.jpg)
The CBOE Futures Exchange, LLC (CFE®) today reported November 2013 trading volume for total exchange-wide activity and for futures on the CBOE Volatility Index® (VIX® Index). Additionally, the second phase of the expansion of extended trading hours for VIX futures successfully launched during the month and futures on the CBOE Russell 2000® Volatility Index were listed.
VIX Futures
November trading volume in VIX futures totaled 2.5 million contracts, a decrease of eight percent from November 2012 and a decrease of 40 percent from October, which was the second busiest month all-time. Average daily volume in VIX futures during November was 126,141 contracts, a decrease of three percent from November 2012 and a decrease of 31 percent from October.
|
CFE Monthly Volume Summary |
Year-To-Date |
|||||||
|
Nov 2013 |
Nov 2012 |
% Chg |
Oct 2013 |
% Chg |
Nov 2013 |
Nov 2012 |
% Chg |
|
|
Trading Days |
20 |
21 |
23 |
231 |
230 |
|||
|
VIX Index Futures |
||||||||
|
Total |
2,522,828 |
2,734,248 |
-8% |
4,191,901 |
-40% |
36,748,760 |
21,350,213 |
72% |
|
ADV |
126,141 |
130,202 |
-3% |
182,257 |
-31% |
159,086 |
92,827 |
71% |
|
CFE Total Exchange |
||||||||
|
Total |
2,561,432 |
2,744,177 |
-7% |
4,205,692 |
-39% |
36,992,205 |
21,445,732 |
72% |
|
ADV |
128,072 |
130,675 |
-2% |
182,856 |
-30% |
160,139 |
93,242 |
72% |
Total CFE
November exchange-wide trading volume at CFE totaled nearly 2.6 million contracts, a decrease of seven percent fromNovember 2012 and a decrease of 39 percent from October. Monthly ADV during November was 128,072 contracts, a decrease of two percent from a year ago and a decrease of 30 percent from October.
VIX Futures Extended Trading Hours
The second phase of the expansion of extended trading hours (ETH) for VIX futures successfully launched on November 4. Phase II introduced an additional five-hour period prior to the previous opening time of 7:00 a.m. CT. This 2:00 a.m. to 7:00 a.m. CT period benefits U.S. customers seeking longer hours for trading in VIX futures and European-based customers who now have the opportunity to trade VIX futures during their local trading hours.
Phase I of the expansion of extended trading hours for VIX futures, which added a 45-minute trading period -- from 3:30 p.m. to 4:15 p.m. CT -- after the current close of trading hours for VIX futures at 3:15 p.m. CT, launched on October 28.
CBOE Russell 2000 Volatility Index Futures
Beginning on November 18, CFE listed futures contracts on the CBOE Russell 2000® Volatility Index (ticker: VU).
The CBOE Russell 2000 Volatility Index (RVXSM Index) is an up-to-the-minute market estimate of the expected 30-day volatility of the Russell 2000® Index (RUT), the premier measure of the performance of small-capitalization U.S. stocks. The calculation of the RVX Index is based on the CBOE Volatility Index (VIX) methodology applied to real-time bid/ask quotes of RUT options that are listed on CBOE.
Used on their own or in combination with other CBOE volatility index products, CBOE Russell 2000 Volatility Index futures allow customers to hedge, diversify or take a directional view on volatility in the small-cap market sector. For more information on the CBOE Russell 2000 Volatility Index and products, go to www.cboe.com/RVX.
