CME Group shares sunk to their lowest level in June after the
exchange reported that interest rate volumes plunged during the
month, pushing overall average daily volume down 4%.
CME interest rate daily volume slid 17% from a year earlier
to 6.46 million contracts, while overall daily volume averaged
12.36 million contracts. For the second quarter, interest rate
complex volumes fell 3% to 6.46 million per day. Interest rate
daily volumes fell each month from March through June
– from 8.2 million in March, 7.3 million in April, 6.7
million in May and 6.4 million in June.
The trend reflects the ongoing credit squeeze among large
institutions but the firm counters that CME interest rate
volume for the first half of the year is up 10% from the
previous year, with an average daily volume of 7.3 million
CME spokeswoman Pamela Plehn adds that the CME interest rate
complex covers the whole yield curve, which helps when various
contracts are down. The 30-day Fed Funds futures and options
had combined daily volumes of 131,803 in June, up 94% from June
2007. She adds that CME is also seeing traction in its five-
and 10-year interest rate swaps futures.
Overall CME volume for the first half was up 19% from a year
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