The CBOE Futures Exchange (CFE) celebrated its one-year anniversary on March 26th. Total volume for CFE's first full year of trading was 132,296 contracts. CFE currently trades five futures products - CBOE Volatility Index (VIX), CBOE S&P 500 Three-Month Variance Futures (VT), CBOE China Index (CX), Russell 1000 Index (RN), and Mini-Russell 2000 Index (RT) - and is expected to launch futures on the new CBOE DJIA Volatility Index (VXD) beginning April 25, 2005, pending regulatory approval. During March, CFE volume rose 15% over the previous month and set a new CFE trading record as 17,386 contracts traded, breaking the previous high of 15,157 contracts from February 2005. CFE's March average daily volume was 790 contracts, while open interest stood at 11,280 contracts at the end of March, up 8% from the previous month.
Exchange Volume, March 2005:
Total Volume
37,826,646 contracts
+15% vs year-ago (Mar 04)
+20% vs previous month (Feb 05)
Average Daily Volume
1,719,393 contracts
+20% vs year-ago (Mar 04)
Open Interest
140,684,865 contracts
+12% vs year-ago (Mar 04)
+9% vs previous month (Feb 05)
Year-To-Date Volume
104,263,835 contracts
+10% vs YTD 2004
March highlights at CBOE included:
- Volume in index options totaled 14.4 million contracts, an increase of 4% over year-ago levels. The top five index options at CBOE during March were: S&P 500 Index (SPX); Nasdaq-100 Index Tracking Stock (QQQ); S&P 100 Index (OEX); iShares Russell 2000 Index Fund (IWM); and Standard & Poor's Depositary Receipts/SPDRs (SPY).
- Volume in stock option classes rose 23% over 2004 as 23.4 million contracts were traded. The top five stock option classes at CBOE during March were: General Motors Corporation (GM), Microsoft Corp. (MSFT), Apple Computer, Inc. (AAPL), Elan Corporation, plc (ELN), and Citigroup, Inc. (C).
|
|
Product |
Total Volume |
% change vs Mar 04 |
% change vs Feb 05 |
Open Interest |
% change vs Mar 04 |
|---|---|---|---|---|---|---|
|
SPX |
S&P 500 Index |
5,776,494 |
+32% |
+30% |
6,078,140 |
+34% |
|
OEX |
S&P 100 Index (American-Style Exercise) |
1,747,170 |
(-3%) |
+27% |
463,442 |
+32% |
|
XEO |
S&P 100 Index (European-Style Exercise) |
170,841 |
(-20%) |
+21% |
70,894 |
(-43%) |
|
SPY |
Standard & Poor's Depositary Receipts (SPDRs) |
883,063 |
----- |
+39% |
1,955,136 |
+13% vs Feb |
|
DJX |
Dow Jones Industrial Average |
672,137 |
(-26%) |
+17% |
623,059 |
(-8%) |
|
DIA |
DIAMONDS Trust, Series 1 |
593,115 |
(-42%) |
+37% |
515,829 |
(-21%) |
|
NDX |
Nasdaq-100 Index |
436,714 |
+45% |
+11% |
442,746 |
+74% |
|
MNX |
CBOE Mini-NDX Index (based on Nasdaq-100) |
399,509 |
(-37%) |
(-17%) |
1,658,556 |
+12% |
|
QQQ |
Nasdaq-100 Index Tracking Stock |
1,949,658 |
(-47%) |
+17% |
7,044,314 |
(-25%) |
|
RUT |
Russell 2000 Index |
68,976 |
(-27%) |
(-13%) |
98,069 |
(-14%) |
|
IWM |
iShares Russell 2000 Index Fund |
887,650 |
+170% |
+21% |
1,246,886 |
+282% |
|
SMH |
Semiconductor HOLDRs Trust |
141,396 |
(-20%) |
(-5%) |
869,364 |
+59% |
|
TLT |
iShares Lehman 20+Year Treasury Bond Fund |
78,293 |
+123% |
+12% |
212,825 |
+81% |
