The CBOE Futures Exchange, LLC (CFE) today announced that a series of volume records were achieved during June as trading activity reached a new all-time high at the exchange. The numerous records set during the month included total volume, monthly average daily volume (ADV), single-day volume and open interest — both exchange-wide and for futures on the CBOE Volatility Index (VIX). In addition, the second quarter of 2011 was the most-active ever at CFE.
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June Trading Activity
Trading volume at CFE during June 2011 totaled 1,223,214 contracts, a new all-time high. June's trading activity surpassed the one-million-contract milestone for only the second time in CFE history, topping the previous record of 1,066,367 contracts traded in March 2011. When compared to the 994,608 contracts during May 2011 and the 261,441 contracts during June 2010, volume in June increased by 23 percent and 368 percent, respectively.
June also marked the twenty-first consecutive month in which total volume registered an increase when comparing year-over-year trading activity.
Exchange open interest, the number of outstanding contracts in the exchange market or in a particular series, reached a new peak of 254,089 contracts on June 15. At month's end, total exchange open interest was 219,784 contracts.
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CBOE FUTURES EXCHANGE VOLUME SUMMARY Current Month |
Year-To-Date |
||||||||
|
June 2011 |
June 2010 |
% Chg |
May 2011 |
% Chg |
June 2011 |
June 2010 |
% Chg |
||
|
Trading Days |
22 |
22 |
21 |
125 |
124 |
||||
|
Total CFE |
1,223,214 |
261,441 |
+368% |
994,608 |
+23% |
5,686,972 |
1,666,322 |
+241% |
|
|
Total CFE ADV |
55,600 |
11,883 |
+368% |
47,362 |
+17% |
45,496 |
13,438 |
+239% |
|
Average Daily Volume
Monthly average daily volume at CFE set a record for the second consecutive month in June. For the first time in CFE history, monthly ADV eclipsed the 50,000-contract benchmark as 55,600 contracts traded per day during June 2011. This eclipsed the previous monthly ADV high of 47,362 contracts in May 2011. When compared to the May 2011 ADV and the 11,883 contracts per day during June 2010, monthly ADV in June increased by 17 percent and 368 percent, respectively. June was the fifth consecutive month in which CFE daily volume averaged over 40,000 contracts.
CFE experienced the most-active trading day in its history on June 16, when a total of 101,200 contracts traded at the exchange. The previous record was 97,385 contracts traded on March 15, 2011.
Second Quarter and Year-To-Date
Total volume for the second quarter of 2011 was 3,052,714 contracts, the third consecutive quarter of record trading at CFE. The trading volume during the three months from April through June surpassed the 2,634,258 contracts from the first three months of 2011 by 16 percent and gained 194 percent from the 1,039,632 contracts traded during the second quarter of 2010.
ADV during the second quarter was 48,456 contracts, compared with 42,488 contracts in the previous quarter (1Q 2011) and 16,502 contracts in the same quarter from a year ago (2Q 2010).
The first six months of 2011 currently rank as the six most-active trading months in CFE history. Year-to-date volume for the first half of the year stands at 5,686,972 contracts traded, 241 percent ahead of the 1,666,322 contracts traded during the first six months of 2010. ThroughJune 2011, CFE is averaging 45,496 contracts traded per day, compared with 13,438 contracts per day from the same time period in 2010.
VIX Futures
During June, trading of futures on the CBOE Volatility Index (VIX) set several new volume records. June 2011 was the busiest month ever for VIX futures trading as a total of 1,222,257 contracts changed hands, exceeding the previous record of 1,065,374 contracts traded in March 2011. June's volume topped the 993,990 contracts traded in May 2011 by 23 percent and rose 369 percent from the 260,665 contracts traded in June 2010. The top four most-active trading months for VIX futures have occurred during the last four months (June: 1,222,257 contracts; March: 1,065,374 contracts, May: 993,990 contracts and April: 834,110 contracts).
For the second consecutive month, average daily volume in VIX futures registered a new record. The 55,557 contracts per day during June 2011 eclipsed the previous high of 47,333 contracts per day in May 2011. June ADV gained 17 percent when compared to May's ADV and was up 369 percent versus the 11,848 contracts traded per day in June 2010.
On June 16, trading volume in VIX futures established a new single-day high of 101,146 contracts. The record marked the first time VIX futures volume exceeded 100,000 contracts in a single trading session, and beat the previous daily record of 97,337 contracts set on March 15, 2011.
On June 13, a new high of 22,727 VIX futures contracts traded in CFE's early open trading session (7:20 a.m. to 8:30 a.m., Chicago time).
Open interest in VIX futures stood at 253,919 contracts at the end of the day on June 15, also a new record. At month's end, open interest in VIX futures was 219,660 contracts.
About CFE
CFE currently offers futures on six different contracts, including: the CBOE Volatility Index (VIX), Weekly options on VIX futures (VOW), CBOEmini-VIX (VM), CBOE Gold ETF Volatility Index (GVZ), CBOE S&P 500 3-Month Variance (VT) and CBOE S&P 500 12-Month Variance (VA).
CFE, a wholly owned subsidiary of CBOE Holdings, Inc. (NASDAQ: CBOE), offers an all-electronic, open-access market model, with traders providing liquidity and making markets. CFE trades are cleared by the AAA-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: http://cfe.cboe.com/.
CBOE-EF
CBOE®, Chicago Board Options Exchange®, CFE®, CBOE Volatility Index® and VIX® are registered trademarks, and CBOE Futures Exchange(SM), GVZ(SM) and Weeklys(SM) are servicemarks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC,. and have been licensed for use by CBOE.
