The CBOE Futures Exchange, LLC (CFE®) today reported that average daily volume (ADV) in futures on the CBOE Volatility Index® (VIX® Index) and total exchange-wide ADV at CFE reached record levels in February 2014. Also during the month, the exchange launched trading of futures on the CBOE Short-Term Volatility IndexSM (VXSTSM).
VIX Futures
Average daily volume in VIX futures reached a new record of 216,797 contracts during February, a 35-percent increase from February 2013 and a three-percent increase from January. February's ADV topped the previous ADV record of 210,674 contracts in June 2013. February trading volume in VIX futures totaled 4.12 million contracts, a 35-percent increase from February 2013. When compared to January, which experienced record volume and had two additional trading days, February volume decreased six percent.
|
CFE Monthly Volume Summary |
Year-To-Date |
|||||||
|
Feb 2014 |
Feb 2013 |
% Chg |
Jan 2014 |
% Chg |
Feb 2014 |
Feb 2013 |
% Chg |
|
|
Trading Days |
19 |
19 |
21 |
40 |
40 |
|||
|
VIX Index Futures |
||||||||
|
Total |
4,119,148 |
3,062,344 |
35% |
4,401,826 |
-6% |
8,520,974 |
5,960,083 |
43% |
|
ADV |
216,797 |
161,176 |
35% |
209,611 |
3% |
213,024 |
149,002 |
43% |
|
CFE Total Exchange |
||||||||
|
Total |
4,123,545 |
3,087,775 |
34% |
4,407,071 |
-6% |
8,530,616 |
6,015,388 |
42% |
|
ADV |
217,029 |
162,514 |
34% |
209,861 |
3% |
213,265 |
150,385 |
42% |
Total CFE
Exchange-wide ADV during February was a new high of 217,029 contracts, a 34-percent increase from a year ago and a three-percent increase from January. February's ADV surpassed the previous monthly ADV record of 211,022 contracts in June 2013. Exchange-wide total volume during the month was 4.12 million contracts, a 34-percent increase from February 2013. When compared to January, which experienced record volume and had two additional trading days, February volume decreased six percent.
Futures on CBOE Short-Term Volatility Index Launched
On February 13, CBOE Futures Exchange launched trading of futures with weekly expirations on the CBOE Short-Term Volatility IndexSM (VXSTSM). Like CBOE's flagship CBOE Volatility Index (VIX), the "Short-Term VIX" Index reflects investors' consensus view of expected stock market volatility using CBOE's proprietary VIX methodology. The VIX Index uses S&P 500 Index (SPX) monthly options in its calculation to measure expectations of 30-day volatility, while the VXST Index uses SPX options that expire every week (including SPX Weeklys) to gauge expectations of nine-day volatility. The VXST Index's shorter time horizon makes it particularly responsive to short-term volatility triggered by market events such as corporate earnings, government reports and Fed announcements. For information on CBOE Short-Term Volatility Index futures, see www.cboe.com/VXSTms/.
