New records were set at CBOE during March for volume in multiple products as market volatility increased and investors turned to the options market for portfolio protection and to manage risk. A new record was set for volume in equity options, with 40.3 million contracts trading, breaking the previous record of 38.4 million contracts set in October 2006. Average daily volume in equity options was 1.8 million contracts.
A new record was also set for total Index options volume, with 42.6 million contracts trading, beating the previous record of 33.4 million contracts set in May 2006. New records were set in a number of indexes at CBOE, including S&P 500 Index (SPX) options and CBOE Volatility Index (VIX) options, the industry's preeminent barometer of market volatility and investor sentiment.
|
Total Volume |
March 2007 Volume (22 days) |
% Change vs March 2006 (23 days) |
% Change vs Feb 2007 (19 days) |
Year-To-Date Volume (61 days) |
% Change vs 2006 (62 days) |
|---|---|---|---|---|---|
|
Industry Total |
228,595,638 |
+39% |
+25% |
609,422,787 |
+25% |
|
|
|
|
|
|
|
|
CBOE Total |
82,963,812 |
+51% |
+35% |
205,577,942 |
+33% |
|
Avg Daily Vol |
3,771,082 |
+58% |
+17% |
3,370,130 |
+35% |
|
Equity |
40,308,397 |
+22% |
+17% |
112,065,368 |
+17% |
|
Index & ETF |
42,654,643 |
+93% |
+58% |
93,509,543 |
+60% |
|
ETF (only) |
19,346,484 |
+79% |
+55% |
42,054,062 |
+66% |
|
Open Interest |
215,853,539 |
+33% |
+9% |
----- |
----- |
CBOE extended its lead position in the options industry with an increase in market share of 2.8% over March 2006, to 36.3% of total industry volume. Year-to-date, CBOE's total market share of 33.7% is nearly two percentage points ahead of 2006. CBOE's market share in multiply listed index and ETF options was 40.7%, down from last month's 42.1%, but a slight increase from the previous year.
|
CBOE Market Share |
March 2007 Market Share |
% Change vs
March 2006 |
% Change vs Feb 2007 |
Year-To-Date Market Share |
% Change vs 2006 |
|---|---|---|---|---|---|
|
Exchange |
36.3% |
+2.8% |
+2.8% |
33.7% |
+1.9% |
|
Equity |
26.8% |
-.1% |
+1.1% |
25.6% |
Unchanged |
|
Index & ETF (multiple listings only) |
40.7% |
+.4% |
-1.4% |
40.7% (last 12 months) |
+1.2% |
CBOE Stock Exchange (CBSX) Launches on March 5th; S&P 500 Index (SPX) and VIX Options Set New All-Time Volume Records
--The CBOE Stock Exchange (CBSX) was launched on March 5th. Volume at the newest U.S. stock exchange totaled 54,152,030 shares for the month, with 111,078 trades executed. Average daily volume was 2,707,602 shares.CBSX launched with five stocks, and by month's end had 282 stocks listed for trading.
--The top five most-actively traded index and ETF options at CBOE during March were: S&P 500 Index (SPX), iShares Russell 2000 Index Fund (IWM), Standard & Poor's Depositary Receipts (SPY), Nasdaq-100 Index Tracking Stock (QQQQ) and CBOE Volatility Index (VIX).
--Trading in S&P 500 Index (SPX) options set new single-day, weekly and monthly records during March. On March 14th, 1,833,022 SPX contracts traded, breaking the single day record of 1,287,151 traded on May 19, 2006. The week of March 12 to 16 was the busiest week on record, with more than 5 million contracts trading, outpacing the record set the week before when 4.35 million contracts traded. For the month, 16.7 million SPX contracts traded, surpassing the previous monthly record of 11.1 million contracts, set in May 2006.
--Options on the CBOE Volatility Index (VIX) set a new record for monthly volume of 1,575,245 contracts, besting the previous record of 1,020,097 contracts set in May 2006. A new single-day volume record was established on March 8th when 208,872 contracts trading, breaking the previous record of 162,856 contracts traded on August 14, 2006. Average daily volume in VIX options during March was a record-setting 71,602 contracts, making VIX the fifth most actively traded Index or ETF at CBOE.
New monthly records were also set for the following indexes and ETFs at CBOE:
--i-Shares Trust Russell 2000 Index Fund (IWM): 7,311,583
Previous record: June, 2006-- 7,026,953
--S&P 500 Depositary Receipts (SPY): 4,276,541
Previous record: March 2006 -- 3,905,681
--Nasdaq- 100 Shares (QQQ): 4,134,376
Previous record: March 2004 -- 3,704,550
--Russell 2000 Index (RUT): 453,043
Previous record: February 2007-- 408,347
A former chairman of the SIFMA Options Committee, Mr. Murphy has been a featured speaker at numerous industry conferences.He has also served on a number of the marketing and allocation committees of U.S options exchanges.
CFE's March Volume Gains 25% Over February, and 151% Over March 2006
Volume of 58,527 contracts at the CBOE Futures Exchange, LLC (CFE) was the Exchange's second best month ever and an increase of 151% over March 2006's volume of 23,318 contracts. Average daily volume during March was 2,660 contracts. At month's end, total open interest stood at 44,079 contracts, up 11% from last month and an increase of 60% over the end of March 2006.
Volume in VIX futures (ticker symbol VX) totaled 54,020 contracts, the second busiest month ever. Volume in futures on the CBOE Dow Jones Industrial Average Volatility Index (ticker symbol DV) was 3,309 contracts.
|
CFE Total Volume |
Mar 2007 Volume |
% Change vs Mar 2006 |
% Change vs Feb 2007 |
Year-To-Date Volume |
% Change vs 2006 |
|---|---|---|---|---|---|
|
Exchange |
58,527 |
+151% |
+25% |
152,450 |
+122% |
|
Avg Daily Vol |
2,660 |
+162% |
+8% |
2,499 |
+141% |
|
Open Interest |
44,079 |
+60% |
+11% |
-- |
-- |
CBOE Individual Index Volume Figures For March 2007
|
Symbol |
Product |
Total Volume |
% Change vs Mar 06 |
% Change vs Feb 07 |
Open Interest |
% Change vs 2006 |
|---|---|---|---|---|---|---|
|
SPX |
S&P 500 Index |
16,736,948 |
+119% |
+66% |
8,897,517 |
+24% |
|
XSP |
Mini-S&P 500 Index |
157,828 |
+37% |
+26% |
958,610 |
+13% |
|
SPY |
Standard & Poor's Depositary Receipts (SPDRs) |
4,276,541 |
+9% |
+102% |
6,294,278 |
+89% |
|
VIX |
CBOE Volatility Index (options) |
1,575,245 |
+767% |
+82% |
987,579 |
+521% |
|
OEX |
S&P 100 Index (American-Style Exercise) |
1,515,482 |
+16% |
+32% |
328,791 |
-5% |
|
XEO |
S&P 100 Index
(European-Style Exercise) |
484,518 |
+125% |
+102% |
162,787 |
+32% |
|
DJX |
Dow Jones Industrial Average |
766,030 |
+40% |
+26% |
668,962 |
+6% |
|
DIA |
DIAMONDS Trust, Series 1 |
754,888 |
-16% |
+38% |
1,192,748 |
+1% |
|
NDX |
Nasdaq-100 Index |
825,583 |
+41% |
+20% |
617,249 |
-9% |
|
MNX |
CBOE Mini-NDX Index (based on Nasdaq-100) |
545,485 |
+70% |
+105% |
1,823,651 |
+15% |
|
QQQ |
Nasdaq-100 Index Tracking Stock |
4,134,376 |
+87% |
+28% |
7,278,206 |
+29% |
|
RUT |
Russell 2000 Index |
453,043 |
+150% |
+11% |
932,714 |
+174% |
|
IWM |
iShares Russell 2000
Index Fund |
7,311,583 |
+204% |
+51% |
7,843,241 |
+95% |
|
SMH |
Semiconductor HOLDRs Trust |
227,674 |
+2% |
+96% |
904,475 |
+7% |
|
OIH |
Oil Services HOLDRs Trust |
270,260 |
-6% |
+3% |
808,711 |
+55% |
|
XLE |
Energy Select SPDR |
348,623 |
-18% |
+100% |
1,262,883 |
+36% |
|
EEM |
iShares MSCI Emerging Markets Index |
632,618 |
+1821% |
+135% |
625,561 |
+2388% |
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: http://www.cboe.com/.
