Derivatives exchange CME Group averaged 11.9 million contracts per day in September, down 15% from September 2011 but up 16% compared with August 2012. Total volume for September 2012 was more than 227 million contracts, of which 87% was traded electronically.
"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," said the exchange in a statement.
Treasury futures volume averaged 2.1 million contracts per day, down 10% compared with the same period a year ago, and down 12% sequentially; while treasury options volume averaged 365,000 contracts per day, up 27% from September 2011 and up 5% sequentially.
Eurodollar futures volume averaged two million contracts per day, up 6% from September 2011 and up 32% sequentially; and Eurodollar options volume averaged 505,000 contracts per day, down 32% from September last year but up 22% compared with August 2012.
CME Group also reported that interest rate volume averaged five million contracts per day, down 6% from September 2011 but up 6% sequentially; while equity index volume averaged 2.8m contracts per day, down 37% from the same period last year but up 40% sequentially. In the meantime, foreign exchange volume averaged one million contracts per day, down 4% from September 2011 but up 42% versus August 2012.
The derivatives exchange said that its electronic volume averaged 10.3m contracts per day in September 2012, down 13% compared with September 2011 but up 17% sequentially.