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During the week of July 23 through 27, the overall market experienced a sharp rise in volatility. The CBOE Volatility Index (VIX), the preeminent barometer of market volatility and investor sentiment, often referred to as the market's "fear gauge," spiked 42.6% for the week, reaching a 4-year high.At the close of trading on Friday, July 27, VIX stood at 24.17, its highest level since April 14, 2003. Likewise, CBOE's three other volatility benchmarks all rose during the week -- the CBOE DJIA Volatility Index (VXD) was up 44.5%, the CBOE Russell 2000 Volatility Index (RVX) was up 35.0%, and the CBOE NASDAQ-100 Volatility Index (VXN) was up 32.5%.
Volume in VIX futures (ticker VX) totaled a new record of 111,814 contracts traded during the month, up 348% over the year-ago total of 24,938 contracts. Open interest in VIX futures stood at 67,231 contracts at the end of July, 119% ahead of last July. Volume for the month in VXD futures (ticker DV) was 1,969 contracts, down slightly from June 2007's total of 2,190 contracts.
On July 6, 2007, CFE listed two new contracts - futures on the CBOE Russell 2000 Volatility Index (RVX) and the CBOE NASDAQ-100 Volatility Index (VXN). Volume in RVX futures (ticker VR) was 4,437 contracts during July, making CBOE Russell 2000 Volatility Index futures the most successful new product launch at CFE. Volume in VXN futures (ticker VN) was 1,497 contracts during July.
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CBOE Futures Exchange July 2007 Volume Summary |
|||||
|---|---|---|---|---|---|
|
CFE Total Volume |
July 2007 Volume |
% Change vs July 2006 |
% Change vs June 2007 |
Year-To-Date Volume |
% Change vs 2006 |
|
Exchange |
121,285 |
+314% |
+48% |
468,317 |
+115% |
|
Average Daily Volume |
5,775 |
+294% |
+48% |
3,191 |
+112% |
|
Open Interest |
76,990 |
+132% |
+44% |
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-- |
"The big market moves last week underscore the need for investors to have the ability to manage volatility effectively.CFE's suite of volatility and variance products can allow investors to invest in or hedge against the impact of volatility," said Andrew Lowenthal, Managing Director, CBOE Futures Exchange. "As the home of volatility futures, CFE was pleased to introduce two new volatility contracts in July. The CBOE NASDAQ-100 Volatility Index made a strong debut, while the 4,000-plus contracts traded in the CBOE Russell 2000 Volatility Index futures was the best new product launch we've ever had. These new contracts have tremendous potential as volatility continues to emerge as a popular asset class unto itself."
Year-to-date, total CFE volume is 468,317 contracts traded for the first seven months of 2007, up 115% from last year's volume of 218,057 contracts. Open interest stood at 76,990 contracts at the end of July, 132% ahead of July 2006.
CFE currently offers futures on seven different contracts, including: the CBOE Volatility Index (VIX), CBOE DJIA Volatility Index (VXD), CBOE NASDAQ-100 Volatility Index (VXN), CBOE Russell 2000 Volatility Index (RVX), CBOE S&P 500 3-Month and 12-Month Variance (VT and VA, respectively), and the CBOE S&P 500 BuyWrite Index (BXM).
CFE, launched in March 2004, is a wholly-owned subsidiary of Chicago Board Options Exchange, Incorporated, offering an all-electronic, open access market model, with traders providing liquidity and making markets. CFE trades are cleared by triple-A rated Options Clearing Corporation (OCC). CBOE Futures Exchange is regulated by the Commodity Futures Trading Commission (CFTC). More information on CFE and its products, including contract specifications, can be found at www.cboe.com/CFE.
