The CBOE Volatility Index (VIX), the industry's preeminent barometer of market volatility and investor sentiment, jumped significantly during the major market move on Tuesday, February 27. On that day, VIX registered 12.12 at the open of trading, spiked to an intra-day peak of 19.01, and closed at 18.31, up 64% from the previous day's close of 11.15. This was the biggest one-day percentage rise of the VIX since October 13, 1989, when VIX gained 68%, and the largest one-day move since CBOE began calculating VIX real-time in 1993.
|
Total Volume |
Feb 2007 Volume (19 days) |
% Change vs Feb 2006(19 days) |
% Change vs Jan 2007 (20 days) |
Year-To-Date Volume (39 days) |
% Change vs 2006 (39 days) |
|---|---|---|---|---|---|
|
Industry Total |
183,249,640 |
+28% |
+8% |
380,827,149 |
+18% |
|
|
|
|
|
|
|
|
CBOE Total |
61,295,070 |
+35% |
0% |
122,614,130 |
+24% |
|
Avg Daily Vol |
3,226,056 |
+35% |
+5% |
3,143,952 |
+24% |
|
Equity |
34,302,428 |
+22% |
-8% |
71,756,971 |
+14% |
|
Index & ETF |
26,990,827 |
+56% |
+13% |
50,854,900 |
+41% |
|
ETF (only) |
12,445,361 |
+75% |
+21% |
22,707,578 |
+57% |
|
Open Interest |
197,283,516 |
+31% |
+12% |
----- |
----- |
CBOE's February Market Share Increases 1.8% To 33.5%; CBOE Captures 42% Index and ETF Market Share
CBOE maintained its lead position with 33.5% market share of total industry volume, an increase of 1.8% over February 2006.CBOE's market share in multiply listed index and ETF options continued to increase, with a 42.1% market share for the month, an increase of 3.2% from the previous year. Year-to-date, CBOE's market share of 32% is more than two percentage points ahead of 2006.
|
CBOE Market Share |
Feb 2007 Market Share |
% Change vs
Feb 2006 |
% Change vs Jan 2007 |
Year-To-Date Market Share |
% Change vs 2006 |
|---|---|---|---|---|---|
|
Exchange |
33.5% |
+1.8% |
+2.5% |
32.2% |
+2.1% |
|
Equity |
25.7% |
+.4% |
+1.3% |
25.0% |
+.1% |
|
Index & ETF (multiple listings only) |
42.1% |
+3.2% |
+1.2% |
40.7% (last 12 months) |
+1.8% |
Options On Russell 2000 Index And Nasdaq-100 Index Tracking Stock Set New Volume Records In February; CBOE Seat Sells For All-Time High Of $2.05M On February 20
- In February, volume in equity options totaled 34.3 million contracts, an increase of 22% over February 2006's volume of 28.0 contracts. The top five most actively traded equity options during the month were: Apple Computer, Inc. (AAPL), Google Inc. (GOOG), New Century Financial Corp. (NEW), Qualcomm, Inc. (QCOM) and Microsoft Corp. (MSFT).
- Total volume in index and exchange traded fund (ETF) options during February was 26.9 million contracts traded, up 56% over February 2006's volume of 17.3 contracts. The top five most-actively traded index and ETF options at CBOE during February were: S&P 500 Index (SPX), iShares Russell 2000 Index Fund (IWM), Nasdaq-100 Index Tracking Stock (QQQQ), Standard & Poor's Depositary Receipts (SPY) and S&P 100 Index (OEX).
- Options on the Nasdaq-100 Index Tracking Stock (QQQQ) set a new single-day volume record when 1,035,956 contracts traded on Tuesday, February 27, shattering the previous high of 486,515 contracts traded on April 6, 2004.
- Russell 2000 Index (RUT) options set a new record for monthly volume in February as the 408,347 contracts traded surpassed the previous record of 294,449 contracts traded during September 1997.
- On Wednesday, February 21, CBOE listed options with Quarterly expirations on the S&P 500 Index (SPX), Mini-SPX Index (XSP) and S&P 100 Index with European-style exercise (XEO). CBOE first listed Quarterlys in July 2006, and now lists a total of eight Quarterlys, including QQQQ, IWM, SPY, DIA and XLE.
- On February 9, CBOE added the last nine option classes to be included in the penny pilot program. There are a total of 13 option classes quoting and trading in penny increments for the industry's pilot.
- On Tuesday, February 20, a CBOE seat was sold for an all-time high of $2,050,000, which was the first time that a CBOE seat surpassed the two million dollar benchmark. A total of eight CBOE seats traded during the month at prices ranging from $1,850,000 to $2,050,000. the next 30 days.VIX is closely followed and highly publicized and is referred to as the market's "fear gauge." More information on the CBOE Volatility Index may be found at: www.cboe.com/VIX.
CFE's February Volume Gains 127% Over 2006; Trading In VIX Futures Remains Strong
Volume in February at the CBOE Futures Exchange, LLC (CFE) was 46,802 contracts traded, an increase of 127% over February 2006's volume of 20,575 contracts. Average daily volume was 2,463 contracts. At month's end, total open interest stood at 39,575 contracts, up 83% over the end of February 2006, when open interest was 21,580 contracts.
During February, total volume in VX futures, based on the CBOE Volatility Index (VIX), tallied 42,918 contracts, up 142% from February 2006's volume of 17,720 contracts, while volume in futures on the CBOE Dow Jones Industrial Average Volatility Index (DV) was 3,453 contracts. At the end of the month, open interest in VX futures stood at 37,215 contracts and open interest in DV futures was 1,374 contracts.
|
CFE Total Volume |
Feb 2007 Volume |
% Change vs Feb 2006 |
% Change vs Jan 2007 |
Year-To-Date Volume |
% Change vs 2006 |
|---|---|---|---|---|---|
|
Exchange |
46,802 |
+127% |
-1% |
93,923 |
+108% |
|
Avg Daily Vol |
2,463 |
+127% |
-1% |
2,408 |
+108% |
|
Open Interest |
39,575 |
+83% |
+3% |
-- |
-- |
CBOE Individual Index Volume Figures For February 2007
|
Symbol |
Product |
Total Volume |
% Change vs Feb 06 |
% Change vs Jan 07 |
Open Interest |
% Change vs 2006 |
|---|---|---|---|---|---|---|
|
SPX |
S&P 500 Index |
10,063,752 |
+50% |
+9% |
8,822,493 |
+19% |
|
XSP |
Mini-S&P 500 Index |
124,835 |
+4% |
-56% |
1,000,192 |
+7% |
|
SPY |
Standard & Poor's Depositary Receipts (SPDRs) |
2,113,684 |
+75% |
+21% |
4,485,425 |
+56% |
|
VIX |
CBOE Volatility Index (options) |
866,495 |
+3369% |
+39% |
840,035 |
+3532 |
|
OEX |
S&P 100 Index (American-Style Exercise) |
1,147,462 |
-14% |
+4% |
292,319 |
-28% |
|
XEO |
S&P 100 Index
(European-Style Exercise) |
240,411 |
+10% |
-19% |
162,627 |
+84% |
|
DJX |
Dow Jones Industrial Average |
606,700 |
+1% |
+28% |
666,717 |
-8% |
|
DIA |
DIAMONDS Trust, Series 1 |
545,713 |
-25% |
+6% |
1,140,227 |
+10% |
|
NDX |
Nasdaq-100 Index |
688,920 |
+60% |
-9% |
653,293 |
+9% |
|
MNX |
CBOE Mini-NDX Index (based on Nasdaq-100) |
265,585 |
-39% |
-19% |
1,860,902 |
-1% |
|
QQQ |
Nasdaq-100 Index Tracking Stock |
3,231,266 |
+49% |
-1% |
7,520,781 |
+42% |
|
RUT |
Russell 2000 Index |
408,347 New Record |
+128% |
+57% |
865,974 |
+194% |
|
IWM |
iShares Russell 2000
Index Fund |
4,831,364 |
+174% |
+61% |
6,001,292 |
+108% |
|
SMH |
Semiconductor HOLDRs Trust |
115,948 |
-35% |
-22% |
708,111 |
-14% |
|
OIH |
Oil Services HOLDRs Trust |
263,285 |
-17% |
-17% |
590,671 |
+18% |
|
XLE |
Energy Select SPDR |
173,995 |
-54% |
-54% |
1,316,257 |
+27% |
CBOE, the largest options marketplace in the U.S. and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, visit the CBOE website at: http://www.cboe.com/.
