The CBOE Futures Exchange, LLC (CFE) today announced that October 2011 total trading volume and average daily volume (ADV) rose 88 percent versus a year ago. Trading volume in futures on the CBOE Volatility Index (VIX) remained active as 42,760 contracts traded per day during the month. For the year, total trading volume at CFE surpassed the 10-million-contract mark during October.
Average Daily Volume
Monthly average daily volume at CFE during October 2011 was 42,814 contracts, a gain of 88 percent from the 22,824 contracts traded per day in October 2010. When compared to the ADV of 46,875 contracts per day during September 2011, October's ADV dipped nine percent.
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CBOE FUTURES EXCHANGE VOLUME SUMMARY |
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Current Month |
Year-To-Date |
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Oct 2011 |
Oct 2010 |
% Chg |
Sept 2011 |
% Chg |
Oct 2011 |
Oct 2010 |
% Chg |
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Trading Days |
21 |
21 |
21 |
210 |
209 |
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Total CFE |
899,108 |
479,304 |
+88% |
984,392 |
-9% |
10,569,639 |
3,094,647 |
+242% |
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Total CFE ADV |
42,814 |
22,824 |
+88% |
46,875 |
-9% |
50,332 |
14,807 |
+240% |
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Total Volume
Total trading volume at CFE during October 2011 was 899,108 contracts, an increase of 88 percent from the 479,304 contracts traded inOctober 2010. When compared to the 984,392 contracts traded during September 2011, October's volume was down nine percent.
October marked the twenty-fifth consecutive month in which total volume registered an increase when comparing year-over-year trading activity. The ten most-active trading months in CFE history have occurred during the first ten months of 2011.
Year-to-date, total volume at CFE has now surpassed the 10-million-contract mark as 10,569,639 contracts have traded through the end ofOctober 2011. The 10.5 million contracts traded year-to-date is 242 percent ahead of the 3.1 million contracts through the same time period in 2010.
VIX Futures
Average daily volume for futures on the CBOE Volatility Index (VIX) was 42,760 contracts during October, an increase of 88 percent from the year ago ADV of 22,777 contracts per day. When compared to the 46,784 contracts per day during September, October ADV decreased nine percent.
Total volume for VIX futures in October was 897,966 contracts traded, up 88 percent from the year ago volume of 478,326 contracts traded, and down nine percent from the 982,462 contracts traded in September. The top eight most-active trading months for VIX futures have occurred during the last eight months (August: 1,826,241 contracts; June: 1,222,257 contracts; July: 1,169,064 contracts; March: 1,065,374 contracts, May: 993,990 contracts; September: 982,462 contracts; October: 897,966 contracts and April: 834,110 contracts).
Beginning Friday, November 4, CFE will accept "Trade at Settlement" (TAS) transactions in the CBOE Volatility Index (VIX) futures contract.
TAS transactions in VIX futures may be transacted on CFE's trading system as spread transactions, as block trades and as Exchange of Contract for Related Position transactions. Market participants will be able to enter VIX futures orders in a TAS order book during the trading day at a price equal to that day's VIX futures settlement price, or at a specified differential above or below the daily settlement price, e.g., two minimum price increments higher or lower than the daily settlement price. Completed TAS transactions are confirmed during the trading session, and the final price of the transaction is confirmed when the daily settlement price is established.
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.
