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CBOE Holdings Reports March 2013 Trading Volume - VIX Futures Set Record Total Monthly Volume For Third Straight Month

Date 01/04/2013

CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that March  trading volume for options contracts on Chicago Board Options Exchange®, Incorporated (CBOE®) and C2 Options Exchange (C2SM) and futures contracts on CBOE Futures Exchange, LLC (CFE®) totaled 89.81 million contracts. Average daily volume (ADV) in March was 4.49 million contracts, up three percent from 4.38 million contracts in February 2013 and down nine percent from 4.93 million contracts in March 2012. 

In March, CBOE Volatility Index® (VIX® Index) futures established their best month ever in total monthly volume and second best in average daily volume.  

CBOE Holdings Consolidated Trading Volume

Year-To-Date

(trades in thousands)

Mar-13

Mar-12

% Chg

Feb-13

% Chg

Mar-13

Mar-12

% Chg

Trading Days

20

22

19

60

62

Total Contracts (options & futures)

89,811.7

108,455.6

-17%

83,140.3

8%

256,232.7

302,667.5

-15%

Total Options Contracts (CBOE & C2)

86,582.8

106,654.2

-19%

80,052.6

8%

246,988.4

298,543.9

-17%

Total Futures Contracts (CFE)

3,228.9

1,801.4

79%

3,087.8

5%

9,244.3

4,123.6

124%









Total ADV (options & futures)

4,490.6

4,929.8

-9%

4,375.8

3%

4,270.5

4,881.7

-13%

Total Options ADV (CBOE & C2)

4,329.1

4,847.9

-11%

4,213.3

3%

4,116.5

4,815.2

-15%

Total Futures ADV (CFE)

161.4

81.9

97%

162.5

-1%

154.1

66.5

132%

 

 

CBOE Trading Volume and Market Share

 

CBOE Trading Volume:

  • March 2013 ADV at CBOE was 4.04 million contracts, up two percent from February 2013 ADV of 3.95 million contracts and down 13 percent from March 2012 ADV of 4.62 million contracts.
  • The five most actively traded index and ETP options at CBOE in March were S&P 500® Index (SPXSM) options, CBOE Volatility Index® (VIX® Index) options, Standard & Poor's Depositary Receipt (SPY) options, iShares Trust - Russell 2000 Index Fund (IWM) options and iPath S&P 500 VIX Short-Term Futures ETN (VXX) options.
  • The five most actively traded equity options in March were Bank of America (BAC), Apple (AAPL), Blackberry (BBRY), Facebook (FB), and Citigroup (C).

CBOE Trading Volume Current Month

Year-To-Date

(trades in thousands)

Mar-13

Mar-12

% Chg

Feb-13

% Chg

Mar-13

Mar-12

% Chg

Trading Days

20

22

19

60

62

Total Exchange

80,802.2

101,742.4

-21%

75,053.9

8%

236,695.7

284,768.1

-17%

Total Exchange ADV

4,040.1

4,624.7

-13%

3,950.2

2%

3,944.9

4,593.0

-14%

Equity Options

29,346.3

46,413.7

-37%

29,405.9

0%

91,365.2

138,184.2

-34%

Equity Options ADV

1,467.3

2,109.7

-30%

1,547.7

-5%

1,522.8

2,228.8

-32%

Index Options

31,055.0

26,795.6

16%

26,827.1

16%

89,909.9

72,417.8

24%

Index Options ADV

1,552.8

1,218.0

27%

1,412.0

10%

1,498.5

1,168.0

28%

ETF Options

20,400.9

28,533.0

-29%

18,820.9

8%

55,420.6

74,166.1

-25%

ETF Options ADV

1,020.0

1,297.0

-21%

990.6

3%

923.7

1,196.2

-23%

Expanded full-year and March 2013 volume information for CBOE index and ETP options is available at: www.cboe.com/data/monthlyvolume.aspx.

CBOE Market Share:

CBOE market share of total U.S. options industry volume was 25.9 percent in March 2013, up 2.5 percentage points from February 2013 and down 1.1 percentage points from March 2012. If the volume from dividend trades was excluded from industry data for March, the Exchange's total market share would be 26.7 percent. Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.

CBOE Market Share Current Month

Year-To-Date

Mar-13

Mar-12

% Pt. Chg.

Feb-13

% Pt. Chg

Mar-13

Mar-12

% Pt. Chg.

Total Exchange

25.9%

27.0%

-1.1%

23.4%

2.5%

23.8%

26.8%

-3.0%

Total Exchange (excl. dividend trades)

26.7%

28.6%

-1.9%

24.1%

2.6%

24.4%

28.5%

-4.1%

Equity Options

17.6%

22.6%

-5.0%

15.9%

1.7%

16.0%

21.8%

-5.8%

Equity Options (excl. dividend trades)

19.8%

24.3%

-4.5%

18.7%

1.1%

18.1%

24.2%

-6.1%

Index Options

95.5%

94.4%

1.1%

94.6%

0.9%

95.0%

94.6%

0.4%

Index Options (excl. dividend trades)

95.2%

94.4%

0.8%

93.8%

1.4%

94.5%

94.6%

-0.1%

ETF Options

18.1%

20.0%

-1.9%

17.4%

0.7%

16.9%

21.1%

-4.2%

ETF Options (excl. dividend trades)

18.7%

21.3%

-2.6%

17.4%

1.3%

17.1%

21.7%

-4.6%

C2 Trading Volume and Market Share

C2 Trading Volume:

C2 volume in March 2013 totaled 5.78 million contracts. ADV was 289,000 contracts — up 29 percent from March 2012 ADV of 223,300 contracts and up 10 percent from February 2013 ADV of 263,100 contracts.

C2 Trading Volume Current Month

Year-To-Date

(trades in thousands)

Mar-13

Mar-12

% Chg

Feb-13

% Chg

Mar-13

Mar-12

% Chg

Trading Days

20

22

19

60

62

Total Exchange

5,780.7

4,911.8

18%

4,998.6

16%

16,032.0

13,775.8

16%

Total Exchange ADV

289.0

223.3

29%

263.1

10%

267.2

222.2

20%

Equity Options

1,106.0

1,875.6

-41%

1,362.7

-19%

4,919.9

5,675.2

-13%

Equity Options ADV

55.3

85.3

-35%

71.7

-23%

82.0

91.5

-10%

Index Options*

--

165.4

--

52.0

--

136.3

360.2

--

Index Options ADV*

--

7.5

--

2.7

--

2.3

5.8

--

ETF Options

4,674.7

2,870.9

63%

3,583.9

30%

10,975.9

7,740.4

42%

ETF Options ADV

233.7

130.5

79%

188.6

24%

182.9

124.8

47%

*SPXpm moved from C2 to CBOE on February 19, 2013.

 

 

C2 Market Share:

 

C2 market share of total industry volume in March 2013 was 1.9 percent, up 0.6 of a percentage point from March 2012 and up 0.3 of a percentage point fromFebruary 2013.

C2  Market Share Current Month


Year-To-Date

Mar-13

Mar-12

% Pt. Chg.

Feb-13

% Pt.

Chg.

Mar-13

Mar-12

% Pt.

Chg.

Total Exchange

1.9%

1.3%

0.6%

1.6%

0.3%

1.6%

1.3%

0.3%

Total Exchange(excl. dividend trades)

1.9%

0.9%

1.0%

1.6%

0.3%

1.7%

1.4%

0.3%

Equity Options

0.7%

0.9%

-0.2%

0.7%

--

0.9%

0.9%

--

Equity Options (excl. dividend trades)

0.7%

1.0%

-0.3%

0.8%

-0.1%

0.9%

1.0%

-0.1%

Index Options*

--

0.6%

--

0.2%

--

0.1%

0.5%

--

Index Options*(excl. dividend trades)

--

0.6%

--

0.2%

--

0.2%

0.5%

--

ETF Options

4.2%

2.0%

2.2%

3.3%

0.9%

3.4%

2.2%

1.2%

ETF Options (excl. dividend trades)

4.3%

2.1%

2.2%

3.3%

1.0%

3.4%

2.3%

1.1%

*SPXpm moved from C2 to CBOE on February 19, 2013.

CBOE Futures Exchange Trading Volume

  • VIX futures established a new all-time monthly total volume record in March — 3,220,977 contracts — surpassing the previous monthly record of 3,062,344 contracts traded inFebruary 2013 by five percent.  
  • Average daily volume of 161,049 in VIX futures during March fell just short of the record ADV of 161,176 contracts in February.   

 

 

CBOE Holdings Average Revenue Per Contract  

 

The following represents the average revenue per contract 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 on all three exchanges during the period.  Average revenue 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:

Feb-13

Jan-13

Dec-12

Nov-12

Equities

$0.153

$0.149

$0.134

$0.124

Indexes

$0.670

$0.665

$0.670

$0.670

Exchange Traded Products

$0.181

$0.194

$0.186

$0.183

     Total Options Average Revenue Per Contract

$0.341

$0.340

$0.322

$0.309

Futures

$1.560

$1.484

$1.442

$1.473

     Total Average Revenue Per Contract

$0.382

$0.376

$0.355

$0.342

 

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