but up 6 percent sequentially. Treasury futures volume averaged 2.1 million contracts per day, down 10 percent compared with the same period a year ago, and down 12 percent sequentially. Treasury options volume averaged 365,000 contracts per day, up 27 percent from September 2011, and up 5 percent sequentially. Eurodollar futures volume averaged 2.0 million contracts per day, up 6 percent from September 2011, and up 32 percent sequentially. Eurodollar options volume averaged 505,000 contracts per day, down 32 percent from September last year, but up 22 percent compared with August 2012. Despite the prolonged zero interest rate environment which has impacted volumes of shorter duration Eurodollar futures, CME Group set monthly records in fourth- and fifth-year Eurodollar futures in September, averaging 235,000 and 91,000 contracts per day, respectively.
CME Group equity index volume in September 2012 averaged 2.8 million contracts per day, down 37 percent from the same period last year, but up 40 percent sequentially. CME Group foreign exchange (FX) volume averaged 1.0 million contracts per day, down 4 percent from September 2011, but up 42 percent versus August 2012.
CME Group energy volume averaged 1.7 million contracts per day in September 2012, down 1 percent compared with the same period in 2011, but up 6 percent sequentially. CME Group metals volume averaged 374,000 contracts per day, down 18 percent from the same period last year, but up 29 percent sequentially. CME Group agricultural commodities volume in September 2012 averaged 1.1 million contracts per day, down 2 percent compared with the prior-year period, but up 4 percent compared with August 2012.
Electronic volume averaged 10.3 million contracts per day in September 2012, down 13 percent compared with September 2011, but up 17 percent sequentially. Privately negotiated volume increased 4 percent to 248,000 contracts per day from the prior September, and increased 34 percent from August 2012. Average daily volume cleared through CME ClearPort was 370,000 contracts in September 2012, down 15 percent compared with September 2011, and down 1 percent sequentially. Open outcry volume averaged 980,000 contracts per day, down 31 percent versus the prior-year period, but up 7 percent from August 2012.
