The Chicago Board Options Exchange (CBOE) today reported that average daily volume (ADV) in September was 3.8 million contracts.
September's ADV was a 20-percent decline from the 4.7 million contracts per day in September 2009 and an eight-percent increase over August 2010 ADV of 3.5 million contracts.
Year-to-date ADV of 4.5 million contracts through September was down one percent compared with the same period in 2009.
Product-by-product comparisons:
Index options - September 2010 ADV was 1.0 million contracts, up ten percent over the 914,500 contracts per day in September 2009 and up 11 percent from 907,000 contracts per day in August 2010. Year-to-date index option ADV of 1.1 million contracts was up 29 percent from the same period in 2009.
Equity options - September 2010 ADV was 1.9 million contracts, down 29 percent from 2.6 million contracts per day in September 2009 and up seven percent from 1.7 million contracts per day in August 2010. Year-to-date equity option ADV of 2.3 million contracts was down 12 percent from the same period in 2009.
ETF options - September 2010 ADV was nearly 918,000 contracts, down 22 percent from 1.2 million contracts per day in September 2009 and up eight percent from just under 847,000 contracts per day in August 2010. Year-to-date ETF option ADV of 1.1 million contracts was up two percent from the same period in 2009.
|
Current Month |
Year-To-Date |
|||||||
|
(trades in thousands) |
September 2010 |
September 2009 |
% Chg |
August 2010 |
% Chg |
September 2010 |
September 2009 |
% Chg |
|
Trading Days |
21 |
21 |
22 |
188 |
188 |
|||
|
Total Exchange |
79,482.7 |
98,897.7 |
-20% |
77,033.9 |
3% |
848,104.7 |
856,876.3 |
-1% |
|
Total Exchange ADV |
3,784.9 |
4,709.4 |
-20% |
3,501.5 |
8% |
4,511.2 |
4,557.9 |
-1% |
|
Equity Options |
39,129.8 |
54,965.6 |
-29% |
38,454.4 |
2% |
428,150.5 |
487,591.0 |
-12% |
|
Equity Options ADV |
1,863.3 |
2,617.4 |
-29% |
1,747.9 |
7% |
2,277.4 |
2,593.6 |
-12% |
|
Index Options |
21,077.7 |
19,205.2 |
10% |
19,953.2 |
6% |
206,989.9 |
161,026.2 |
29% |
|
Index Options ADV |
1,003.7 |
914.5 |
10% |
907.0 |
11% |
1,101.0 |
856.5 |
29% |
|
ETF Options |
19,275.0 |
24,726.6 |
-22% |
18,626.2 |
3% |
212,962.0 |
208,253.5 |
2% |
|
ETF Options ADV |
917.9 |
1,177.5 |
-22% |
846.6 |
8% |
1,132.8 |
1,107.7 |
2% |
Expanded September volume information for index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.
CBOE Overall Market Share:
CBOE's market share of total U.S. options industry volume in September was 26.3 percent, 0.9 of a percentage point down from August 2010 and a 5.1 percentage points decline from September 2009. If the volume from dividend trades was excluded from CBOE's data for September 2010, the Exchange's total market share for September would increase to 27.5 percent from 26.3 percent, an increase of 1.2 market share points. CBOE's year-to-date market share through September was 29.6 percent. If volume from dividend trades was excluded, year-to-date market share would be 30.6 percent. Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.
- CBOE September market share by product:
- Index options - CBOE's market share was 94.4 percent, up 0.3 of a percentage point from August 2010 and up 2.4 percentage points from September 2009.
- Equity options - CBOE's market share was 21.9 percent, a decrease of 0.8 of a percentage point from August 2010 and a decline of 5.6 percentage points from September 2009.
- ETF options - CBOE's market share was 19.0 percent, down 1.1 percentage points from August 2010 and a decline of 7.4 percentage points from September 2009.
|
Current Month |
Year-To-Date |
|||||||
|
|
September 2010 |
September 2009 |
% pt. Chg |
August 2010 |
% pt. Chg |
September 2010 |
September 2009 |
% pt. Chg |
|
Total Exchange |
26.3% |
31.4% |
-5.1% |
27.2% |
-0.9% |
29.6% |
31.5% |
-1.9% |
|
Total Exchange (excluding dividend trades) |
27.5% |
32.5% |
-5.0% |
28.7% |
-1.2% |
30.6% |
32.3% |
-1.7% |
|
Equity Options |
21.9% |
27.5% |
-5.6% |
22.7% |
-0.8% |
24.9% |
28.0% |
-3.1% |
|
Index Options |
94.4% |
92.0% |
2.4% |
94.1% |
0.3% |
93.6% |
90.8% |
2.8% |
|
ETF Options |
19.0% |
26.4% |
-7.4% |
20.1% |
-1.1% |
23.0% |
25.9% |
-2.9% |
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 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: |
August 2010 |
July 2010 |
June 2010 |
May 2010 |
|
Equities |
$0.180 |
$0.170 |
$0.162 |
$0.163 |
|
Indexes |
0.597 |
0.590 |
0.580 |
0.578 |
|
Exchange Traded Funds |
0.233 |
0.222 |
0.217 |
0.215 |
|
Total Options Average Transaction Fee Per Contract |
0.296 |
0.288 |
0.277 |
0.274 |
|
Futures |
1.600 |
1.694 |
1.717 |
1.832 |
|
Total Average Transaction Fee Per Contract |
$0.301 |
$0.293 |
$0.281 |
$0.279 |
September Highlights:
- On September 10, CBOE began disseminating calculations on two new volatility benchmark indexes based on options on futures contracts presently listed on CME Group exchanges. The CBOE/NYMEX WTI Volatility Index (ticker symbol OIV) and the CBOE/COMEX Gold Volatility Index (ticker symbol GVX) are the first in a series of new volatility benchmark indexes to be created as a result of the licensing agreement between CBOE and CME that was first announced in March 2010.
- At CBOE Futures Exchange (CFE): September marked the second busiest month in the CFE's history and the twelfth consecutive month in which total CFE volume registered an increase compared with year-over-year trading activity. September 2010 trading volume totaled 387,464 contracts (ADV 18,450 contracts), compared to 144,016 contracts (ADV 6,858 contracts) during September 2009.
- On September 28, CBOE Futures Exchange (CFE) introduced trading in its first options on a futures contract - Weekly options on VIX futures (ticker symbol - VOW) - making all key pieces of the VIX product suite available on CBOE's electronic technology platform, CBOEdirect - cash-settled CBOE Volatility Index (VIX) options, VIX futures, options on volatility-related exchange traded notes, and Weekly options on VIX futures.
- At CBOE Stock Exchange (CBSX): September volume was the second highest monthly volume in the Exchange's history with 812.8 million shares traded (ADV 38.7 million shares), surpassed only by the August 2010 all-time monthly record of 1,077,548,251 shares. By comparison, in September 2009, 265.4 million shares (ADV 12.6 million shares) changed hands.
- The top five most actively traded index and ETF options at CBOE were the S&P 500 Index (SPX), Standard and Poor's Depositary Receipts (SPY), CBOE Volatility Index (VIX), PowerShares QQQ Trust (QQQQ), and iShares Trust - Russell 2000 Index Fund (IWM).
- The top five most actively traded equity options at CBOE were Citigroup (C), Apple (AAPL), Bank of America (BAC), Microsoft Corporation (MSFT), and Arena Pharmaceuticals (ARNA).
Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (VIX). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE's Hybrid Trading System incorporates electronic and open-outcry trading and is powered by CBOEdirect, a proprietary, state-of-the-art electronic platform that also supports the CBOE Futures Exchange (CFE), CBOE Stock Exchange (CBSX) and OneChicago. CBOE is home to the world-renowned Options Institute and www.cboe.com, named ?Best of the Web? for options information and education.
CBOE, a wholly-owned subsidiary of CBOE Holdings, Inc. (NASDAQ: CBOE), is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the AAA-rated Options Clearing Corporation (OCC).
