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- VIX Futures ADV Up 24% from November 2014
- Total of 3.48 Million VIX Futures Contracts Traded
- VIX Futures Up 3% Year to Date
CBOE Futures Exchange, LLC (CFE®) today reported that November average daily volume (ADV) was up 24 percent from November 2014, and total volume was 30 percent higher than totals in November 2014. Monthly total volume was down 13 percent in November, compared with October 2015.
VIX Futures
Total volume in futures on the CBOE Volatility Index® (VIX® Index) for November was 3.48 million contracts, up 30 percent from November 2014, and down 13 percent from October 2015. November VIX futures' ADV was 173,790 contracts, up 24 percent from a year ago and down 4 percent from the previous month. On a year-to-date basis, VIX futures volume was up 3 percent.
|
CFE Monthly Volume Summary |
Year-To-Date |
|||||||||
|
November 2015 |
November 2014 |
% Chg |
October 2015 |
% Chg |
November 2015 |
November 2014 |
% Chg |
|||
|
Trading Days |
20 |
19 |
22 |
230 |
230 |
|||||
|
VIX Index Futures |
||||||||||
|
Total |
3,475,798 |
2,666,173 |
30% |
3,994,368 |
-13% |
47,096,484 |
45,545,484 |
3% |
||
|
ADV |
173,790 |
140,325 |
24% |
181,562 |
-4% |
204,767 |
198,024 |
3% |
||
|
CFE Total Exchange |
||||||||||
|
Total |
3,481,215 |
2,670,992 |
30% |
3,998,723 |
-13% |
47,142,162 |
45,622,406 |
3% |
||
|
ADV |
174,061 |
140,579 |
24% |
181,760 |
-4% |
204,966 |
198,358 |
3% |
||
Total CFE
Exchangewide ADV at CFE was 174,061 contracts in November, up 24 percent from November 2014 but a decrease of 4 percent from October 2015. Exchangewide total volume for the month was 3.48 million contracts, a rise of 30 percent from the year-ago total, but down 13 percent from October 2015.
Extended Trading Hours
Trading activity in VIX futures during non-U.S. trading hours represented 8 percent of total VIX futures volume. Monthly volume for VIX futures during extended trading hours was 277,662 contracts, with an ADV of 13,883 contracts. Year to date, extended trading hours represent nearly 9 percent of VIX futures' total volume.
