CME Group announced that March volume averaged 11.0 million contracts per day, up 2% from March 2009. Total volume was 253 million contracts for March, of which 83% was traded electronically.
Electronic volume averaged 9.1 million contracts per day, up 4% from the prior March. Average daily volume cleared through CME ClearPort was 446,000 contracts for March 2010, down 23 percent compared with March 2009. The rolling three-month ClearPort rate per contract through February was up 36 percent, even though the rolling three-month ClearPort average daily volume was down 26 percent in the same period due to a product mix shift and the wide variance in rate per contract for individual CME ClearPort products.
In March 2010, CME Group interest rate volume averaged 5.0 million contracts per day, up 30 percent compared with the prior March. Eurodollar futures volume averaged 2.1 million contracts per day, up 29 percent versus March 2009, while Eurodollar options volume averaged 713,000 contracts per day, up 30 percent. Treasury futures volume averaged 1.8 million contracts per day, up 36 percent compared with the same period in 2009, and Treasury options volume averaged 246,000 contracts per day, down 8 percent.
CME Group equity index volume averaged 2.7 million contracts per day, down 35 percent from March 2009. CME Group foreign exchange (FX) volume averaged 907,000 contracts per day, up 66 percent compared with the same period a year ago, reflecting average daily notional value of $116 billion.
CME Group energy volume averaged 1.5 million contracts per day, up 3 percent compared with March 2009. CME Group commodities and alternative investments volume averaged 692,000 contracts per day, up 11 percent from the prior March. CME Group metals volume averaged 296,000 contracts per day, up 38 percent compared with the same period last year.
Average daily volume and rate per contract figures from 2008 have been revised due to standardizing NYMEX reporting conventions to follow CME’s treatment of post-trade transactions such as exercises, assignments and deliveries.
All references to CME Group volume and rate per contract information in the text of this document exclude our non-traditional TRAKRS products, for which CME Group receives significantly lower clearing fees than other CME Group products, HuRLO products and credit default swap clearing.
L.D.