CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that August 2012 consolidated trading volume for options contracts on the Chicago Board Options Exchange® (CBOE®) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures Exchange (CFE®) totaled over 91 million contracts.
- August 2012 average daily volume (ADV) for the three exchanges, combined, was 3.97 million contracts, a 40-percent decrease when compared to the all-time-monthly record ADV of 6.65 million contracts in August 2011, and a seven-percent decrease from 4.24 million contracts ADV in July 2012.
- Year to date through August 2012, consolidated ADV for the three exchanges totaled 4.65 million contracts, down seven percent from the same period a year ago.
|
CBOE Holdings Consolidated Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
Aug-12 |
Aug-11 |
% Chg |
Jul-12 |
% Chg |
Aug-12 |
Aug-11 |
% Chg |
|
Trading Days |
23 |
23 |
21 |
169 |
168 |
|||
|
Total Contracts - Options and Futures |
91,258.5 |
153,010.7 |
-40% |
89,123.8 |
2% |
785,698.9 |
840,763.5 |
-7% |
|
Total Options Contracts (CBOE & C2) |
89,342.8 |
151,182.2 |
-41% |
87,204.7 |
2% |
771,856.7 |
832,077.4 |
-7% |
|
Futures Contracts |
1,915.7 |
1,828.5 |
5% |
1,919.1 |
0% |
13,842.2 |
8,686.1 |
59% |
|
Total ADV- Options and Futures |
3,967.8 |
6,652.6 |
-40% |
4,244.0 |
-7% |
4,649.1 |
5,004.5 |
-7% |
|
Total Options ADV (CBOE & C2) |
3,884.5 |
6,573.1 |
-41% |
4,152.6 |
-6% |
4,567.2 |
4,952.8 |
-8% |
|
Futures ADV |
83.3 |
79.5 |
5% |
91.4 |
-9% |
81.9 |
51.7 |
58% |
CBOE Trading Volume and Market Share
- CBOE trading volume — CBOE August 2012 ADV was 3.75 million contracts, down 40 percent from the all-time record 6.26 million contracts ADV in August 2011 and down six percent from July 2012 ADV of 3.97 million contracts.
- The five most actively traded index and ETF options at CBOE during August were S&P 500® Index (SPXSM ) options, Standard & Poor's Depositary Receipt (SPY) ETF options, CBOE Volatility Index® (VIX® Index) options, PowerShares QQQ Trust (QQQ) ETF options, and iShares Trust Russell 2000 Index Fund (IWM) ETF options.
|
CBOE Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
Aug-12 |
Aug-11 |
% Chg |
Jul-12 |
% pt. Chg |
Aug-12 |
Aug-11 |
% Chg |
|
Trading Days |
23 |
23 |
21 |
169 |
168 |
|||
|
Total Exchange |
86,169.9 |
144,033.6 |
-40% |
83,332.2 |
3% |
737,709.7 |
798,406.1 |
-8% |
|
Total Exchange ADV |
3,746.5 |
6,262.3 |
-40% |
3,968.2 |
-6% |
4,365.1 |
4,752.4 |
-8% |
|
Equity Options |
41,522.9 |
49,393.9 |
-16% |
39,594.4 |
5% |
340,752.8 |
360,516.6 |
-5% |
|
Equity Options ADV |
1,805.3 |
2,147.6 |
-16% |
1,885.4 |
-4% |
2,016.3 |
2,145.9 |
-6% |
|
Index Options |
23,303.9 |
45,848.2 |
-49% |
22,446.7 |
4% |
196,621.8 |
214,679.2 |
-8% |
|
Index Options ADV |
1,013.2 |
1,993.4 |
-49% |
1,068.9 |
-5% |
1,163.4 |
1,277.9 |
-9% |
|
ETF Options |
21,343.1 |
48,791.5 |
-56% |
21,291.1 |
0% |
200,335.1 |
223,210.2 |
-10% |
|
ETF Options ADV |
928.0 |
2,121.4 |
-56% |
1,013.9 |
-8% |
1,185.4 |
1,328.6 |
-11% |
Expanded August 2012 volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.
CBOE Market Share:
CBOE August market share was 27.7 percent, up 1.5 percentage points from August 2011 and up 0.5 of a percentage point from July 2012. If the volume from dividend trades was excluded from industry data for August 2012, CBOE's total market share would be 28.7 percent.
Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.
|
CBOE Current Month |
Year-To-Date |
|||||||
|
Aug 2012 |
Aug 2011 |
% pt. Chg |
Jul 2012 |
% pt. Chg |
Aug 2012 |
Aug 2011 |
% pt. Chg |
|
|
Total Exchange |
27.7% |
26.2% |
1.5% |
27.2% |
0.5% |
27.3% |
25.6% |
1.7% |
|
Total Exchange (excl. dividend trades) |
28.7% |
26.5% |
2.2% |
28.5% |
0.2% |
28.5% |
26.4% |
2.1% |
|
Equity Options |
22.7% |
19.8% |
2.9% |
22.1% |
0.6% |
22.1% |
20.9% |
1.2% |
|
Equity Option (excl. dividend trades) |
24.2% |
20.3% |
3.9% |
24.0% |
0.2% |
23.7% |
22.0% |
1.7% |
|
Index Options |
93.9% |
95.4% |
-1.5% |
93.0% |
0.9% |
94.1% |
94.6% |
-0.5% |
|
Index Options (excl. dividend trades) |
94.0% |
95.5% |
-1.5% |
93.2% |
0.8% |
94.3% |
94.9% |
-0.6% |
|
ETF Options |
20.6% |
19.3% |
1.3% |
20.5% |
0.1% |
21.1% |
19.2% |
1.9% |
|
ETF Options (excl. dividend trades) |
20.6% |
19.3% |
1.3% |
20.6% |
-- |
21.4% |
19.3% |
2.1% |
C2 Options Exchange Trading Volume and Market Share
C2 Trading Volume:
In August 2012, daily volume on C2 Options Exchange averaged 138,000 contracts, down 56 percent from the all-time record ADV of 310,800 contracts in August 2011and down 25 percent from July 2012 ADV of 184,400 contracts.
|
C2 Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
Aug-12 |
Aug-11 |
% Chg |
Jul-12 |
% Chg |
Aug-12 |
Aug-11 |
% Chg |
|
Trading Days |
23 |
23 |
21 |
169 |
168 |
|||
|
Total Exchange |
3,172.9 |
7,148.6 |
-56% |
3,872.5 |
-18% |
34,147.0 |
33,671.3 |
1% |
|
Total Exchange ADV |
138.0 |
310.8 |
-56% |
184.4 |
-25% |
202.1 |
200.4 |
1% |
|
Equity Options |
1,395.0 |
2,212.6 |
-37% |
1,662.1 |
-16% |
13,739.0 |
12,389.7 |
11% |
|
Equity Options ADV |
60.7 |
96.2 |
-37% |
79.1 |
-23% |
81.3 |
73.7 |
10% |
|
Index Options |
101.6 |
NA |
NA |
113.6 |
-11% |
1,005.1 |
NA |
NA |
|
Index Options ADV |
4.4 |
NA |
NA |
5.4 |
-18% |
5.9 |
NA |
NA |
|
ETF Options |
1,676.3 |
4,936.0 |
-66% |
2,096.9 |
-20% |
19,402.9 |
21,281.6 |
-9% |
|
ETF Options ADV |
72.9 |
214.6 |
-66% |
99.9 |
-27% |
114.8 |
126.7 |
-9% |
C2 Market Share:
In August 2012, C2's market share was one percent, down 0.3 of a percentage point from July 2012 and August 2011.
|
C2 Current Month |
Year-To-Date |
|||||||
|
Aug 2012 |
Aug 2011 |
% pt. Chg |
Jul 2012 |
% pt. Chg |
Aug 2012 |
Aug 2011 |
% pt. Chg |
|
|
Total Exchange |
1.0% |
1.3% |
-0.3% |
1.3% |
-0.3% |
1.3% |
1.1% |
0.2% |
|
Total Exchange (excl. dividend trades) |
1.1% |
0.9% |
0.2% |
1.3% |
-0.2% |
1.3% |
1.1% |
0.2% |
|
Equity Options |
0.8% |
0.6% |
0.2% |
0.9% |
-0.1% |
0.9% |
0.7% |
0.2% |
|
Equity Options (excl. dividend trades) |
0.8% |
0.9% |
-0.1% |
1.0% |
-0.2% |
1.0% |
0.8% |
0.2% |
|
Index Options |
0.4% |
NA |
NA |
0.5% |
-0.1% |
0.5% |
NA |
NA |
|
Index Options (excl. dividend trades) |
0.4% |
NA |
NA |
0.5% |
-0.1% |
0.5% |
NA |
NA |
|
ETF Options |
1.6% |
2.0% |
-0.4% |
2.0% |
-0.4% |
2.0% |
1.8% |
0.2% |
|
ETF Options (excl. dividend trades) |
1.6% |
2.0% |
-0.4% |
2.0% |
-0.4% |
2.1% |
1.8% |
0.3% |
CBOE Futures Exchange Trading
- In August 2012, CFE traded 1,915,695 contracts, with an ADV of 83,290 contracts.
- August average daily trading volume in the exchange's flagship product -- futures on the CBOE Volatility Index (the VIX Index) -- totaled 83,016 contracts, up five percent fromAugust 2011 ADV of 79,402 contracts, and down nine percent from July 2012 ADV of 91,140 contracts.
- Year to date through August 2012, VIX Index futures ADV was 58 percent ahead of the same period a year ago.
CBOE Holdings Average Transaction Fee Per Contract
The following represents the average transaction fee per contract based on a three-month rolling average, reported on a one-month lag. The average transaction fee per contract represents total transaction fees for CBOE, C2, and CFE recognized for the period divided by total contracts traded during the period. Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.
|
(In dollars) |
Three-Month Period Ended |
|||
|
Product: |
July 2012 |
June 2012 |
May 2012 |
April 2012 |
|
Equities |
$0.124 |
$0.123 |
$0.117 |
$0.112 |
|
Indexes |
0.680 |
0.677 |
0.673 |
0.667 |
|
Exchange Traded Funds |
0.177 |
0.180 |
0.176 |
0.172 |
|
Total Options Average Transaction Fee Per Contract |
0.289 |
0.288 |
0.279 |
0.267 |
|
Futures |
1.598 |
1.607 |
1.650 |
1.655 |
|
Total Average Transaction Fee Per Contract |
$0.316 |
$0.314 |
$0.304 |
$0.290 |
