.jpg)
The CBOE Futures Exchange, LLC (CFE) today announced that record monthly average daily volume (ADV) was achieved during July, the second busiest trading month ever at the exchange. For futures on the CBOE Volatility Index (VIX), July trading activity remained brisk as monthly ADV reached a new all-time high and total volume topped one million contracts for the third time this year.
(Logo: http://photos.prnewswire.com/prnh/20100707/CBOELOGO-b)
Average Daily Volume
Monthly average daily volume at CFE set a record for the third consecutive month in July as 58,532 contracts per day were traded. When compared to the June 2011 ADV of 55,600, which had been the previous high, and the 12,857 contracts traded per day during July 2010, monthly ADV in July increased by five percent and 355 percent, respectively.
CFE experienced the most-active trading day in its history on July 14, 2011 when a total of 104,811 contracts traded at the exchange. The previous record was 101,200 contracts traded on June 16, 2011.
|
CBOE FUTURES EXCHANGE VOLUME SUMMARY Current Month |
Year-To-Date |
||||||||
|
July 2011 |
July 2010 |
% Chg |
June 2011 |
% Chg |
July 2011 |
July 2010 |
% Chg |
||
|
Trading Days |
20 |
21 |
22 |
145 |
145 |
||||
|
Total CFE |
1,170,656 |
270,014 |
+334% |
1,223,214 |
-4% |
6,857,628 |
1,936,346 |
+254% |
|
|
Total CFE ADV |
58,532 |
12,857 |
+355% |
55,600 |
+5% |
47,294 |
13,354 |
+254% |
|
Total Volume
Trading volume at CFE during July 2011 totaled 1,170,656 contracts, a decline of four percent from the record 1,223,214 contracts during June 2011 (June included two more trading days than July — 22 versus 20). When compared to the 270,014 contracts traded during July 2010, volume in July increased by 334 percent.
July marked the twenty-second consecutive month in which total volume registered an increase when comparing year-over-year trading activity. The seven most-active trading months in CFE history have occurred during the first seven months of 2011, with July 2011 ranking as the second busiest month all-time.
Year-to-date, CFE trading volume through the end of July 2011 stands at 6,857,628 contracts, 254 percent ahead of the 1,936,346 contracts traded during the same period in 2010. Year-to-date volume has already surpassed the 4,402,378 total contracts traded for all of 2010.
VIX Futures
For the third consecutive month, average daily volume for futures on the CBOE Volatility Index (VIX) registered a new record. The 58,453 contracts per day during July 2011 eclipsed the previous highs of 55,557 contracts per day during June and the 47,333 contracts per day inMay 2011. July ADV gained five percent when compared to June's ADV and was up 356 percent versus the 12,827 contracts traded per day inJuly 2010.
On July 14, trading volume in VIX futures established a new single-day high of 104,773 contracts, beating the previous daily record of 101,146 contracts set on June 16, 2011.
During July, trading of VIX futures totaled 1,169,064 contracts. With two fewer trading days, July's volume trailed the record 1,222,257 contracts traded in June 2011 by four percent, but rose 334 percent from the 269,372 contracts traded in July 2010. The top five most-active trading months for VIX futures have occurred during the last five months (June: 1,222,257 contracts; July: 1,169,064 contracts; March: 1,065,374 contracts, May: 993,990 contracts and April: 834,110 contracts).
