.jpg)
The CBOE Futures Exchange, LLC (CFE) today announced that trading volume during November 2011totaled 822,783 contracts, an increase of nine percent from the 751,481 contracts traded in November 2010. Average daily volume (ADV) at CFE during November 2011 was 39,180 contracts, also a gain of nine percent from the 35,785 contracts traded per day in November 2010. The 11 months of 2011 rank as the top 11 most-active trading months in CFE history.
When comparing trading activity in November to the previous month, CFE total monthly and average daily volume declined by eight percent from the 899,108 total contracts and the 42,814 contracts per day during October 2011.
|
CBOE FUTURES EXCHANGE VOLUME SUMMARY |
||||||||
|
Current Month |
Year-To-Date |
|||||||
|
|
Nov 2011 |
Nov 2010 |
% Chg |
Oct 2011 |
% Chg |
Nov 2011 |
Nov 2010 |
% Chg |
|
Trading Days |
21 |
21 |
|
21 |
|
231 |
230 |
|
|
Total CFE |
822,783 |
751,481 |
+9% |
899,108 |
-8% |
11,392,422 |
3,846,128 |
+196% |
|
Total CFE ADV |
39,180 |
35,785 |
+9% |
42,814 |
-8% |
49,318 |
16,722 |
+195% |
VIX Futures
CBOE Volatility Index (VIX) futures volume averaged 39,144 contracts per day during November. This was an increase of nine percent from the year ago ADV of 35,758 contracts and a decrease of eight percent versus the 42,760 contracts per day during October.
Total volume for VIX futures in November was 822,017 contracts traded, up nine percent from the year ago volume of 750,914 contracts traded and down eight percent from the 897,966 contracts traded in October. The top nine most-active trading months for VIX futures have occurred during the last nine months.
On November 4, CFE began accepting "Trade at Settlement" (TAS) transactions in the CBOE Volatility Index (VIX) futures contract. TAS transactions are aimed at helping traders even out end-of-day price exposure in VIX futures. Additionally, with TAS transactions, users can hedge VIX futures throughout the trading day and receive greater price certainty relative to the daily settlement price.
