The Chicago Board Options Exchange (CBOE) announced that reported volume in options on the CBOE Volatility Index (VIX), totaled 322,484 contracts (213,719 calls and 108,765 puts) today, beating the previous single-day volume record of 277,260 contracts set on May 16, 2007. VIX is the widely disseminated benchmark index of market volatility and investor sentiment, sometimes referred to as the market's "fear gauge."
Total volume for VIX options during June was 2,000,936 contracts, with average daily volume of 95,283 contracts, making it the second most actively traded index and the fifth most actively traded product at CBOE. Today's trading activity in VIX options was spread across strike prices and months, with heavy volume in July 20 calls, August 25 calls and November 12 puts. Open interest in VIX options stood at 1,845,820 contracts (1,324,775 calls and 521,045 puts) at the start of trading this morning.
VIX options trade on the February expiration cycle with July, August, September, October and November 2007, and February and May 2008 expirations currently available.
The underlying VIX closed today at 16.64, down .93, with a high of 17.91 and a low of 16.64. So far in 2007, the low for VIX is 9.70, recorded on February 14th, and the highest level for the year is 21.25, established on March 14, 2007. Historical data and more information on VIX can be found at http://www.cboe.com/VIX.
CBOE, the largest options marketplace in the U.S. and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, visit the CBOE website at: www.cboe.com/.
