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The CBOE Futures Exchange, LLC (CFE®) announced today that total monthly volume in futures on the CBOE Volatility Index®(VIX®) reached an all-time high for a second consecutive month in October 2012. The record trading activity in VIX futures also drove total volume at CFE to a new all-time high.
Total monthly trading activity in VIX futures during October was a new all-time high of 2,443,878 contracts, a gain of 172 percent from the 897,966 contracts traded in October 2011 and up two percent from the 2,400,552 contracts during September, which had been the previous record.
In October, average daily volume (ADV) in VIX futures totaled 116,375 contracts, an increase of 172 percent over the 42,760 contracts per day October 2011 and down eight percent versus the record ADV of 126,345 contracts in September 2012. The month was shortened by two trading days as a result of equity market closures on October 29 and 30 due to the East Coast hurricane.
Year to date through October, total volume in VIX futures stands 76 percent ahead of the same time period a year ago — 18.6 million contracts versus 10.6 million contracts. Average daily volume in VIX futures year to date is 77 percent ahead of 2011 year-to-date -- 89,043 contracts per day compared to 50,276 contracts per day.
|
Monthly Volume Summary |
Year-To-Date |
|||||||
|
Oct 2012 |
Oct 2011 |
% Chg |
Sept 2012 |
% Chg |
Oct 2012 |
Oct 2011 |
% Chg |
|
|
Trading Days |
21 |
21 |
19 |
209 |
210 |
|||
|
VIX Index Futures |
||||||||
|
Total |
2,443,878 |
897,966 |
+172% |
2,400,552 |
+2% |
18,610,037 |
10,557,905 |
+76% |
|
ADV |
116,375 |
42,760 |
+172% |
126,345 |
-8% |
89,043 |
50,276 |
+77% |
|
CFE Total Exchange |
||||||||
|
Total |
2,449,414 |
899,108 |
+172% |
2,410,549 |
+2% |
18,702,203 |
10,569,639 |
+77% |
|
ADV |
116,638 |
42,814 |
+172% |
126,871 |
-8% |
89,484 |
50,332 |
+78% |
Total trading volume at CFE during October was 2,449,414 contracts, a new record, and surpassing the 899,108 contracts traded in October 2011 by 172 percent. When compared to the 2,410,549 contracts traded in September, which had been the previous CFE record, October trading volume rose two percent.
Total exchange-wide ADV during October was 116,638 contracts, topping the ADV of 42,814 contracts in October 2011 by 172 percent. October's ADV was eight percent below the record ADV of 126,871 contracts in September.
