CBOE Holdings, Inc. (NASDAQ: CBOE) today reported that May trading volume for options on the Chicago Board Options Exchange (CBOE) and C2 Options Exchange (C2), combined, totaled 109.2 million contracts. May average daily volume (ADV) was just under five million contracts, an 18-percent increase from May 2011 ADV of 4.2 million contracts and a nine-percent increase from April 2012 ADV of 4.5 million contracts.
CBOE Futures Exchange (CFE) and the exchange's flagship product, the CBOE Volatility Index (the VIX Index), set new all-time monthly volume records of more than two million contracts in May.
CBOE Trading Volume and Market Share
- CBOE trading volume — CBOE's May 2012 ADV was 4.7 million contracts, up 18 percent from 4.0 million contracts ADV in May 2011 and up nine percent from April 2012 ADV of 4.3 million contracts.
- CBOE index options — May 2012 index option ADV was 1.3 million contracts, up 31 percent from just over one million contracts ADV in May 2011 and up 18 percent from April 2012 ADV of 1.1 million contracts.
- CBOE ETF options — May 2012 ETF option ADV was 1.4 million contracts, up 25 percent from 1.1 million contracts ADV in May 2011 and up 32 percent from April 2012 ADV of nearly 1.1 million contracts.
- CBOE equity options — May 2012 equity option ADV was nearly two million contracts, up seven percent from 1.8 million contracts ADV in May 2011 and down seven percent fromApril 2012 ADV of 2.1 million contracts.
- The five most actively traded index and ETF options at CBOE during May 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 May were Apple (AAPL), Bank of America (BAC), JPMorgan Chase (JPM), Citigroup (C) and Chesapeake Energy (CHK).
|
CBOE Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
May-12 |
May-11 |
% Chg |
Apr-12 |
% pt. |
May-12 |
May-11 |
% Chg |
|
Trading Days |
22 |
21 |
20 |
104 |
103 |
|||
|
Total Exchange |
104,274.4 |
84,157.3 |
24% |
86,654.2 |
20% |
475,696.7 |
472,681.4 |
1% |
|
Total Exchange ADV |
4,739.7 |
4,007.5 |
18% |
4,332.7 |
9% |
4,574.0 |
4,589.1 |
0% |
|
Equity Options |
43,054.9 |
38,441.2 |
12% |
42,071.4 |
2% |
223,310.6 |
237,111.6 |
-6% |
|
Equity Options ADV |
1,957.0 |
1,830.5 |
7% |
2,103.6 |
-7% |
2,147.2 |
2,302.1 |
-7% |
|
Index Options |
29,534.5 |
21,595.4 |
37% |
22,731.8 |
30% |
124,684.1 |
114,260.7 |
9% |
|
Index Options ADV |
1,342.5 |
1,028.4 |
31% |
1,136.6 |
18% |
1,198.9 |
1,109.3 |
8% |
|
ETF Options |
31,685.0 |
24,120.8 |
31% |
21,850.9 |
45% |
127,702.0 |
121,309.1 |
5% |
|
ETF Options ADV |
1,440.2 |
1,148.6 |
25% |
1,092.5 |
32% |
1,227.9 |
1,177.8 |
4% |
Expanded May 2012 volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.
CBOE Market Share:
CBOE May market share was 27.6 percent, up 4.2 percentage points from May 2011 and up 0.5 of a percentage point from April 2012. If the volume from dividend trades was excluded from industry data for May 2012, CBOE's total market share for May would be 28.5 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 |
|||||||
|
May 2012 |
May 2011 |
% pt. Chg |
Apr 2012 |
% pt. Chg |
May 2012 |
May 2011 |
% pt. Chg |
|
|
Total Exchange |
27.6% |
23.4% |
4.2% |
27.1% |
0.5% |
27.1% |
25.6% |
1.5% |
|
Total Exchange (excl. dividend trades) |
28.5% |
24.7% |
3.8% |
28.0% |
0.5% |
28.4% |
26.6% |
1.8% |
|
Equity Options |
21.3% |
18.9% |
2.4% |
22.3% |
-1.0% |
21.8% |
21.6% |
0.2% |
|
Equity Option (excl. dividend trades) |
22.6% |
20.7% |
1.9% |
23.6% |
-1.0% |
23.5% |
22.9% |
0.6% |
|
Index Options |
94.2% |
93.6% |
0.6% |
94.0% |
0.2% |
94.4% |
94.3% |
0.1% |
|
Index Options (excl. dividend trades) |
94.3% |
93.9% |
0.4% |
94.1% |
0.2% |
94.6% |
94.6% |
0.0% |
|
ETF Options |
22.0% |
18.1% |
3.9% |
20.4% |
1.6% |
21.2% |
19.4% |
1.8% |
|
ETF Options (excl. dividend trades) |
22.0% |
18.1% |
3.9% |
20.4% |
1.6% |
21.5% |
19.6% |
1.9% |
CBOE March 2012 Market Share by Product:
- Index options — CBOE's market share was 94.2 percent, up 0.6 of a percentage point from May 2011 and up 0.2 of a percentage point from April 2012.
- Equity options — CBOE's market share was 21.3 percent, up 2.4 percentage points from May 2011 and down one percentage point from April 2012.
- ETF options — CBOE's market share was 22.0 percent, up 3.9 percentage points from May 2011 and up 1.6 percentage points from April 2012.
C2 Options Exchange Trading Volume and Market Share
C2 Trading Volume:
In May 2012, daily volume on C2 Options Exchange averaged 223,700 contracts, up 20 percent from May 2011 ADV of 186,400 contracts and up six percent from April 2012 ADV of 210,500 contracts.
May 2012 equity and ETF option average daily volumes rose 30 percent and nine percent, respectively, from May 2011. Compared with April 2012, May 2012 ETF and index option ADV rose 14 percent and 15 percent, respectively, and equity option ADV dropped five percent.
|
C2 Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
May-12 |
May-11 |
% |
Apr-12 |
% pt. |
May-12 |
May-11 |
% |
|
Trading Days |
22 |
21 |
20 |
104 |
103 |
|||
|
Total Exchange |
4,920.8 |
3,915.4 |
26% |
4,209.8 |
17% |
22,906.4 |
17,480.7 |
31% |
|
Total Exchange ADV |
223.7 |
186.4 |
20% |
210.5 |
6% |
220.3 |
169.7 |
30% |
|
Equity Options |
1,827.0 |
1,342.5 |
36% |
1,743.5 |
5% |
9,245.7 |
7,731.9 |
20% |
|
Equity Options ADV |
83.0 |
63.9 |
30% |
87.2 |
-5% |
88.9 |
75.1 |
18% |
|
Index Options |
162.4 |
NA |
NA |
128.0 |
27% |
650.6 |
NA |
NA |
|
Index Options ADV |
7.4 |
NA |
NA |
6.4 |
15% |
6.3 |
NA |
NA |
|
ETF Options |
2,931.5 |
2,573.0 |
14% |
2,338.3 |
25% |
13,010.1 |
9,748.8 |
33% |
|
ETF Options ADV |
133.2 |
122.5 |
9% |
116.9 |
14% |
125.1 |
94.6 |
32% |
C2 Market Share:
In May 2012, C2's market share totaled 1.3 percent, up 0.2 of a percentage point from May 2011 and even with April 2012. If the volume from dividend trades was excluded from industry data for May, C2's total market share would be unchanged.
|
C2 Current Month |
Year-To-Date |
|||||||
|
May 2012 |
May 2011 |
% pt. Chg |
Apr 2012 |
% pt. Chg |
May 2012 |
May 2011 |
% pt. Chg |
|
|
Total Exchange |
1.3% |
1.1% |
0.2% |
1.3% |
0.0% |
1.3% |
0.9% |
0.4% |
|
Total Exchange (excl. |
1.3% |
1.1% |
0.2% |
1.4% |
-0.1% |
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) |
1.0% |
0.7% |
0.3% |
1.0% |
0.0% |
1.0% |
0.7% |
0.3% |
|
Index Options |
0.6% |
NA |
NA |
0.5% |
0.1% |
0.5% |
NA |
0.5% |
|
Index Options (excl. dividend trades) |
0.5% |
NA |
NA |
0.5% |
0.0% |
0.5% |
NA |
0.5% |
|
ETF Options |
2.0% |
1.9% |
0.1% |
2.2% |
-0.2% |
2.2% |
1.6% |
0.6% |
|
ETF Options (excl. dividend trades) |
2.0% |
1.9% |
0.1% |
2.2% |
-0.2% |
2.2% |
1.6% |
0.6% |
CBOE Futures Exchange Trading
- CBOE Futures Exchange posted its busiest month ever in May, with record trading volume exceeding two million contracts (2,022,433 contracts) for the first time in the exchange's history.
- VIX Index futures volume totaled a record 2,000,154 contracts in May, up 101 percent from 993,990 contracts traded in May 2011 and up 19 percent from 1,683,034 contracts traded in April 2012.
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: |
April 2012 |
March 2012 |
February |
January |
|
Equities |
$0.112 |
$0.110 |
$0.128 |
$0.151 |
|
Indexes |
0.667 |
0.658 |
0.651 |
0.640 |
|
Exchange Traded Funds |
0.172 |
0.171 |
0.188 |
0.206 |
|
Total Options Average Transaction Fee Per Contract |
0.267 |
0.261 |
0.275 |
0.297 |
|
Futures |
1.655 |
1.697 |
1.610 |
1.474 |
|
Total Average Transaction Fee Per Contract |
$0.290 |
$0.280 |
$0.289 |
$0.308 |
