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CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that July average daily volume (ADV) for options contracts traded on Chicago Board Options Exchange® (CBOE®) and C2 Options Exchange (C2), and futures contracts traded on CBOE Futures Exchange (CFE®) was 4.7 million contracts, a decrease of 2 percent from July 2015 and 9 percent from June 2016.
Trading Volume Highlights: July
- Equity options traded at CBOE had an ADV of 1.4 million contracts in July, an increase of 13 percent from June 2016.
- S&P 500® Index (SPX) options had an ADV of 1.1 million contracts in July, an increase of 7 percent from July 2015.
- SPX options in extended trading hours at CBOE, had an ADV of 2,342 contracts in July, up from 1,781 in June 2016 and 592 in July 2015.
- CBOE Volatility Index® (VIX® Index) futures open interest at CFE reached a new all-time high of 525,144 contracts on July 20, surpassing the previous record of 501,835 contracts on June 7.
Business Developments: July
- On July 29, CBOE announced plans to broaden data distribution on the widely followed MSCI Emerging Markets (MXEF) and MSCI EAFE (MXEA) Indexes, press release.
- On July 11, CBOE announced plans to list SPX Monday-expiring Weeklys options, beginning August 15, pending regulatory approval. With the expected introduction of SPX "Monday Weeklys," which will allow investors to hedge their over-the-weekend risks, CBOE will offer SPX options with Monday, Wednesday and Friday weekly expirations, press release.
- On July 6, CBOE announced that it has created a series of 13 "Enhanced Growth Indexes," the second in a family of options-based strategy performance benchmarks designed to target the outcomes of specific investment strategies. The CBOE S&P 500® Enhanced Growth Indexes measure the performance of a hypothetical portfolio of SPX FLexible EXchange (FLEX®) options designed to provide targeted annual returns, press release.
- On July 1, CBOE Holdings opened its first international business development office in London, press release.
CBOE Holdings Trading Volume Tables: July
|
CBOE Holdings Consolidated Trading Volume Current Month |
Year-To-Date |
|||||||
|
(contracts in thousands) |
July |
July |
% |
June |
% |
July |
July |
% |
|
Trading Days |
20 |
22 |
22 |
145 |
146 |
|||
|
Total Contracts (options & futures) |
94,405.3 |
106,476.4 |
-11% |
113,990.9 |
-17% |
676,877.4 |
673,054.8 |
1% |
|
Total Options Contracts |
89,929.6 |
101,457.7 |
-11% |
106,889.5 |
-16% |
642,677.0 |
645,080.3 |
--- |
|
Total Futures Contracts (CFE) |
4,475.7 |
5,018.7 |
-11% |
7,101.4 |
-37% |
34,200.4 |
27,974.5 |
22% |
|
Total ADV (options & futures) |
4,720.3 |
4,839.8 |
-2% |
5,181.4 |
-9% |
4,668.2 |
4,610.0 |
1% |
|
Total Options ADV (CBOE & C2) |
4,496.5 |
4,611.7 |
-2% |
4,858.6 |
-7% |
4,432.3 |
4,418.4 |
--- |
|
Total Futures ADV (CFE) |
223.8 |
228.1 |
-2% |
322.8 |
-31% |
235.9 |
191.6 |
23% |
|
CBOE Trading Volume Current Month* |
Year-To-Date |
|||||||
|
(contracts in thousands) |
July |
July |
% |
June |
% |
July |
July |
% |
|
Trading Days |
20 |
22 |
22 |
145 |
146 |
|||
|
Total Exchange |
83,332.4 |
93,889.8 |
-11% |
99,969.3 |
-17% |
597,407.6 |
597,580.4 |
--- |
|
Total Exchange ADV |
4,166.6 |
4,267.7 |
-2% |
4,544.1 |
-8% |
4,120.1 |
4,093.0 |
1% |
|
Equity Options |
27,893.2 |
31,497.6 |
-11% |
27,114.9 |
3% |
193,524.8 |
226,249.5 |
-14% |
|
Equity Options ADV |
1,394.7 |
1,431.7 |
-3% |
1,232.5 |
13% |
1,334.7 |
1,549.7 |
-14% |
|
Index Options |
33,763.5 |
38,387.4 |
-12% |
44,708.2 |
-24% |
251,017.6 |
214,161.4 |
17% |
|
Index Options ADV |
1,688.2 |
1,744.9 |
-3% |
2,032.2 |
-17% |
1,731.2 |
1,466.9 |
18% |
|
ETP Options |
21,675.7 |
24,004.8 |
-10% |
28,146.2 |
-23% |
152,865.2 |
157,169.6 |
-3% |
|
ETP Options ADV |
1,083.8 |
1,091.1 |
-1% |
1,279.4 |
-15% |
1,054.2 |
1,076.5 |
-2% |
*Expanded volume information for CBOE index and ETP options is available at:www.cboe.com/data/monthlyvolume.aspx.
|
C2 Trading Volume Current Month |
Year-To-Date |
|||||||
|
(contracts in thousands) |
July |
July |
% |
June |
% |
July |
July |
% |
|
Trading Days |
20 |
22 |
22 |
145 |
146 |
|||
|
Total Exchange |
6,597.2 |
7,567.9 |
-13% |
6,920.1 |
-5% |
45,269.3 |
47,499.9 |
-5% |
|
Total Exchange ADV |
329.9 |
344.0 |
-4% |
314.6 |
5% |
312.2 |
325.3 |
-4% |
|
Equity Options |
1,865.3 |
2,210.5 |
-16% |
1,532.7 |
22% |
11,852.7 |
14,133.5 |
-16% |
|
Equity Options ADV |
93.3 |
100.5 |
-7% |
69.7 |
34% |
81.7 |
96.8 |
-16% |
|
Index Options |
157.5 |
180.1 |
-13% |
260.7 |
-40% |
1,619.9 |
798.8 |
103% |
|
Index Options ADV |
7.9 |
8.2 |
-4% |
11.8 |
-34% |
11.2 |
5.5 |
104% |
|
ETP Options |
4,574.4 |
5,177.3 |
-12% |
5,126.8 |
-11% |
31,796.8 |
32,567.6 |
-2% |
|
ETP Options ADV |
228.7 |
235.3 |
-3% |
233.0 |
-2% |
219.3 |
223.1 |
-2% |
|
CFE Trading Volume Current Month* |
Year-To-Date |
|||||||
|
July |
July |
% |
June |
% |
July |
July |
% |
|
|
Trading Days |
20 |
22 |
22 |
145 |
146 |
|||
|
VIX Index Futures |
||||||||
|
Total |
4,475,340 |
5,017,708 |
-11% |
7,100,566 |
-37% |
34,196,042 |
27,961,761 |
22% |
|
ADV |
223,767 |
228,078 |
-2% |
322,753 |
-31% |
235,835 |
191,519 |
23% |
|
CFE Total Exchange |
||||||||
|
Total |
4,475,738 |
5,018,696 |
-11% |
7,101,395 |
-37% |
34,200,436 |
27,974,455 |
22% |
|
ADV |
223,787 |
228,123 |
-2% |
322,791 |
-31% |
235,865 |
191,606 |
23% |
*Volume numbers for 2016 now include VIX Weeklys futures totals.
|
CBOE Holdings Market Share Current Month |
Year-To-Date |
|||||||
|
July |
July |
% Pt. |
June |
% Pt. |
July |
July |
% Pt. |
|
|
Total Exchange (CBOE & C2) |
29.1% |
26.8% |
2.3% |
29.1% |
--- |
27.2% |
27.6% |
-0.4% |
|
CBOE |
27.0% |
24.8% |
2.2% |
27.2% |
-0.2% |
25.3% |
25.6% |
-0.3% |
|
C2 |
2.1% |
2.0% |
0.1% |
1.9% |
0.2% |
1.9% |
2.0% |
-0.1% |
|
Total Equity Options (CBOE & C2) |
19.5% |
16.7% |
2.8% |
18.3% |
1.2% |
18.0% |
18.8% |
-0.8% |
|
Total Index Options (CBOE & C2) |
99.4% |
98.8% |
0.6% |
99.3% |
0.1% |
99.2% |
97.8% |
1.4% |
|
Total ETF Options (CBOE & C2) |
21.5% |
21.2% |
0.3% |
20.1% |
1.4% |
19.1% |
22.7% |
-3.6% |
CBOE Holdings Average Revenue Per Contract
The following represents average revenue per contract (RPC) based on a three-month rolling average, reported on a one-month lag. The average revenue 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: |
June |
May |
April |
March |
|
Equity Options |
$0.700 |
$0.075 |
$0.081 |
$0.085 |
|
Index Options |
$0.701 |
$0.698 |
$0.706 |
$0.720 |
|
ETP Options |
$0.103 |
$0.104 |
$0.111 |
$0.117 |
|
Total Options Average Revenue Per Contract |
$0.328 |
$0.326 |
$0.335 |
$0.346 |
|
Futures |
$1.682 |
$1.721 |
$1.697 |
$1.643 |
|
Total Average Revenue Per Contract |
$0.405 |
$0.394 |
$0.397 |
$0.405 |
