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CBOE Holdings, Inc. (NASDAQ: CBOE) today reported that June 2012 trading volume for options on theChicago Board Options Exchange (CBOE) and C2 Options Exchange (C2), combined, totaled 96.7 million contracts. June average daily volume (ADV) was 4.6 million contracts, a two percent increase from June 2011 ADV of 4.5 million contracts and a seven-percent decline from May 2012ADV of 5.0 million contracts.
CBOE Futures Exchange (CFE) and the exchange's flagship product, futures on the CBOE Volatility Index (the VIX Index), posted back-to-back monthly records in June 2012 and surpassed the two-million contract benchmark for the second straight month.
CBOE Trading Volume and Market Share
- CBOE trading volume — CBOE's June 2012 ADV was 4.41 million contracts, up two percent from 4.31 million contracts ADV in June 2011 and down seven percent from May 2012 ADV of 4.74 million contracts.
- CBOE index options — June 2012 index option ADV was 1.25 million contracts, down four percent from 1.30 million contracts ADV in June 2011 and down seven percent from May 2012 ADV of 1.34 million contracts.
- CBOE ETF options — June 2012 ETF option ADV was 1.43 million contracts, up nine percent from 1.31 million contracts ADV in June 2011 and down less than one percent from May 2012 ADV of nearly 1.44 million contracts.
- CBOE equity options — June 2012 equity option ADV was 1.73 million contracts, up about two percent from 1.70 million contracts ADV in June 2011 and down 12 percent from May 2012 ADV of 1.96 million contracts.
- The five most actively traded index and ETF options at CBOE during June were the S&P 500 Index (SPX), Standard & Poor's Depositary Receipts (SPY), CBOE Volatility Index (VIX), PowerShares QQQ Trust (QQQ) and iShares Trust Russell 2000 Index Fund (IWM).
- The five most actively traded equity options at CBOE during June were Apple (AAPL), Bank of America (BAC), JPMorgan Chase (JPM), Facebook (FB) and Arena Pharmaceuticals (ARNA).
|
CBOE Trading Volume |
Year-To-Date |
|||||||
|
(trades in |
Jun-12 |
Jun-11 |
% Chg |
May-12 |
% pt. Chg |
Jun-12 |
Jun-11 |
% Chg |
|
Trading Days |
21 |
22 |
22 |
125 |
125 |
|||
|
Total Exchange |
92,510.8 |
94,714.6 |
-2% |
104,274.4 |
-11% |
568,207.6 |
567,396.0 |
0% |
|
Total Exchange ADV |
4,405.3 |
4,305.2 |
2% |
4,739.7 |
-7% |
4,545.7 |
4,539.2 |
0% |
|
Equity Options |
36,325.0 |
37,338.1 |
-3% |
43,054.9 |
-16% |
259,635.6 |
274,449.6 |
-5% |
|
Equity Options |
1,729.8 |
1,697.2 |
2% |
1,957.0 |
-12% |
2,077.1 |
2,195.6 |
-5% |
|
Index Options |
26,187.1 |
28,632.0 |
-9% |
29,534.5 |
-11% |
150,871.2 |
142,892.6 |
6% |
|
Index Options |
1,247.0 |
1,301.5 |
-4% |
1,342.5 |
-7% |
1,207.0 |
1,143.1 |
6% |
|
ETF Options |
29,998.8 |
28,744.6 |
4% |
31,685.0 |
-5% |
157,700.8 |
150,053.7 |
5% |
|
ETF Options |
1,428.5 |
1,306.6 |
9% |
1,440.2 |
-1% |
1,261.6 |
1,200.4 |
5% |
Expanded June 2012 volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.
CBOE Market Share:
CBOE June market share was 28.4 percent, up three percentage points from June 2011 and up about one percentage point from May 2012. If the volume from dividend trades was excluded from industry data for June 2012, CBOE's total market share would be 29.0 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 |
|||||||
|
Jun 2012 |
Jun 2011 |
% pt. Chg |
May 2012 |
% pt. Chg |
Jun 2012 |
Jun 2011 |
% pt. Chg |
|
|
Total Exchange |
28.4% |
25.4% |
3.0% |
27.6% |
0.8% |
27.3% |
25.6% |
1.7% |
|
Total Exchange (excl. dividend trades) |
29.0% |
26.1% |
2.9% |
28.5% |
0.5% |
28.5% |
26.6% |
1.9% |
|
Equity Options |
23.0% |
19.9% |
3.1% |
21.3% |
1.7% |
22.0% |
21.3% |
0.7% |
|
Equity Option (excl. dividend trades) |
23.7% |
20.5% |
3.2% |
22.6% |
1.1% |
23.5% |
22.6% |
0.9% |
|
Index Options |
93.8% |
94.3% |
-0.5% |
94.2% |
-0.4% |
94.3% |
94.3% |
0.0% |
|
Index Options (excl. dividend trades) |
93.9% |
94.5% |
-0.6% |
94.3% |
-0.4% |
94.5% |
94.6% |
-0.1% |
|
ETF Options |
21.4% |
18.6% |
2.8% |
22.0% |
-0.6% |
21.3% |
19.2% |
2.1% |
|
ETF Options (excl. dividend trades) |
21.9% |
19.0% |
2.9% |
22.0% |
-0.1% |
21.6% |
19.5% |
2.1% |
CBOE June 2012 Market Share by Product:
- Index options — CBOE's market share was 93.8 percent, down about one half of a percentage point from June 2011 and down less than one half of a percentage point from May 2012.
- Equity options — CBOE's market share was 23.0 percent, up three percentage points from June 2011 and up almost two percentage points from May 2012.
- ETF options — CBOE's market share was 21.4 percent, up almost three percentage points from June 2011 and down about one half of a percentage point from May 2012.
C2 Options Exchange Trading Volume and Market Share
C2 Trading Volume:
In June 2012, daily volume on C2 Options Exchange averaged 199,800 contracts, down five percent from June 2011 ADV of 210,900 contracts and down eleven percent from May 2012 ADV of 223,700 contracts.
June 2012 equity option average daily volume rose 22 percent over June 2011, while ETF options daily volume was down 19 percent from a year ago.
|
C2 Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
Jun-12 |
Jun-11 |
% Chg |
May-12 |
% pt. Chg |
Jun-12 |
Jun-11 |
% Chg |
|
Trading Days |
21 |
22 |
22 |
125 |
125 |
|||
|
Total Exchange |
4,195.2 |
4,639.7 |
-10% |
4,920.8 |
-15% |
27,101.6 |
22,120.4 |
23% |
|
Total Exchange ADV |
199.8 |
210.9 |
-5% |
223.7 |
-11% |
216.8 |
177.0 |
23% |
|
Equity Options |
1,436.3 |
1,233.8 |
16% |
1,827.0 |
-21% |
10,682.0 |
8,965.6 |
19% |
|
Equity Options ADV |
68.4 |
56.1 |
22% |
83.0 |
-18% |
85.5 |
71.7 |
19% |
|
Index Options |
139.4 |
N/A |
N/A |
162.4 |
-14% |
790.0 |
N/A |
N/A |
|
Index Options ADV |
6.6 |
N/A |
N/A |
7.4 |
-10% |
6.3 |
N/A |
N/A |
|
ETF Options |
2,619.5 |
3,405.9 |
-23% |
2,931.5 |
-11% |
15,629.7 |
13,154.8 |
19% |
|
ETF Options ADV |
124.7 |
154.8 |
-19% |
133.2 |
-6% |
125.0 |
105.2 |
19% |
C2 Market Share:
In June 2012, C2's market share was 1.3 percent, up slightly from June 2011 and unchanged from May 2012.
|
C2 Current Month |
Year-To-Date |
|||||||
|
Jun 2012 |
Jun 2011 |
% pt. Chg |
May 2012 |
% pt. Chg |
Jun 2012 |
Jun 2011 |
% pt. Chg |
|
|
Total Exchange |
1.3% |
1.2% |
0.1% |
1.3% |
0.0% |
1.3% |
1.0% |
0.3% |
|
Total Exchange (excl. dividend trades) |
1.3% |
1.3% |
0.0% |
1.3% |
0.0% |
1.4% |
1.0% |
0.4% |
|
Equity Options |
0.9% |
0.7% |
0.2% |
0.9% |
0.0% |
0.9% |
0.7% |
0.2% |
|
Equity Option (excl. dividend trades) |
0.9% |
0.7% |
0.2% |
1.0% |
-0.1% |
1.0% |
0.7% |
0.3% |
|
Index Options |
0.5% |
N/A |
N/A |
0.6% |
-0.1% |
0.5% |
N/A |
N/A |
|
Index Options (excl. dividend trades) |
0.5% |
N/A |
N/A |
0.5% |
0.0% |
0.5% |
N/A |
N/A |
|
ETF Options |
1.9% |
2.2% |
-0.3% |
2.0% |
-0.1% |
2.1% |
1.7% |
0.4% |
|
ETF Options (excl. dividend trades) |
1.9% |
2.2% |
-0.3% |
2.0% |
-0.1% |
2.1% |
1.7% |
0.4% |
CBOE Futures Exchange Trading
- Futures on the CBOE Volatility Index (the VIX Index) volume totaled a record 2.15 million contracts in June, up 76 percent from 1.22 million contracts traded in June 2011 and up eight percent from 2.0 million contracts traded in May 2012, the previous high.
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 CBOE Futures Exchange 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: |
May 2012 |
April 2012 |
March 2012 |
February |
|
Equities |
$0.117 |
$0.112 |
$0.110 |
$0.128 |
|
Indexes |
0.673 |
0.667 |
0.658 |
0.651 |
|
Exchange Traded Funds |
0.176 |
0.172 |
0.171 |
0.188 |
|
Total Options Average Transaction Fee Per Contract |
0.279 |
0.267 |
0.261 |
0.275 |
|
Futures |
1.650 |
1.655 |
1.697 |
1.610 |
|
Total Average Transaction Fee Per Contract |
$0.304 |
$0.290 |
$0.280 |
$0.289 |
