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- Total ADV Up 15% from June 2015
- Index Options ADV at CBOE Increases 26% from Year Ago
- VIX Futures Set Several Records in Extended Hours Trading
CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that June 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 5.2 million contracts, an increase of 22 percent from May 2016 and 15 percent from June 2015. Total options and futures volume was 114.0 million contracts, an increase of 27 percent from the previous month and 15 percent from a year ago.
Trading Volume Records: June
- CBOE Volatility Index® (VIX® Index) futures at CFE set record volume in non-U.S. trading hours onFriday, June 24, with 235,141 contracts. The new high surpassed the previous single-day record of 140,811 contracts set during the overnight session on August 24, 2015, press release.
- For the month, VIX futures volume in non-U.S. trading hours set new highs in total volume (912,293 contracts) and daily volume (41,468 contracts), topping the previous records of 650,454 contracts and 34,234 contracts, respectively, from January 2016.
Trading Volume Highlights: June
- Index options traded at CBOE had an ADV of 2.0 million contracts in June, an increase of 26 percent from June 2015.
- S&P 500® Index (SPX) options were the most actively traded index options at CBOE for the month with an ADV of 1.2 million contracts, was just shy of the all-time record of 1.3 million and up 32 percent from the 908,620 contracts traded in June 2015.
- VIX options at CBOE had an ADV of 725,052 contracts in June, up 21 percent from the 598,487 contracts traded in June 2015.
- June was the second busiest month of all time for VIX futures trading on CFE. Total volume was 7.1 million contracts, with an ADV of 322,753 contracts, up 53 percent from a year ago.
Business Developments: June
- CBOE entered into an exclusive licensing agreement with Social Market Analytics (SMA) to develop a series of sentiment-based strategy benchmark indexes based on SMA's social media metrics,press release.
- On July 1, CBOE Holdings opened its first international business development office in London, press release.
- On June 2, CBOE was named "Exchange of the Year" at the GlobalCapital Americas Derivatives Awards 2016 ceremony in New York City, press release.
CBOE Holdings Trading Volume Tables: June
|
CBOE Holdings Consolidated Trading Volume Current Month |
Year-To-Date |
|||||||
|
(contracts in thousands) |
June |
June |
% |
May |
% |
June |
June |
% |
|
Trading Days |
22 |
22 |
21 |
125 |
124 |
|||
|
Total Contracts |
113,990.9 |
99,180.8 |
15% |
89,422.0 |
27% |
582,472.0 |
566,578.4 |
3% |
|
Total Options Contracts |
106,889.5 |
94,539.0 |
13% |
84,605.9 |
26% |
552,747.3 |
543,622.6 |
2% |
|
Total Futures Contracts |
7,101.4 |
4,641.8 |
53% |
4,816.1 |
47% |
29,724.7 |
22,955.8 |
29% |
|
Total ADV |
5,181.4 |
4,508.2 |
15% |
4,258.2 |
22% |
4,659.8 |
4,569.2 |
2% |
|
Total Options ADV |
4,858.6 |
4,297.2 |
13% |
4,028.9 |
21% |
4,422.0 |
4,384.1 |
1% |
|
Total Futures ADV |
322.8 |
211.0 |
53% |
229.3 |
41% |
237.8 |
185.1 |
28% |
|
CBOE Trading Volume Current Month* |
Year-To-Date |
|||||||
|
(contracts in thousands) |
June |
June |
% |
May |
% |
June |
June |
% |
|
Trading Days |
22 |
22 |
21 |
125 |
124 |
|||
|
Total Exchange |
99,969.3 |
87,656.1 |
14% |
78,389.4 |
28% |
514,075.2 |
503,690.7 |
2% |
|
Total Exchange ADV |
4,544.1 |
3,984.4 |
14% |
3,732.8 |
22% |
4,112.6 |
4,062.0 |
1% |
|
Equity Options |
27,114.9 |
28,686.0 |
-5% |
26,720.1 |
1% |
165,631.6 |
194,751.9 |
-15% |
|
Equity Options ADV |
1,232.5 |
1,303.9 |
-5% |
1,272.4 |
-3% |
1,325.1 |
1,570.6 |
-16% |
|
Index Options |
44,708.2 |
35,564.6 |
26% |
32,063.5 |
39% |
217,254.1 |
175,774.0 |
24% |
|
Index Options ADV |
2,032.2 |
1,616.6 |
26% |
1,526.8 |
33% |
1,738.0 |
1,417.5 |
23% |
|
ETP Options |
28,146.2 |
23,405.6 |
20% |
19,605.8 |
44% |
131,189.5 |
133,164.8 |
-1% |
|
ETP Options ADV |
1,279.4 |
1,063.9 |
20% |
933.6 |
37% |
1,049.5 |
1,073.9 |
-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) |
June |
June |
% |
May |
% |
June |
June |
% |
|
Trading Days |
22 |
22 |
21 |
125 |
124 |
|||
|
Total Exchange |
6,920.1 |
6,882.9 |
1% |
6,216.4 |
11% |
38,672.1 |
39,932.0 |
-3% |
|
Total Exchange ADV |
314.6 |
312.9 |
1% |
296.0 |
6% |
309.4 |
322.0 |
-4% |
|
Equity Options |
1,532.7 |
1,891.3 |
-19% |
1,576.5 |
-3% |
9,987.4 |
11,923.0 |
-16% |
|
Equity Options ADV |
69.7 |
86.0 |
-19% |
75.1 |
-7% |
79.9 |
96.2 |
-17% |
|
Index Options |
260.7 |
168.3 |
55% |
228.2 |
14% |
1,462.4 |
618.7 |
136% |
|
Index Options ADV |
11.8 |
7.7 |
55% |
10.9 |
9% |
11.7 |
5.0 |
134% |
|
ETP Options |
5,126.8 |
4,823.2 |
6% |
4,411.7 |
16% |
27,222.3 |
27,390.3 |
-1% |
|
ETP Options ADV |
233.0 |
219.2 |
6% |
210.1 |
11% |
217.8 |
220.9 |
-1% |
|
CFE Trading Volume Current Month* |
Year-To-Date |
|||||||
|
June |
June |
% |
May |
% |
June |
June |
% |
|
|
Trading Days |
22 |
22 |
21 |
125 |
124 |
|||
|
VIX Index Futures |
||||||||
|
Total |
7,100,566 |
4,641,194 |
53% |
4,814,598 |
47% |
29,720,702 |
22,944,053 |
30% |
|
ADV |
322,753 |
210,963 |
53% |
229,267 |
41% |
237,766 |
185,033 |
28% |
|
CFE Total Exchange |
||||||||
|
Total |
7,101,395 |
4,641,754 |
53% |
4,816,144 |
47% |
29,724,698 |
22,955,759 |
29% |
|
ADV |
322,791 |
210,989 |
53% |
229,340 |
41% |
237,798 |
185,127 |
28% |
*Volume numbers for 2016 now include VIX Weeklys futures totals.
|
CBOE Holdings Market Share Current Month |
Year-To-Date |
|||||||
|
June |
June |
% Pt. |
May |
% Pt. |
June |
June |
% Pt. |
|
|
Total Exchange |
29.1% |
28.3% |
0.8% |
27.2% |
1.9% |
26.9% |
27.7% |
-0.8% |
|
CBOE |
27.2% |
26.2% |
1.0% |
25.2% |
2.0% |
25.0% |
25.7% |
-0.7% |
|
C2 |
1.9% |
2.1% |
-0.2% |
2.0% |
-0.1% |
1.9% |
2.0% |
-0.1% |
|
Total Equity Options |
18.3% |
17.9% |
0.4% |
18.0% |
0.3% |
17.7% |
19.1% |
-1.4% |
|
Total Index Options |
99.3% |
99.1% |
0.2% |
99.4% |
-0.1% |
99.1% |
97.6% |
1.5% |
|
Total ETF Options |
20.1% |
22.1% |
-2.0% |
19.9% |
0.2% |
18.8% |
23.0% |
-4.2% |
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.
Second-Quarter 2016 RPC Guidance
The company currently expects RPC by product category for the second quarter of 2016 to be in line with the amounts noted below for the two-months ended May 31, 2016, except for futures. The RPC for futures is currently expected to be 2 to 4 percent lower, due to higher volume rebates expected in June resulting from the sharp increase in VIX futures trading. These expectations are estimated, preliminary and may change. There can be no assurance that our final RPC for the three-months June 30, 2016 will not differ materially from these expectations.
|
(In Dollars) |
Two-Months Ended |
Three-Month Period Ended |
|||
|
Product: |
May 2016 |
May |
April |
March |
February |
|
Equity Options |
$0.073 |
$0.075 |
$0.081 |
$0.085 |
$0.092 |
|
Index Options |
$0.695 |
$0.698 |
$0.706 |
$0.720 |
$0.733 |
|
ETP Options |
$0.102 |
$0.104 |
$0.111 |
$0.117 |
$0.131 |
|
Total Options Average Revenue Per Contract |
$0.315 |
$0.326 |
$0.335 |
$0.346 |
$0.351 |
|
Futures |
$1.717 |
$1.721 |
$1.697 |
$1.643 |
$1.623 |
|
Total Average Revenue |
$0.390 |
$0.394 |
$0.397 |
$0.405 |
$0.413 |
