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CME Group Products

December 9, 2010

© 2010 CME Group. All rights reserved 2

Contents

CME Group Introduction

CME Stock Index Products Review

Market Depth and Liquidity

Hedging and Beta Adjustments

Fair Value

Index Futures vs ETFs

Index Spreading: S&P 500 vs. DJIA

Review of Statistics for:

FX Products

Agricultural Products

Energy Products

Metals Products

CME Group Options Contract Volumes

© 2010 CME Group. All rights reserved

0

2

4

6

8

10

12

14

19

72

19

74

19

76

19

78

19

80

19

82

19

84

19

86

19

88

19

90

19

92

19

94

19

96

19

98

20

00

20

02

20

04

20

06

20

08

20

10

TD

Nearly 40 Years of 15 Percent Annual Growth

3

(round turns in millions)

CAGR

2000 - 2009

18%

Pro Forma

Average Daily Volume

*compared with same period in 2009

2010TD

12.4M

Up 21%*

CAGR

1972 – 2000

14%


Diverse Product Portfolio

Other

Revenue

4%

Interest

Rates

23%

Quote Fees

13%

Metals

5%

Energy

23%

Commodities/ Alt.

Investments(1)

9%

Foreign

Exchange

6%

Equities

18%

1. Commodities / Alt Investments includes agricultural commodities (grains, dairy, livestock, forest, NYMEX softs, indexes), weather and real estate

Q1 2010 Revenue Mix

Other

Revenue

5%

Interest

Rates

19%

Quote Fees

13%

Metals

4%

Energy

23%

Commodities/ Alt.

Investments(1)

7%

Foreign

Exchange

4%

Equities

24%

Q1 2009 Revenue Mix


Diverse Product Portfolio and Customers

Other

Revenue

4%

Interest

Rates

23%

Quote Fees

13%

Metals

5%

Energy

23%

Commodities/ Alt.

Investments(1)

9%

Foreign

Exchange

6%

Equities

18%

1. Commodities / Alt Investments includes agri.commodities (grains, dairy, livestock, forest, NYMEX softs, indexes), weather and real estate

2. Data now includes all products and enhanced categorization. Historically , this data only represented legacy CME/CBOT produc ts.

Q1 2010 Revenue Mix Customer Segment Est2

15% 14% 13% 14%

2% 2% 2% 2%

7% 9% 9% 9%

44% 46% 45% 46%

11% 10% 10% 9%

21% 19% 20% 20%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Q2 2009 Q3 2009 Q4 2009 Q1 2010

Prop Trading Firm

Hedge Fund

Nonmember Customer

Individual Member

Corporate

Bank / Dealer


0

20

40

60

80

100

120

140

0

50

100

150

200

250

2004 2005 2006 2007 2008 2009 2010

Average Order Volume Average Round Trip Time

6

We Continue to Enhance Our Technology

Expanded ServicesRecent Speed Improvements

Estimated Avg Futures

Round Trip Time (ms)*

Average Daily

Total Order Volume

(millions)

5ms

127ms

*Response times for match engine only

New state-of-the-art data center, will go

live in 2010, providing

• Flexibility for future growth

• Platform for performance

improvements

Launching Co-Location services in 2012

Reduced futures response time by 20% from

Q1 2009 to Q1 2010

0

20

40

60

80

100

120

140

0

50

100

150

200

250

2004 2005 2006 2007 2008 2009 2010

Average Order Volume Average Round Trip Time

Stock Index Products


Main E-Mini Contracts

E-mini S&P 500 E-mini Nasdaq-100E-mini S&P

MidCap 400E-mini DJIA ($5)

Contact Multiplier$50 x S&P 500

Index

$20 x Nasdaq-100

Index

$100 x S&P

MidCap 400

$5 x Dow Jones

Industrial Avg

Minimum Price

Fluctuation (Tick)

0.25 index points

($12.50)

0.50 index points

($10.00)

0.10 index points

($10.00)

1.00 index points

($5.00)

Price Limits Limits at 5%, 10%, 15%, 20% movesLimits at 10%,

20%, 30% moves

Contract Months 1st 5 months in March quarterly cycle

1st 4 months in

March quarterly

cycle

Trading Hours Mon-Thu: 5:00 pm-3:15 and 3:30-4:30; Sun: 5:00 pm-3:15

Trading Ends at 8:30 am on 3rd Friday of month

Cash Settlement Vs. Special Open Quote (SOQ)

Position Limits or

Accountability

20,000 standard

S&P contracts

10,000 standard

Nasdaq contracts

5,000 standard

MidCap contracts50,000 contracts

Ticker “ES” “NQ” “ER” “YM”


Ticker

ADV

Contracts

ADV

$Notional

($millions)

Open

Interest

Contracts

O.I.

$Notional

($millions)

Index Close

29-Oct-'10

2010

YTD

Price

Return

20 Day Hist.

Volatility

S&P 500 E-mini S&P 500 ES 1,996,244 $118,104 2,692,418 $159,292 1,183.26 6.11% 11.54%

S&P 500 SP 14,131 $4,180 322,669 $95,450

S&P 500 Total 2,010,375 $122,284 3,015,087 $254,742

S&P 400 E-mini S&P MidCap 400 EMD 25,059 $2,078 107,222 $8,890 829.13 14.10% 13.39%

S&P MidCap 400 MD 111 $46 3,148 $1,305

S&P MIdCap 400 Total 25,170 $2,124 110,370 $10,195

S&P 600 E-mini S&P SmallCap 600 SMC 112 $4.18 186 $6.95 373.55 12.30% 16.92%

S&P SmallCap 600 Total 112 $4.18 186 $6.95

S&P Nifty E-mini S&P CNX Nifty EMF 30 $2 1 $0.06 6017.70 15.70% 16.26%

E-micro S&P CNX Nifty MNF 953 $11 321 $3.86

S&P Nifty Total 983 13 322 4

ND100 E-mini NASDAQ-100 NQ 297,570 $12,643 442,957 $18,821 2124.45 14.20% 14.82%

NASDAQ-100 ND 1,178 $250.26 24,878 $5,285

NASDAQ-100 Total 298,748 $12,894 467,835 $24,106

DJIA E-mini Dow $5 YM 127,061 $7,064 97,520 $5,421 11118.49 6.62% 10.80%

DJIA - $10 Dow DJ 465 $52 7,041 $783

DJIA Total 127,526 $7,115 104,561 $6,204

NK225 Nikkei 225 (US$) NK 8,722 $401 35,414 $1,629 9202.45 -12.74% 16.92%

Nikkei 225 (Yen) NIY 17,581 $809 47,801 $2,199

Nikkei 225 Total 26,303 $1,210 83,215 $3,829

EAFE E-mini MSCI EAFE EFE 3,528 $285 30,683 $2,480 1616.41 2.75% 15.82%

EM E-mini MSCI Emerging Mkts EMI 2,367 $131 33,936 $1,876 1105.75 12.76% 12.84%

Average Daily

Volume Open Interest

Oct 2010


0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

3,500,000

4,000,000

4,500,000

5,000,000

5,500,000

De

c-0

3

Fe

b-0

4

Ap

r-0

4

Ju

n-0

4

Au

g-0

4

Oct-0

4

De

c-0

4

Fe

b-0

5

Ap

r-0

5

Ju

n-0

5

Au

g-0

5

Oct-0

5

De

c-0

5

Fe

b-0

6

Ap

r-0

6

Ju

n-0

6

Au

g-0

6

Oct-0

6

De

c-0

6

Fe

b-0

7

Ap

r-0

7

Ju

n-0

7

Au

g-0

7

Oct-0

7

De

c-0

7

Fe

b-0

8

Ap

r-0

8

Ju

n-0

8

Au

g-0

8

Oct-0

8

De

c-0

8

Fe

b-0

9

Ap

r-0

9

Ju

n-0

9

Au

g-0

9

Oct-0

9

De

c-0

9

Fe

b-1

0

Ap

r-1

0

Ju

n-1

0

Au

g-1

0

Oct-1

0

E-mini Index Futures ADVE-mini DOW ($5) E-mini NASDAQ 100 E-mini S&P500


0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

90,000

100,000

110,000

120,000

130,000

Dec-0

3

Feb-0

4

Apr-

04

Jun-0

4

Aug-0

4

Oct-

04

Dec-0

4

Feb-0

5

Apr-

05

Jun-0

5

Aug-0

5

Oct-

05

Dec-0

5

Feb-0

6

Apr-

06

Jun-0

6

Aug-0

6

Oct-

06

Dec-0

6

Feb-0

7

Apr-

07

Jun-0

7

Aug-0

7

Oct-

07

Dec-0

7

Feb-0

8

Apr-

08

Jun-0

8

Aug-0

8

Oct-

08

Dec-0

8

Feb-0

9

Apr-

09

Jun-0

9

Aug-0

9

Oct-

09

Dec-0

9

Feb-1

0

Apr-

10

Jun-1

0

Aug-1

0

Oct-

10

Additional ADVs | Equity Index Futures Contracts

E-mini MSCI Emerging Mrkts E-mini MSCI EAFE Nikkei 225 - Yen

Nikkei 225 - USD E-mini S&P SmallCap 600 E-mini S&P MidCap 400


0

25,000

50,000

75,000

100,000

125,000

150,000

175,000

200,000

225,000

250,000

De

c-0

3

Fe

b-0

4

Ap

r-0

4

Ju

n-0

4

Au

g-0

4

Oct-0

4

De

c-0

4

Fe

b-0

5

Ap

r-0

5

Ju

n-0

5

Au

g-0

5

Oct-0

5

De

c-0

5

Fe

b-0

6

Ap

r-0

6

Ju

n-0

6

Au

g-0

6

Oct-0

6

De

c-0

6

Fe

b-0

7

Ap

r-0

7

Ju

n-0

7

Au

g-0

7

Oct-0

7

De

c-0

7

Fe

b-0

8

Ap

r-0

8

Ju

n-0

8

Au

g-0

8

Oct-0

8

De

c-0

8

Fe

b-0

9

Ap

r-0

9

Ju

n-0

9

Au

g-0

9

Oct-0

9

De

c-0

9

Fe

b-1

0

Ap

r-1

0

Ju

n-1

0

Au

g-1

0

Oct-1

0

Index Options ADV

E-mini Dow $5 E-mini NASDAQ-100 E-mini S&P 500 (with EOM and Weekly) S&P 500 (with EOM and Weekly)


0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

70.00%

80.00%

90.00%

100.00%D

ec-0

6

Feb-0

7

Apr-

07

Jun-0

7

Aug-0

7

Oct-

07

Dec-0

7

Feb-0

8

Apr-

08

Jun-0

8

Aug-0

8

Oct-

08

Dec-0

8

Feb-0

9

Apr-

09

Jun-0

9

Aug-0

9

Oct-

09

Dec-0

9

Feb-1

0

Apr-

10

Jun-1

0

Aug-1

0

Oct-

10

Historical Volatility

S&P 500 (20 Day) S&P 500 Options Call Implied Volatility (Delta 0.5)


0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

70.00%

80.00%

90.00%

100.00%O

ct-0

5

De

c-0

5

Fe

b-0

6

Ap

r-0

6

Ju

n-0

6

Au

g-0

6

Oct-0

6

De

c-0

6

Fe

b-0

7

Ap

r-0

7

Ju

n-0

7

Au

g-0

7

Oct-0

7

De

c-0

7

Fe

b-0

8

Ap

r-0

8

Ju

n-0

8

Au

g-0

8

Oct-0

8

De

c-0

8

Fe

b-0

9

Ap

r-0

9

Ju

n-0

9

Au

g-0

9

Oct-0

9

De

c-0

9

Fe

b-1

0

Ap

r-1

0

Ju

n-1

0

Au

g-1

0

Oct-1

0

20-Day Historical Volatility

DJIA NASDAQ-100


Development of Stock Index Markets

Market Width …

• Bid-ask spread in E-mini

S&P 500 futures for 500-

lot order averaged $12.51

in Sep-10

• Tick size = 0.25 index

points ($12.50)

15

0%

10%

20%

30%

40%

50%

60%

0

1

2

3

4

5

6

Mar-

08

Apr-

08

May-0

8Ju

n-0

8Ju

l-08

Aug-0

8Sep-0

8O

ct-

08

Nov-0

8D

ec-0

8Ja

n-0

9Feb-0

9M

ar-

09

Apr-

09

May-0

9Ju

n-0

9Ju

l-09

Aug-0

9Sep-0

9O

ct-

09

Nov-0

9D

ec-0

9Ja

n-1

0Feb-1

0M

ar-

10

Apr-

10

May-1

0Ju

n-1

0Ju

l-10

Aug-1

0Sep-1

0

CBO

E V

IX I

ndex

Bid

-Ask in $

s p

er

ticks (

$12.5

0)

E-Mini S&P 500 Market WidthLead Month on CME Globex RTH

S&P 500 VIX Index 50 Cnt Width100 Cnt Width 200 Cnt Width500 Cnt Width 1,000 Cnt Width



Market Depth

• Some 659 contracts

shown at top-of-

book for E-mini S&P

500 in Sep-10

16

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

3,500,000

4,000,000

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

10,000

Mar-

08

Apr-

08

May-0

8Ju

n-0

8Ju

l-08

Aug-0

8Sep-0

8O

ct-

08

Nov-0

8D

ec-0

8Ja

n-0

9Feb-0

9M

ar-

09

Apr-

09

May-0

9Ju

n-0

9Ju

l-09

Aug-0

9Sep-0

9O

ct-

09

Nov-0

9D

ec-0

9Ja

n-1

0Feb-1

0M

ar-

10

Apr-

10

May-1

0Ju

n-1

0Ju

l-10

Aug-1

0Sep-1

0

Avg D

aily V

olu

me

Depth

in C

ontr

acts

E-Mini S&P 500 Market DepthLead Month on CME Globex RTH

Top-of-Book Qty 2nd Level Qty 3rd Level Qty

4th Level Qty 5th Level Qty Avg Daily Volume



(8,000)

(6,000)

(4,000)

(2,000)

-

2,000

4,000

6,000

8,000

17:0

0

18:0

0

19:0

0

20:0

0

21:0

0

22:0

0

23:0

0

0:0

0

1:0

0

2:0

0

3:0

0

4:0

0

5:0

0

6:0

0

7:0

0

8:0

0

9:0

0

10:0

0

11:0

0

12:0

0

13:0

0

14:0

0

15:0

0

16:0

0

No. of

Contr

acts

Hour (Chicago Time)

E-mini S&P Futures Average Depth of Book (Sampled Oct-09)

Ask Qty 1 Ask Qty 2 Ask Qty 3 Ask Qty 4 Ask Qty 5

Bid Qty 1 Bid Qty 2 Bid Qty 3 Bid Qty 4 Bid Qty 5

17


Stock index hedge ratio …

• Where …

• Vstock may refer to value of a stock portfolio

• Vfutures refers to the value of a futures contract, e.g., in the case of E-

mini S&P 500 futures … Vfutures= $50 x Price

• Beta (b) refers to the weighted b of the stock portfolio

• HR represents the number of futures needed to immunize

portfolio from systematic risks

Hedge Ratio (HR) =Stock Value

(Vstock)

Futures Value

(Vfutures)x Beta (b)

Beta Adjustment or “Tilting”

18


• OUTLOOK: You believe market is overvalued and want to protect or

immunize portfolio from risk of loss

• December 2010 E-mini S&P 500 futures @ 1,187.00 on 11/29/10

Contract valued @ $59,350 (= $50 x 1,187.00)

• Cash Portfolio valued at U$20 million, with a Beta of 1.05

• Calculate appropriate hedge ratio …

• ACTION … Sell 354 futures

• Expectation of “locking-in” short-term rate of return

HR = (Vstock Vfutures ) x b

= ($20,000,000 $59,350 ) x 1.05

= 354 E-mini S&P 500 futures


19


• OUTLOOK: You anticipate a near-term advance in stocks and

wish to strategically increase your portfolio beta from 1.05 to 1.20

while maintaining current stock holdings

• Calculate appropriate hedge ratio …

• ACTION … BUY 51 futures

HR = (Vstock Vfutures ) x (Target b - Current b)

= ($20,000,000 $59,350) x (1.20 - 1.05)

= 51 E-mini S&P 500 futures


20


Defining a “portable alpha” strategy …

• Objective … outperform benchmark returns by adding “alpha”

• Risk that alpha strategy may not actually outperform LIBOR

• Active trading strategies or hedge funds often used to capture alpha

• Further risk that cost of capturing beta may be too high

• Futures or swaps often used passively to capture beta … this only works if

futures offer “cheap beta” … i.e., low tracking error and low transaction costs

Alpha

• Achieved thru active trading

• Goal to create returns > LIBOR

Beta

• Reflects returns on benchmark, e.g.,

S&P 500, DJIA, Nasdaq-100

• Passively created with derivatives

(futures or swaps) at near LIBOR cost

Alpha

• Achieved thru active trading

• Goal to create returns > LIBOR

Portable Alpha Strategies

21


• E.g., buy S&P 500 futures to capture beta

• NOTE: performance bond (“margin”) for E-mini S&P 500 futures may be

at 5-15% of notional contract value contingent on market volatility

• That 85%-95% residual may be posted in form of T-bills or other collateral

on which trader earns float

• This only works if futures offer “cheap beta” with … (i) low transaction

costs; and (ii) low tracking error

• Invest residual 85%-95% of contract value in an alpha generating

strategy

• E.g., actively managed investment fund, hedge fund, commodity fund,

real estate, tactical asset allocation strategy

• $23.2 billion from top 200 US retirement funds invested in portable

alpha programs as of Sep-09 … down from $41 billion in 2008


22


Low tracking error

• CME essentially eliminates

month-to-month tracking

error with “fair value”

settlements on last day of

month

• Ensures that funds holding

CME stock index futures

deliver a “true” beta month-

to-month


-40

-35

-30

-25

-20

-15

-10

-5

0

5

E-m

ini S&

P 5

00

E-m

ini N

asdaq

E-m

ini M

idC

ap

E-m

ini ($

5)

DJI

A

DJ

Euro

STO

XX

FTSE 1

00

DAX 3

0

CAC

40

Hang S

eng

Nik

kei 225 (

OSE)

Kospi 200

S&

P C

NX N

ifty

Average End-of-Day Mispricing (BPs)

3-Mth

12-Mth

Source: GS Equity Product Strategy, Futures Focus, March 15, 2010

CME Group Products

23

Stock Index Futures Fair Value


E-mini S&P 500

Trade Date: November 30, 2010

Days to Expiration - December 2010 Futures: 17

Cash Index: 1180.55

Dividends to Expiration: 1.05

Interest Rate: 0.25%

Theoretical Fair Value Spread: -0.91

Theoretical Futures Price: 1179.64

E-mini S&P 500

Trade Date: November 30, 2010

Days to Expiration - March 2011 Futures: 108

Cash Index: 1180.55

Dividends to Expiration: 7.28

Interest Rate: 0.25%

Theoretical Fair Value Spread: -6.39

Theoretical Futures Price: 1174.16


Theoretical Futures and FV Spreads at Various Risk Free Rates and Days to Expire (DTE)

S&P 500 = 1180.55 S&P 500 = 1180.55 S&P 500 = 1180.55

Est. DIV to EXP = 7.28 Est. DIV to EXP = 3.37 Est. DIV to EXP = 1.01

Est. DIV Yield = 2.09% Est. DIV Yield = 2.09% Est. DIV Yield = 2.09%

DTE 108 DTE 50 DTE 15

Risk Free Rate Theo Futures FV Spread Theo Futures FV Spread Theo FuturesFV Spread

0.00% 1173.27 -7.28 1177.18 -3.37 1179.54 -1.01

0.25% 1174.16 -6.39 1177.59 -2.96 1179.66 -0.89

0.50% 1175.04 -5.51 1178.00 -2.55 1179.78 -0.77

0.75% 1175.93 -4.62 1178.41 -2.14 1179.91 -0.64

1.00% 1176.81 -3.74 1178.82 -1.73 1180.03 -0.52

1.25% 1177.70 -2.85 1179.23 -1.32 1180.15 -0.40

1.50% 1178.58 -1.97 1179.64 -0.91 1180.28 -0.27

1.75% 1179.47 -1.08 1180.05 -0.50 1180.40 -0.15

2.00% 1180.35 -0.20 1180.46 -0.09 1180.52 -0.03

2.25% 1181.24 0.69 1180.87 0.32 1180.65 0.10

2.50% 1182.12 1.57 1181.28 0.73 1180.77 0.22

2.75% 1183.01 2.46 1181.69 1.14 1180.89 0.34

3.00% 1183.89 3.34 1182.10 1.55 1181.01 0.46

3.25% 1184.78 4.23 1182.51 1.96 1181.14 0.59

3.50% 1185.67 5.12 1182.92 2.37 1181.26 0.71

3.75% 1186.55 6.00 1183.33 2.78 1181.38 0.83

4.00% 1187.44 6.89 1183.74 3.19 1181.51 0.96

4.25% 1188.32 7.77 1184.15 3.60 1181.63 1.08


Futures vs. ETFs: 1-Dec-2010: S&P 500 = 1200

E-Mini S&P 500 SPDR Trust

Symbol ES SPY

Unit $50 * S&P 500 ~1/10th of S&P 500

Unit $Value $60,000 $120

Average Daily $volume U$120 billion U$22 billion

Min. Margin U$5,625 (~9.4%) Reg T= 50%

Margin to hold $60,000 $5,625 $30,000

Operating Exp na .09% per year

27


$-

$10

$20

$30

$40

$50

$60

$70

$80

$90

$100

$110

$120

$130

$140

E-mini SP500 SPY E-mini ND100 QQQQ E-mini Dow DIA E-mini SP400 MDY

Average Daily $Volume Traded (US$ billions)E-mini Index Futures vs. Exchange Traded Funds

2007 2008 2009 2010


Stock Index Spread Relationships

S&P 500 Index (SPX) vs.

Dow Jones Industrial Average (DJIA)

29


S&P 500 vs DJIA

The Standard & Poor’s 500 (S&P 500) Index and the Dow Jones Industrial

Average (DJIA) are the two most widely known U.S. stock indexes. The

S&P 500 Index is the leading large-cap benchmark for the U.S. stock

market and is the main barometer for institutional and professional

investors. The DJIA is the popular measure of the U.S. stock market,

especially among the media and general population. In addition:

The S&P 500 index contains 500 stocks, while the DJIA has 30 stocks. All

30 of the stocks in the DJIA are also in the S&P 500.

The S&P 500 is a capitalization-weighted, float-adjusted index.

The DJIA is a price-weighted index.

30


What Factors Affect the S&P 500 vs. DJIA Spread?

Although the spread between the S&P 500 and DJIA may be affected by

potentially many factors, basically there are three main factors which

account for the majority of changes in the spread:

Sector Weightings, Index Constituents and Index Methodology.

The factor which has the strongest and most significant influence on the

spread, however, is the difference in Sector Weightings.

31


Index Sector Weightings (As of October 29, 2010)

32

S&P

500

S&P

MidCap 400 NASDAQ-100 DJIA

Basic Materials 3.36% 4.20% 0.40% 3.49%

Communications 11.27% 5.19% 27.12% 8.05%

Consumer, Cyclical 8.11% 12.54% 7.85% 10.29%

Consumer, Non-cyclical 22.18% 19.81% 17.06% 18.99%

Diversified 0.05% - - -

Energy 12.40% 5.91% 0.61% 11.54%

Financial 16.80% 19.56% - 11.28%

Industrial 9.89% 18.23% 3.21% 19.75%

Technology 12.40% 7.74% 43.76% 16.61%

Utilities 3.54% 6.82% - -

Total 100.00% 100.00% 100.00% 100.00%


Index Beta, Correlations, Volatilities

One of the most popular spread

trades is S&P 500 vs DJIA

• High Correlation of 98.5% - Both

indexes are large cap blue chips

• DJIA has a Beta of .903 vs. the

S&P 500

• Due to the Beta of .903, the DJIA

will tend to lag the S&P 500, both

on upside and downside..ie, S&P

500 will tend to be about 10~11%

more volatile than the DJIA.

33

Jan2005~Nov2010 SP500 DJIA ND100

Beta vs SP500 0.903 0.991

Correlation vs SP500 0.985 0.926

Historical Volatility SP500 DJIA ND100

a/o 30-NOV-2010

20 Day HV 15.52% 14.63% 17.33%

63 Day HV 13.27% 12.11% 15.22%

ATM Implied Volatility SP500 DJIA ND100

a/o 30-NOV-2010

January 2011 (54 DTE) 20.40% 18.10% 22.30%

February 2011 (82 DTE) 21.20% 18.90% 23.00%

March 2011 (110 DTE) 22.10% 19.50% 23.60%


90%

91%

92%

93%

94%

95%

96%

97%

98%

99%

100%2

/3/2

00

5

6/3

/20

05

10

/3/2

00

5

2/3

/20

06

6/3

/20

06

10

/3/2

00

6

2/3

/20

07

6/3

/20

07

10

/3/2

00

7

2/3

/20

08

6/3

/20

08

10

/3/2

00

8

2/3

/20

09

6/3

/20

09

10

/3/2

00

9

2/3

/20

10

6/3

/20

10

10

/3/2

01

0

50-day Rolling Correlation of Percent Price Changes

S&P 500 vs. DJIA


Calculating the Spread Ratio

Buying the spread means buying the E-mini S&P 500 contract and selling the E-mini Dow

contract

Selling the spread means selling the E-mini S&P 500 contract and buying the E-mini Dow

contract.

For example, if a trader expects the S&P 500 to outperform the DJIA (either up or down

regardless of time frame), the trader would want to “buy the spread” – buy the E-mini

S&P 500 contract and sell the E-mini Dow contract. If the spread ratio was at 1.1020, the

trader who bought the spread would be looking to sell it for a ratio above 1.1020.

When trading the spread between the E-mini S&P 500 and the E-mini Dow futures, the

different index levels and their respective multipliers need to be taken into account.

Ideally, a spread ratio which closely balances the notional values of the contracts should

be used, so that the net effect of market movements is captured more precisely. This can

be called a “dollar neutral” spread when it is initiated.

35


Trading the Spread as a Ratio

How many contracts of the respective index futures do you buy and sell?

For traders who prefer to trade the smallest quantities, trading the spread on a 1:1 basis is

the obvious choice.

For traders who are trading larger quantities, however, and for those who are “position

traders” trading a ratio of quantities is the preferred method. CME Clearing offers

reduced margins via Spread Credits for traders who use a ratio of 5:6 (five contracts of

E-mini S&P 500 futures vs. six contracts of E-mini Dow futures).

Trading the spread as a ratio allows you to enter the spread as “dollar neutral”

36


Ratio Trade History

Trading the spread between E-mini S&P 500 and E-Mini DJIA: Need to trade a Ratio

of the U$ notional amounts

E-Mini S&P 500 * U$50 / E-Mini DJIA * U$5

= (1180 * U$50) / (11006 * U$5 ) = U$59,000 / U$55,030 = 1.07

37

S&P 500 vs. DJIA Spread Ratio Year-End Calculations

A B C D E

Year End S&P 500 $notional DJIA $notional Ratio

= A x $50 = C x $5 = B / D

2000 1320.28 $66,014 10787.99 $53,940 1.22384

2001 1148.08 $57,404 10021.57 $50,108 1.14561

2002 879.82 $43,991 8341.63 $41,708 1.05473

2003 1111.92 $55,596 10453.92 $52,270 1.06364

2004 1213.75 $60,688 10783.01 $53,915 1.12561

2005 1248.29 $62,415 10717.50 $53,588 1.16472

2006 1418.30 $70,915 12463.15 $62,316 1.13799

2007 1468.36 $73,418 13264.82 $66,324 1.10696

2008 903.25 $45,163 8776.39 $43,882 1.02918

2009 1115.10 $55,755 10428.05 $52,140 1.06933

Nov. 30, 2010 1180.55 $59,028 11006.02 $55,030 1.07264


0.950

1.000

1.050

1.100

1.150

1.200

1.250

1.300

1/3

/2001

5/3

/2001

9/3

/2001

1/3

/2002

5/3

/2002

9/3

/2002

1/3

/2003

5/3

/2003

9/3

/2003

1/3

/2004

5/3

/2004

9/3

/2004

1/3

/2005

5/3

/2005

9/3

/2005

1/3

/2006

5/3

/2006

9/3

/2006

1/3

/2007

5/3

/2007

9/3

/2007

1/3

/2008

5/3

/2008

9/3

/2008

1/3

/2009

5/3

/2009

9/3

/2009

1/3

/2010

5/3

/2010

9/3

/2010

Dollar Weighted Notional Ratio - S&P 500 ~ DJIA

Recovery in technologyand advances in energy sector. S&P 500 overweight in both tech and energy vs. DJIA. Spread Ratio increases from 1.0245 to 1.1810 during July 2002 to January 2006.

Financial shares crash. S&P 500 overweight financials vs. DJIA. Spread Ratio declines from 1.1267 to 0.9963during June 2008 to November 2008.

Foreign Exchange Products


Q3 2010

ADV

Contracts

ADV

$Notional

($millions)

Open Interest

Contracts

O.I.

$Notional

($millions)

EUR/USD E-mini Euro 4,034 $326 4,370 $373

Euro 308,107 $49,819 187,493 $32,237

Euro Total 312,141 $50,145 191,863 $32,610

JPY/USD E-mini Japanese Yen 341 $25 1,534 $115

Japanese Yen 130,770 $19,098 127,050 $19,058

Japanese Yen Total 131,111 $19,123 128,584 $19,173

GBP/USD British Pound 110,340 $10,692 82,218 $8,083

CHF/USD Swiss Franc 40,896 $4,970 53,675 $6,840

CAD/USD Canadian Dollar 86,252 $8,286 103,622 $10,064

AUD/USD Australian Dollar 96,166 $8,635 137,530 $13,185

MXN/USD Mexican Peso 26,823 $1,040 123,447 $4,871

RMB/USD Chinese RMB 14 $2 409 $62

Average Daily Volume Open Interest


Q3 2010 - OPTIONS ADV

Contracts

ADV

$Notional

($millions)

Open Interest

Contracts

O.I.

$Notional

($millions)

EUR/USD Euro 23,789 $3,849 324,807 $55,363

JPY/USD Japanese Yen 5,938 $867 94,158 $14,126

GBP/USD British Pound 5,385 $522 62,105 $6,097

CAD/USD Canadian Dollar 3,693 $355 60,830 $5,908

CHF/USD Swiss Franc 716 $87 14,325 $1,826

AUD/USD Australian Dollar 2,066 $186 42,451 $4,069


050,000

100,000150,000200,000250,000300,000350,000400,000450,000500,000550,000600,000650,000700,000750,000800,000850,000900,000950,000

1,000,0001,050,0001,100,0001,150,0001,200,0001,250,000

Ju

n-0

3

Se

p-0

3

De

c-0

3

Ma

r-0

4

Ju

n-0

4

Se

p-0

4

De

c-0

4

Ma

r-0

5

Ju

n-0

5

Se

p-0

5

De

c-0

5

Ma

r-0

6

Ju

n-0

6

Se

p-0

6

De

c-0

6

Ma

r-0

7

Ju

n-0

7

Se

p-0

7

De

c-0

7

Ma

r-0

8

Ju

n-0

8

Se

p-0

8

De

c-0

8

Ma

r-0

9

Ju

n-0

9

Se

p-0

9

De

c-0

9

Ma

r-1

0

Ju

n-1

0

Se

p-1

0

FX Futures Average Daily Volume and Notional Value

AUD/USD CHF/USD CAD/USD GBP/USD JPY/USD EUR/USD

160

Approximately Notional Value (in billions of dollars)

Average Daily Volume (in contracts)

80

60

40

0

20

140

120

100


0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000Ju

l-0

7

Au

g-0

7

Se

p-0

7

Oct-

07

No

v-0

7

De

c-0

7

Jan-0

8

Fe

b-0

8

Mar-

08

Ap

r-0

8

May-0

8

Ju

n-0

8

Ju

l-0

8

Au

g-0

8

Se

p-0

8

Oct-

08

No

v-0

8

De

c-0

8

Jan-0

9

Fe

b-0

9

Mar-

09

Ap

r-0

9

May-0

9

Ju

n-0

9

Ju

l-0

9

Au

g-0

9

Se

p-0

9

Oct-

09

No

v-0

9

De

c-0

9

Jan-1

0

Fe

b-1

0

Mar-

10

Ap

r-1

0

May-1

0

Ju

n-1

0

Ju

l-1

0

Au

g-1

0

Se

p-1

0

FX Options Average Daily Volume and Notional ValueCHF/USD EUR/USD GBP/USD JPY/USD CAD/USD

Approximately Notional Value (in billions of dollars)

10

0

7

4

3

Average Daily Volume (in contracts)

9

8

2

1

6

5

Agricultural Products


October 2010

Contracts

$ Notional

($ Millions) Contracts

$ Notional

($ Millions)

Spot Month

Close on

29-Oct-'10

Spot Month

Close in

US$/MT

29-Oct-'10

20-Day

Historical

Volatility

Corn 357,195 $10,394 1,614,062 $46,969 582 $229.12 40.62%

Wheat 72,752 $2,609 532,892 $19,111 717 1/4 $263.54 40.58%

Soybeans 221,913 $13,714 620,516 $38,348 1236 $454.15 27.04%

Soybean Oil 75,662 $2,238 352,992 $10,442 49.30 $1,086.88 25.37%

Soybean Meal 50,225 $1,696 205,558 $6,942 337.70 $372.25 31.56%

Live Cattle 39,387 $1,473 316,374 $11,829 98.83 12.91%

Lean Hog 32,550 $957 200,768 $5,901 66.20 27.75%

Average Daily



0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0

50,000

100,000

150,000

200,000

250,000

300,000

350,000

400,000

Co

ntr

ac

tsCorn Futures - Average Daily Volume by Trading Platform

Electronic Open Auction % Electronic ADV


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0

50,000

100,000

150,000

200,000

250,000

Co

ntr

ac

tsSoybean Futures - Average Daily Volume by Trading Platform

Electronic Open Auction % Electronic ADV


0

200,000

400,000

600,000

800,000

1,000,000

1,200,000

Co

ntr

ac

tsCombined Futures and Options

Grain and Oilseed - Average Daily Volume

Options

Futures


0%

10%

20%

30%

40%

50%

60%

CFTC COT Report - Commodity Index Funds Long Positions as a Percent of Total Open Interest

CORN Wheat Soybeans Soy Oil

Source: CFTC


0

20,000

40,000

60,000

80,000

100,000

120,000

140,000

160,000

180,000

200,000

Co

ntr

ac

ts

Chicago Time

Average Hourly Electronic Volumes - All Hours - October 2010

Lean Hog Futures

Live Cattle Futures

Soybean Oil Futures

Soybean Meal Futures

Soybean Futures

Wheat Futures

Corn Futures


CMEG Ag Product Review-Market Expression

Corn

CME Group provides traders numerous ways to express their opinions within a single commodity.

Exchange

Linear

Cleared OTCs

Convex

•Options

•Calendar Spread Options

•Intercommodity Spread

Options

•VIX*

•Asian Options*

•European Options*

•Futures

•Calendar Spreads

•Intercommodity

Spreads

•Calendar (Asian Swaps

•Bullet (Euro) Swaps*

*Pending Approval


Grain Calendar Swaps Summary Grain Swaps Summary

• CME Group lists Corn Calendar Swaps (CCS), Soybean

Calendar Swaps (SNS) and Wheat Calendar Swaps

(WCS)

• Launched in April 2009

• Calendar Swap=Asian or Average Price Swap

• European (Bullet) Swaps Petitioned and on-hold with

CFTC

• No price limits on swaps

• Swaps are available for clearing when the market isn’t

open

• Swap settles to underlying futures contract daily, until the

last month, which settles to the average closing price of

the underlying futures

• Swaps can be liquidated or EFRed into the underlying

futures contract prior to the averaging period

• Volume has grown 756% from the previous year

-

1

2

3

4

5

6

7

-

50

100

150

200

250

300

350

400

Th

ou

sa

nd

s O

I

YTD Average Daily Volume and Open Interest

Grain Swaps

ADV Open Interest


Commodity Index Summary

Commodity Index Summary

• Commodities provide portfolio diversification

• Benchmark commodity indexes are available as a

cleared alternative to bi-lateral off-exchange

commodity index swaps

• CME cleared commodity index products reference

S&P-GSCI and DJ-UBS indices

• Centralized clearing increases the pool of potential

counterparties, and reduces the regulatory capital

• CME has about 3.8 Billion in notional value on its

books

• CME offers 75% margin credit between offsetting swap

and underlying futures in the index basket

12.6%

0.3%

2.1%

77.3%

2.6%2.8%

2.3%

YTD Commodity IndexVolume Composition

DJ-UBS ER FUTURE

DJ-UBS CI SWAP

S&P-GSCI ER FUTURES

S&P-GSCI FUTURE

OTC SP GSCI ER 2-MTH FWD SWAP

OTC SP GSCI ER 3-MTH FWD SWAP

OTC SP GSCI FUTURE

Energy Products


October 2010

Contracts

$

Notional

($

Millions) Contracts

$

Notional

($

Millions)

US$ Spot

Month

Close

29-Oct-'10

US$/MT

Except

NG=US$/

Cubic

Meter

29-Oct-'10

20-Day

Historical

Volatility

Light Sweet Crude Oil CL 686,803 $55,926 1,416,888 $115,377 81.43 $597.13 29.00%

Natural Gas NG 281,906 $11,383 794,742 $32,092 4.038 $0.15 36.57%

Heating Oil HO 106,234 $9,984 317,464 $29,836 223.77 $701.03 26.87%

RBOB Gasoline RB 124,478 $10,767 270,680 $23,412 205.94 $737.87 28.63%

DME Oman Crude Oil OQ 3,234 20,721

PJM Financially Settled Electricity

Futures & Swap Futures JM+L1* 498 50,283

Options JO 2,601 404,018

* L1 is adjusted to JM contract size.

Average Daily


U.S. and Metric

Spot Price &

Conversion

Electronic/Pit Ticker

Symbols


0

200,000

400,000

600,000

800,000

1,000,000

1,200,000

1,400,000

1,600,000

Co

ntr

ac

tsFutures - Average Daily Volumes

DME Oman Crude Oil Futures

RBOB Gasoline Futures

Heating Oil Futures

Natural Gas Futures

Light Sweet Crude Oil Futures


84%

86%

88%

90%

92%

94%

96%

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

900,000

1,000,000

Co

ntr

ac

ts

Light Sweet Crude Oil Futures - Electronic Average Daily Volume

Total ADV Electronic ADV % of Electronic Volume


70%

75%

80%

85%

90%

95%

100%

0

50,000

100,000

150,000

200,000

250,000

300,000

Co

ntr

ac

tsNatural Gas Futures - Electronic Average Daily Volume



0

50,000

100,000

150,000

200,000

250,000

300,000

Co

ntr

ac

ts

New York Time

Average Hourly Total Volume - All Hours - October 2010

Heating Oil Futures

RBOB Gasoline Futures

Natural Gas Futures

Light Sweet Crude Oil Futures

Metals Products


October 2010

Contracts

$ Notional

($ Millions) Contracts

$ Notional ($

Millions)

US$ Spot Month

Close

Except

Copper=Ave

Month Close 29-

Oct-'10

US$/Gram

Except

Copper=US$/MT

Steel=US$/MT

29-Oct-'10

20-Day

Historical

Volatility

Gold 183,754 $24,946 608,083 $82,553 1357.60 $43.65 18.67%

Silver 62,579 $7,686 154,866 $19,021 24.56 $0.79 31.62%

Copper 39,159 $3,694 161,220 $15,208 377.31 $8,318.31 22.11%

Platinum 4,724 $403 37,867 $3,234 1708.10 $54.92 15.13%

Palladium 3,315 $214 26,190 $1,690 645.10 $20.74 26.78%

HRC Steel 15 $0.17 11,279 $127 565.00 $622.93 18.12%

Average Daily Volume Open Interest

U.S. and Metric

Spot Price & Conversion


0

50,000

100,000

150,000

200,000

250,000

300,000

350,000

400,000

Co

ntr

ac

ts

Futures - Average Daily Volume

Palladium Futures Platinum Futures Copper Futures Silver Futures Gold Futures


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0

50,000

100,000

150,000

200,000

250,000

300,000

Co

ntr

ac

ts

Gold Futures - Electronic Average Daily Volume



0%

20%

40%

60%

80%

100%

120%

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

Co

ntr

ac

ts

Silver Futures - Electronic Average Daily Volume



0

10,000

20,000

30,000

40,000

50,000

60,000

Co

ntr

ac

ts

New York Time

Average Hourly Total Volume - All Hours - October 2010

Copper Futures

Silver Options

Silver Futures

Gold Options

Gold Futures

CME Group Options


0

200,000

400,000

600,000

800,000

1,000,000

1,200,000

Interest

Rates

Energy Commodity

Agri

Equity Index FX Metals

CME Group Options - Average Daily Volume - 2010


0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

Eurodollars 10 Yr Treasury 30 Yr Treasury Fed Funds 5 Yr Treasury



0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

90,000

100,000

E-mini S&P 500 S&P 500 S&P 500 EOW/EOM



0

20,000

40,000

60,000

80,000

100,000

120,000

140,000

160,000

WTI Crude Oil Natural Gas Gold Silver



0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

90,000

Corn Soybeans Wheat Live Cattle Soy Oil Soy Meal Lean Hogs



Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a

leveraged investment, and because only a percentage of a contract’s value is required to

trade, it is possible to lose more than the amount of money deposited for a futures position.

Therefore, traders should only use funds that they can afford to lose without affecting their

lifestyles. And only a portion of those funds should be devoted to any one trade because they

cannot expect to profit on every trade.

The Globe Logo, CME®, Chicago Mercantile Exchange®, and Globex® are trademarks of

Chicago Mercantile Exchange Inc. CBOT® and the Chicago Board of Trade® are trademarks of

the Board of Trade of the City of Chicago. NYMEX, New York Mercantile Exchange, and

ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of

Commodity Exchange, Inc. CME Group is a trademark of CME Group Inc. All other trademarks

are the property of their respective owners.

The information within this presentation has been compiled by CME Group for general

purposes only. CME Group assumes no responsibility for any errors or omissions. Although

every attempt has been made to ensure the accuracy of the information within this

presentation, CME Group assumes no responsibility for any errors or omissions. Additionally,

all examples in this presentation are hypothetical situations, used for explanation purposes

only, and should not be considered investment advice or the results of actual market

experience.

All matters pertaining to rules and specifications herein are made subject to and are

superseded by official CME, CBOT, NYMEX and CME Group rules. Current rules should be

consulted in all cases concerning contract specifications.

Disclaimer

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