CBOE Holdings, Inc. (NASDAQ: CBOE) today reported that May trading volume for options on theChicago Board Options Exchange (CBOE) and C2 Options Exchange (C2), the company's alternative all-electronic market, combined, totaled 88.1 million contracts, an average daily volume (ADV) of 4.2 million contracts. CBOE Futures Exchange (CFE) total trading volume during May was just under one million contracts, making it the second busiest month in CFE's history. In addition, CFE ADV was a record, exceeding 47,000 contracts per day during May.
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CBOE Options Trading:
- CBOE's May ADV of 4.0 million contracts was a 39-percent decrease from 6.6 million contracts per day in May 2010, CBOE's largest month ever for trading volume, and a seven-percent decrease from April 2011 ADV of 4.3 million contracts. Year to date through May, total CBOE ADV of 4.6 million contracts was down 10 percent from the same period in 2010.
- CBOE index options — May 2011 index options ADV was just over one million contracts, down 38 percent from 1.7 million contracts ADV in May 2010 and up three percent from April 2011 ADV of nearly one million contracts. CBOE Volatility Index (VIX) options volume continued to grow, with May volume up 14 percent over April 2011, and year-to-date trading volume through May 2011 up 52 percent from the same period in 2010.
- CBOE ETF options — May 2011 ETF options ADV was 1.1 million contracts, down 43 percent from 2.0 million contracts ADV in May 2010 and down five percent from April 2011 ADV of 1.2 million contracts.
- CBOE equity options — May 2011 equity options ADV was 1.8 million contracts, down 37 percent from 2.9 million contracts ADV in May 2010 and down 13 percent from April 2011 ADV of 2.1 million contracts.
- The top five most actively traded index and ETF options at CBOE during May were the S&P 500 Index (SPX), Standard and Poor's Depositary Receipts (SPY), CBOE Volatility Index (VIX), iShares Silver Trust (SLV) and iShares Trust - Russell 2000 Index Fund (IWM).
- The top five most actively traded equity options during May were Apple (AAPL), Citigroup (C), Bank of America (BAC), Cisco Systems (CSCO) and Intel Corporation (INTC).
CBOE Trading Volume |
Year-To-Date |
||||||||
(trades in thousands) |
May 2011 |
May 2010 |
% Chg |
April 2011 |
% Chg |
May 2011 |
May 2010 |
% Chg |
|
Trading Days |
21 |
20 |
20 |
103 |
102 |
||||
Total Exchange |
84,157.3 |
131,349.3 |
-36% |
86,187.8 |
-2% |
472,681.4 |
519,997.3 |
-9% |
|
Total Exchange ADV |
4,007.5 |
6,567.5 |
-39% |
4,309.4 |
-7% |
4,589.1 |
5,098.0 |
-10% |
|
Equity Options |
38,441.2 |
57,839.4 |
-34% |
42,103.8 |
-9% |
237,111.6 |
266,337.7 |
-11% |
|
Equity Options ADV |
1,830.5 |
2,892.0 |
-37% |
2,105.2 |
-13% |
2,302.1 |
2,611.2 |
-12% |
|
Index Options |
21,595.4 |
33,119.1 |
-35% |
19,979.9 |
8% |
114,260.7 |
124,847.2 |
-8% |
|
Index Options ADV |
1,028.4 |
1,656.0 |
-38% |
999.0 |
3% |
1,109.3 |
1,224.0 |
-9% |
|
ETF Options |
24,120.8 |
40,389.8 |
-40% |
24,104.1 |
0% |
121,309.1 |
128,810.3 |
-6% |
|
ETF Options ADV |
1,148.6 |
2,019.5 |
-43% |
1,205.2 |
-5% |
1,177.8 |
1,262.8 |
-7% |
|
Expanded May volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.
CBOE Market Share: CBOE's market share of total U.S. options industry volume in May was 23.4 percent, down 2.3 percentage points from April 2011 and down nine percentage points from May 2010. If the volume from dividend trades was excluded from CBOE's data for May 2011, the Exchange's total market share for May would increase to 24.7 percent from 23.4 percent, an increase of 1.3 market share points. 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 |
||||||||
May 2011 |
May 2010 |
% pt. Chg |
Apr 2011 |
% pt. Chg |
May 2011 |
May 2010 |
% pt. Chg |
||
Total Exchange |
23.4% |
32.4% |
-9.0% |
25.7% |
-2.3% |
25.6% |
30.7% |
-5.1% |
|
Total Exchange (excl. dividend trades) |
24.7% |
32.8% |
-8.1% |
26.5% |
-1.8% |
26.7% |
31.7% |
-5.0% |
|
Equity Options |
18.9% |
27.1% |
-8.2% |
21.0% |
-2.1% |
21.6% |
25.8% |
-4.2% |
|
Equity Option (excl. dividend trades) |
20.7% |
27.7% |
-7.0% |
22.2% |
-1.5% |
22.9% |
27.0% |
-4.1% |
|
Index Options |
93.6% |
93.9% |
-0.3% |
93.9% |
-0.3% |
94.3% |
93.5% |
0.8% |
|
Index Options (excl. dividend trades) |
93.9% |
94.4% |
-0.5% |
94.1% |
-0.2% |
94.6% |
94.1% |
0.5% |
|
ETF Options |
18.1% |
25.7% |
-7.6% |
21.2% |
-3.1% |
19.4% |
24.5% |
-5.1% |
|
ETF options (excl. dividend trades) |
18.1% |
25.8% |
-7.7% |
21.2% |
-3.1% |
19.6% |
24.6% |
-5.0% |
|
CBOE May Market Share by Product:
- Index options — CBOE's market share was 93.6 percent, down 0.3 of a percentage point from both April 2011 and May 2010.
- ETF options — CBOE's market share was 18.1 percent, down 3.1 percentage points from April 2011 and down 7.6 percentage points from May 2010.
- Equity options — CBOE's market share was 18.9 percent, down 2.1 percentage points from April 2011 and down 8.2 percentage points from May 2010.
C2 Trading Volume and Market Share:
In May, C2 ADV was 186,400 contracts, up seven percent from April 2011 ADV of 174,600 contracts. C2 ETF option ADV in May was up 23 percent from April 2011, and equity option ADV declined by 15 percent compared with April.
C2 Trading Volume |
Year-To-Date |
||||||
(trades in thousands) |
May 2011 |
May 2010 |
% Chg |
April 2011 |
% Chg |
May 2011 |
|
Trading Days |
21 |
20 |
20 |
103 |
|||
Total C2 |
3,915.4 |
--- |
--- |
3,491.7 |
12% |
17,480.7 |
|
Total C2 ADV |
186.4 |
--- |
--- |
174.6 |
7% |
169.7 |
|
Equity Options |
1,342.5 |
--- |
--- |
1,502.7 |
-11% |
7,731.9 |
|
Equity Options ADV |
63.9 |
--- |
--- |
75.1 |
-15% |
75.1 |
|
ETF Options |
2,573.0 |
--- |
--- |
1,989.0 |
29% |
9,748.8 |
|
ETF Options ADV |
122.5 |
--- |
--- |
99.5 |
23% |
94.6 |
|
C2 Market Share: C2's market share of total U.S. options industry volume in May was 1.1 percent, up 0.1 of a percentage point over market share in April 2011.
C2 Current Month |
Year-To-Date |
||||||||
May 2011 |
May 2010 |
% pt. Chg |
April 2011 |
% pt. Chg |
May 2011 |
May 2010 |
% pt. Chg |
||
Total Exchange |
1.1% |
0.0% |
1.1% |
1.0% |
0.1% |
0.9% |
0.0% |
0.9% |
|
Total Exchange (excl. dividend trades) |
1.1% |
0.0% |
1.1% |
1.1% |
0.1% |
1.0% |
0.0% |
1.0% |
|
Equity Options |
0.7% |
0.0% |
0.7% |
0.8% |
-0.1% |
0.7% |
0.0% |
0.7% |
|
Equity Option (excl. dividend trades) |
0.7% |
0.0% |
0.7% |
0.8% |
-0.1% |
0.7% |
0.0% |
0.7% |
|
Index Options |
0.0% |
0.0% |
0.0% |
0.0% |
0.0% |
0.0% |
0.0% |
0.0% |
|
Index Options (excl. dividend trades) |
0.0% |
0.0% |
0.0% |
0.0% |
0.0% |
0.0% |
0.0% |
0.0% |
|
ETF Options |
1.9% |
0.0% |
1.9% |
1.8% |
0.2% |
1.6% |
0.0% |
1.6% |
|
ETF options (excl. dividend trades) |
1.9% |
0.0% |
1.9% |
1.8% |
0.2% |
1.6% |
0.0% |
1.6% |
|
CFE Futures Trading:
- With trading volume totaling 994,608 contracts, CBOE Futures Exchange (CFE) recorded its second-most-active trading month in May and best-ever average daily volume for any month. ADV at CFE in May was 47,362 contracts, up 107 percent from May 2010 and up 19 percent from April 2011.
- CBOE Volatility Index (VIX) futures, the most active of CFE's products, posted monthly volume of 993,990 contracts in May, also a record monthly ADV of 47,333 contracts. VIX futures ADV was up 97 percent from May 2010 and up 13 percent from April 2011.
- May marked the twentieth consecutive month of year-over-year volume increases for CFE and VIX futures and the fourth consecutive month in which CFE and VIX daily volume averaged over 40,000 contracts.
CBOE Holdings Average Transaction Fee Per Contract:
The following represents 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 (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: |
April 2011 |
March 2011 |
February 2011 |
January 2011 |
|
Equities |
$0.163 |
$0.160 |
$0.164 |
$0.170 |
|
Indexes |
0.615 |
0.604 |
0.601 |
0.592 |
|
Exchange Traded Funds |
0.207 |
0.207 |
0.215 |
0.223 |
|
Total Options Average Transaction Fee Per Contract |
0.282 |
0.275 |
0.272 |
0.276 |
|
Futures |
1.493 |
1.507 |
1.591 |
1.657 |
|
Total Average Transaction Fee Per Contract |
$0.293 |
$0.285 |
$0.282 |
$0.286 |
|