- VIX Futures Volume Increases 27% Over Year Ago
- Trading Activity During Third Quarter Sets Records
- Extended Trading Hours Accounts for Nearly 9% of Total Volume
CBOE Futures Exchange, LLC (CFE®) reported that September 2014 average daily volume (ADV) and total trading volume, both exchange-wide at CFE and for futures on the CBOE Volatility Index® (VIX® Index), rose over year-ago levels, while the third quarter of 2014 experienced record trading activity.
VIX Futures
Average daily volume in VIX futures was 178,531 contracts during September, an increase of 21 percent from September 2013 and a decrease of 18 percent when compared to the record ADV in August 2014. Total volume in VIX futures was 3.75 million contracts during September, up 27 percent from September 2013 and down 18 percent from the record total volume in August 2014.
|
CFE Monthly Volume Summary |
Year-To-Date |
|||||||
|
September |
September |
% Chg |
August |
% Chg |
September 2014 |
September 2013 |
% Chg |
|
|
Trading Days |
21 |
20 |
21 |
188 |
188 |
|||
|
VIX Index Futures |
||||||||
|
Total |
3,749,156 |
2,960,789 |
27% |
4,556,926 |
-18% |
35,432,804 |
30,034,031 |
18% |
|
ADV |
178,531 |
148,039 |
21% |
216,996 |
-18% |
188,472 |
159,755 |
18% |
|
CFE Total Exchange |
||||||||
|
Total |
3,758,849 |
2,976,648 |
26% |
4,566,239 |
-18% |
35,492,717 |
30,225,081 |
17% |
|
ADV |
178,993 |
148,832 |
20% |
217,440 |
-18% |
188,791 |
160,772 |
17% |
Total CFE
September exchange-wide ADV was 178,993 contracts, a 20-percent increase from a year ago and an 18-percent decrease from the record daily volume in August 2014. Exchange-wide total volume during the month was 3.76 million contracts, a 26-percent increase from September 2013 and an 18-percent decrease from August 2014’s record total volume.
Third Quarter 2014
A record total of 12.67 million contracts traded at CFE during the third quarter of 2014, up 34 percent compared to the third quarter a year ago and up 21 percent versus the second quarter of 2014. The new high set this quarter surpassed the previous record of 12.39 million contracts in the first quarter of 2014.
The 12.64 million total VIX futures contracts traded during the third quarter of 2014 was also a new record. Third quarter total volume for VIX futures was up 35 percent compared to the third quarter of 2013 and up 21 percent versus the second quarter of 2014. The new high eclipsed the previous record of 12.38 million contracts in the first quarter of 2014.
VIX Futures 24-Hour Trading
In September, trading volume in VIX futures outside of regular U.S. trading hours totaled 322,108 contracts, with an average of 15,338 contracts per trading day, accounting for approximately nine percent of CFE’s total daily volume.
On June 22, CFE expanded VIX futures trading hours to nearly 24 hours a day, five days a week. The trading week for VIX futures at CFE now begins each Sunday at 5:00 p.m. CT and ends each Friday at 3:15 p.m. CT. Monday through Thursday, CFE closes for 15 minutes at 3:15 p.m. CT before the “new” trading day begins at 3:30 p.m. CT. After Friday’s 3:15 p.m. CT close, CFE remains closed until the start of the new trading week at 5:00 p.m. CT on Sunday. See CFE Regulatory Circular RG14-017 for additional information.
