- CBOE Holdings Volume Up 23% from August
- VIX Futures - Busiest Month Ever, ADV Up 170% from Year Ago
CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that September 2012 consolidated trading volume for options contracts on the Chicago Board Options Exchange® (CBOE®) and C2 Options ExchangeSM (C2SM)
- September 2012 average daily volume (ADV) for the three exchanges, combined, was 4.9 million contracts, a two-percent decrease from 5.0 million contracts ADV in September 2011, and a 23-percent increase from nearly 4.0 million contracts ADV in August 2012.
- Year to date through September, consolidated ADV for the three exchanges was 4.7 million contracts, down seven percent from 5.0 million contracts ADV for the same period a year ago.
|
CBOE Holdings Consolidated Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
Sep-12 |
Sep-11 |
% Chg |
Aug-12 |
% Chg |
Sep-12 |
Sep-11 |
% Chg |
|
Trading Days |
19 |
21 |
23 |
188 |
188 |
|||
|
Total Contracts - Options and Futures |
92,870.4 |
105,231.6 |
-12% |
91,258.5 |
2% |
878,569.5 |
945,995.0 |
-7% |
|
Total Options Contracts (CBOE & C2) |
90,459.9 |
104,247.2 |
-13% |
89,342.8 |
1% |
862,316.6 |
936,324.5 |
-8% |
|
Futures Contracts |
2,410.5 |
984.4 |
145% |
1,915.7 |
26% |
16,252.9 |
9,670.5 |
68% |
|
Total ADV- Options and Futures |
4,887.9 |
5,011.1 |
-2% |
3,967.8 |
23% |
4,673.2 |
5,005.3 |
-7% |
|
Total Options ADV (CBOE & C2) |
4,761.0 |
4,964.2 |
-4% |
3,884.5 |
23% |
4,586.8 |
4,954.1 |
-7% |
|
Futures ADV |
126.9 |
46.9 |
171% |
83.3 |
52% |
86.4 |
51.2 |
69% |
CBOE Trading Volume and Market Share
CBOE Trading Volume:
- CBOE ADV — September ADV at CBOE was 4.6 million contracts, up 22 percent from August 2012 ADV of 3.7 million contracts and down three percent from 4.7 million contracts ADV in September 2011. Year to date through September, ADV was 4.4 million contracts, down eight percent from the same period in 2011.
- The five most actively traded index and ETF options at CBOE during September were S&P 500® Index options (SPXSM), CBOE Volatility Index® (VIX® Index) options, Standard & Poor's Depositary Receipts (SPY) options, iShares Trust Russell 2000 Index Fund (IWM) options and PowerShares QQQ Trust (QQQ) options.
|
CBOE Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
Sep-12 |
Sep-11 |
% Chg |
Aug-12 |
% pt. Chg |
Sep-12 |
Sep-11 |
% Chg |
|
Trading Days |
19 |
21 |
23 |
188 |
189 |
|||
|
Total Exchange |
86,948.4 |
99,446.7 |
-13% |
86,169.9 |
1% |
824,658.1 |
897,852.7 |
-8% |
|
Total Exchange ADV |
4,576.2 |
4,735.6 |
-3% |
3,746.5 |
22% |
4,386.5 |
4,750.5 |
-8% |
|
Equity Options |
38,213.5 |
35,019.9 |
9% |
41,522.9 |
-8% |
378,966.3 |
395,536.6 |
-4% |
|
Equity Options ADV |
2,011.2 |
1,667.6 |
21% |
1,805.3 |
11% |
2,015.8 |
2,092.8 |
-4% |
|
Index Options |
26,394.3 |
29,985.4 |
-12% |
23,303.9 |
13% |
223,016.1 |
244,664.6 |
-9% |
|
Index Options ADV |
1,389.2 |
1,427.9 |
-3% |
1,013.2 |
37% |
1,186.3 |
1,294.5 |
-8% |
|
ETF Options |
22,340.6 |
34,441.3 |
-35% |
21,343.1 |
5% |
222,675.7 |
257,651.4 |
-14% |
|
ETF Options ADV |
1,175.8 |
1,640.1 |
-28% |
928.0 |
27% |
1,184.4 |
1,363.2 |
-13% |
Expanded September 2012 volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.
CBOE Market Share:
CBOE September market share was 26.4 percent, up one percentage point from September 2011 and down 1.3 percentage points from August 2012. If the volume from dividend trades was excluded from industry data for September 2012, CBOE's total market share would be 27.5 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 |
|||||||
|
Sep 2012 |
Sep 2011 |
% pt. Chg |
Aug 2012 |
% pt. Chg |
Sep 2012 |
Sep 2011 |
% pt. Chg |
|
|
Total Exchange |
26.4% |
25.4% |
1.0% |
27.7% |
-1.3% |
27.2% |
25.6% |
1.6% |
|
Total Exchange (excl. dividend trades) |
27.5% |
26.2% |
1.3% |
28.7% |
-1.2% |
28.4% |
26.4% |
2.0% |
|
Equity Options |
21.2% |
19.5% |
1.7% |
22.8% |
-1.6% |
22.0% |
20.8% |
1.2% |
|
Equity Option (excl. dividend trades) |
22.8% |
19.8% |
3.0% |
24.2% |
-1.4% |
23.6% |
21.8% |
1.8% |
|
Index Options |
93.6% |
95.7% |
-2.1% |
93.9% |
-0.3% |
94.0% |
94.7% |
-0.7% |
|
Index Options (excl. dividend trades) |
93.7% |
95.8% |
-2.1% |
94.0% |
-0.3% |
94.2% |
95.0% |
-0.8% |
|
ETF Options |
18.5% |
19.1% |
-0.6% |
20.6% |
-2.1% |
20.8% |
19.2% |
1.6% |
|
ETF Options (excl. dividend trades) |
18.5% |
19.9% |
-1.4% |
20.6% |
-2.1% |
21.0% |
19.4% |
1.6% |
C2 Options Exchange Trading Volume and Market Share
C2 Trading Volume:
In September 2012, ADV on C2 Options Exchange was 184,800 contracts, up 34 percent from August 2012 ADV of 138,000 contracts and down 19 percent from 228,600 contracts ADV in September 2011.
|
C2 Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
Sep-12 |
Sep-11 |
% Chg |
Aug-12 |
% pt. Chg |
Sep-12 |
Sep-11 |
% Chg |
|
Trading Days |
19 |
21 |
23 |
188 |
189 |
|||
|
Total Exchange |
3,511.5 |
4,800.5 |
-27% |
3,172.9 |
11% |
37,658.5 |
38,471.8 |
-2% |
|
Total Exchange ADV |
184.8 |
228.6 |
-19% |
138.0 |
34% |
200.3 |
203.6 |
-2% |
|
Equity Options |
1,362.0 |
1,421.1 |
-4% |
1,395.0 |
-2% |
15,101.0 |
13,810.8 |
9% |
|
Equity Options ADV |
71.7 |
67.7 |
6% |
60.7 |
18% |
80.3 |
73.1 |
10% |
|
Index Options |
99.7 |
0.0 |
0% |
101.6 |
-2% |
1,104.8 |
0.0 |
0% |
|
Index Options ADV |
5.2 |
0.0 |
0% |
4.4 |
19% |
5.9 |
0.0 |
0% |
|
ETF Options |
2,049.8 |
3,379.4 |
-39% |
1,676.3 |
22% |
21,452.7 |
24,661.0 |
-13% |
|
ETF Options ADV |
107.9 |
160.9 |
-33% |
72.9 |
48% |
114.1 |
130.5 |
-13% |
C2 Market Share:
In September 2012, C2's market share was 1.1 percent, up 0.1 of a percentage point from September 2011 and August 2012.
|
C2 Current Month |
Year-To-Date |
|||||||
|
Sep 2012 |
Sep 2011 |
% pt. Chg |
Aug 2012 |
% pt. Chg |
Sep 2012 |
Sep 2011 |
% pt. Chg |
|
|
Total Exchange |
1.1% |
1.0% |
0.1% |
1.0% |
0.1% |
1.2% |
1.1% |
0.1% |
|
Total Exchange (excl. dividend trades) |
1.1% |
0.9% |
0.2% |
1.1% |
-- |
1.3% |
1.1% |
0.2% |
|
Equity Options |
0.8% |
0.8% |
-- |
0.8% |
-- |
0.9% |
0.7% |
0.2% |
|
Equity Option (excl. dividend trades) |
0.8% |
0.8% |
-- |
0.8% |
-- |
0.9% |
0.8% |
0.1% |
|
Index Options |
0.4% |
NA |
NA |
0.4% |
NA |
0.5% |
NA |
NA |
|
Index Options (excl. dividend trades) |
0.4% |
NA |
NA |
0.4% |
-- |
0.5% |
NA |
NA |
|
ETF Options |
1.7% |
1.9% |
-0.2% |
1.6% |
0.1% |
2.0% |
1.8% |
0.2% |
|
ETF Options (excl. dividend trades) |
1.7% |
2.0% |
-0.3% |
1.6% |
0.1% |
2.0% |
1.9% |
0.1% |
CBOE Futures Exchange Trading
- September 2012 was the most active month ever at CFE as a record 2,410,549 contracts (average daily volume of 126,871 contracts) changed hands. Trading volume in the exchange's flagship product -- CBOE Volatility Index (VIX) futures -- totaled a record 2,400,552 contracts. September's record beat the previous all-time monthly record of 2,154,325 contracts set in June 2012.
- VIX futures ADV was 126,345 contracts in September, up 170 percent from September 2011 ADV of 46,784 contracts and up 52 percent from August 2012 ADV of 83,016 contracts.
- Year to date through September, VIX Index futures volume was 68 percent ahead of the same period a year ago. September 2012 marked the 36th consecutive month of year-over-year volume increases in VIX Index futures.
- VIX Index futures open interest established a new record of 431,265 contracts on September 18.
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 CFE recognized for the period divided by total contracts traded on all three exchanges 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: |
August 2012 |
July 2012 |
June 2012 |
May 2012 |
|
Equities |
$0.122 |
$0.124 |
$0.123 |
$0.117 |
|
Indexes |
0.684 |
0.680 |
0.677 |
0.673 |
|
Exchange Traded Funds |
0.177 |
0.177 |
0.180 |
0.176 |
|
Total Options Average Transaction Fee Per Contract |
0.286 |
0.289 |
0.288 |
0.279 |
|
Futures |
1.626 |
1.598 |
1.607 |
1.650 |
|
Total Average Transaction Fee Per Contract |
$0.315 |
$0.316 |
$0.314 |
$0.304 |
