The CBOE Futures Exchange, LLC (CFE) today announced that trading volume during May 2011 totaled 994,608 contracts, which ranks as the second busiest month all-time to-date at CFE. May 2011 volume exceeded the 481,650 contracts traded in May 2010 by 107 percent. When compared to April 2011 volume of 834,892 contracts, May's trading activity increased by 19 percent.
May 2011 was the most active month of May on record at CFE and marked the twentieth consecutive month in which total volume registered an increase when comparing year-over-year trading activity. The first five months of 2011 currently rank as the five most-active trading months in CFE history.
CFE Top 5 Most-Active Trading Months |
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Rank |
Month |
Total Volume |
|
1 |
March 2011 |
1,066,367 contracts |
|
2 |
May 2011 |
994,608 contracts |
|
3 |
April 2011 |
834,892 contracts |
|
4 |
February 2011 |
789,734 contracts |
|
5 |
January 2011 |
778,157 contracts |
|
Average daily volume (ADV) for the month of May set a new record at CFE. The 47,362 contracts traded per day during May 2011 surpassed the previous monthly ADV high of 46,363 contracts in March 2011. When compared to the ADV of 24,082 contracts traded in May 2010 and the 41,744 contracts traded per day during April 2011, ADV in May 2011 rose by 97 percent and 13 percent, respectively. May was the fourth consecutive month in which CFE daily volume averaged over 40,000 contracts, the first time this has ever occurred at CFE.
CBOE FUTURES EXCHANGE VOLUME SUMMARY Current Month |
Year-To-Date |
||||||||
May 2011 |
May 2010 |
% Chg |
April 2011 |
% Chg |
May 2011 |
May 2010 |
% Chg |
||
Trading Days |
21 |
20 |
20 |
103 |
102 |
||||
Total CFE |
994,608 |
481,650 |
+107% |
834,892 |
+19% |
4,463,758 |
1,404,881 |
+218% |
|
Total CFE ADV |
47,362 |
24,082 |
+97% |
41,744 |
+13% |
43,337 |
13,773 |
+215% |
|
May 2011 volume in VIX futures, based on the CBOE Volatility Index (ticker VX), totaled 993,990 contracts, topping the 479,467 contracts traded in May 2010 by 107 percent and the 834,110 contracts traded in April 2011 by 19 percent. May was the second-busiest month ever for VIX futures trading at CFE, trailing only March 2011 — which was the first month ever for VIX futures volume to surpass the one-million-contract milestone. The top three most-active trading months for VIX futures have occurred during the last three months (March: 1,065,374 contracts, May: 993,990 contracts and April: 834,110 contracts).
Average daily volume in VIX futures was 47,333 contracts during May 2011, a new CFE record, eclipsing the previous high of 46,320 contracts per day in March 2011. May ADV was up 97 percent when compared to the ADV of 23,973 contracts traded per day in May 2010 and up 13 percent versus the 41,706 contracts traded per day during April 2011.
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/.