The CBOE Futures Exchange, LLC (CFE®) announced today that both total exchange-wide trading activity and trading volume in futures on the CBOE Volatility Index® (VIX®) reached new all-time highs during 2012. In a record-setting year, a host of new milestones were achieved at the exchange.
2012 Volume
Total CFE trading volume in 2012 set a new record with 23.89 million contracts traded, an increase of 98 percent from 12.04 million contracts traded in 2011, the previous annual record. The year 2012 marked the third consecutive year of record exchange-wide trading activity for CFE. Average daily volume (ADV) at CFE also reached a new high for a third straight year in 2012. The 95,571 contracts per day doubled the 47,782 contracts traded per day in 2011.
Total 2012 VIX futures volume set a new record with 23.79 million contracts traded, an increase of 98 percent from the 12.03 million contracts traded in 2011, which stood as the previous annual record. VIX futures ADV for 2012 was 95,143 contracts, also a third consecutive annual record. ADV was up 100 percent from the 47,730 contracts traded per day in 2011, the previous high mark.
Also during 2012, VIX futures open interest set numerous records, the highest at 469,000 contracts on December 13.
|
Monthly Volume Summary |
Year-To-Date |
|||||||
|
Dec 2012 |
Dec 2011 |
% Chg |
Nov 2012 |
% Chg |
2012 |
2011 |
% Chg |
|
|
Trading Days |
20 |
21 |
21 |
250 |
252 |
|||
|
VIX Index Futures |
||||||||
|
Total |
2,435,648 |
648,118 |
276% |
2,734,248 |
-12% |
23,785,806 |
12,027,955 |
98% |
|
ADV |
121,782 |
30,863 |
295% |
130,202 |
-6% |
95,143 |
47,730 |
99% |
|
CFE Total Exchange |
||||||||
|
Total |
2,446,471 |
648,594 |
277% |
2,744,177 |
-11% |
23,892,851 |
12,041,102 |
98% |
|
ADV |
122,323 |
30,885 |
296% |
130,675 |
-6% |
95,571 |
47,782 |
100% |
December 2012 Volume
Total trading volume at CFE during December was 2.45 million contracts up 277 percent from December 2011 volume of nearly 650,000 contracts and down 11 percent from the record 2.74 million contracts traded during November. Total exchange-wide ADV during December was 122,323 contracts, up 296 percent fromDecember 2011 ADV of 30,885 contracts and down six percent from record ADV of 130,675 contracts in November.
Trading volume in VIX futures during December totaled nearly 2.44 million contracts, up 276 percent from 648,118 contracts traded in December 2011 and down 12 percent from the record 2.73 million contracts traded during November. ADV in VIX futures during December was 121,782 contracts, down six percent versus the record ADV of 130,200 contracts in November. When compared to the ADV of 30,863 contracts in December 2011, December ADV rose by 295 percent.
