5.4.2011
By Simon Miller
The Chicago Mercantial Exchange (CME) saw a 31% growth in March 2011 volume compared March last year.
CME's March volume averaged 14.4m contracts per day and total volume for March was 331m contracts, of which a record 85% was traded electronically. First-quarter 2011 volume averaged 13.8m contracts per day, up 19% from first-quarter 2010, representing the second highest quarterly volume ever.
In March 2011, CME interest rate volume averaged 6.6m contracts per day, up 33% compared with last March. Treasury futures volume averaged 2.7m contracts per day, up 48% compared with the same period in 2010, and Treasury options volume averaged 329,000 contracts per day, up 34%. Contributing to the Treasury options growth, the newly launched weekly Treasury options grew to 14,000 contracts per day on average in March, up 28% from February 2011. Eurodollar futures volume averaged 2.7m contracts per day, up 32% versus March 2010, and Eurodollar options volume averaged 767,000 contracts per day, up 8%.
CME equity index volume averaged 3.5m contracts per day, up 32% from March 2010. Foreign exchange volume averaged 1.0m contracts per day, up 11% compared with the same period a year ago, reflecting average daily notional value of $134bn.
CME energy volume averaged 1.8m contracts per day, up 20% compared with March 2010. Agricultural commodities volume averaged a record 1.1m contracts per day, up 60% compared with the prior March. Metals volume averaged 366,000 contracts per day, up 24% compared with the same period last year.
Electronic volume averaged 12.2m contracts per day, up 34% from the prior March, while privately negotiated volume increased 33%, to 234,000 contracts per day. Average daily volume cleared through CME ClearPort was 493,000 contracts for March 2011, up 11% compared with March 2010. Highlighting that commercial grain market participants are increasingly using CME cleared OTC products as part of their risk management toolkit, Corn Calendar Swaps volume reached a daily record of 11,710 contracts on the last day of the month, surpassing the previous record of 3,331 contracts set on 12 January 2011. Open outcry volume averaged 1.4m contracts per day in March 2011, up 12% versus the prior March.
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