The CBOE Futures Exchange, LLC (CFE®) announced today that September 2012 was the most-active trading month ever for futures on the CBOE Volatility Index® (VIX®). The record trading activity in VIX futures drove total volume at CFE to a new all-time high. During the month, several new trading records -- for both VIX futures and CFE -- were set.
VIX Futures
In September, average daily volume (ADV) in VIX futures reached a new all-time high of 126,345 contracts, which surpassed the previous record ADV of 102,587 contracts during June 2012. September's ADV increased by 170 percent from the 46,784 contracts ADV in September 2011 and rose by 52 percent when compared to the ADV of 83,016 contracts in August 2012. A new single-day volume record for VIX futures was achieved on Thursday, September 13 when 190,081 contracts traded. The previous record had been 159,744 contracts on June 18, 2012.
Total monthly trading activity in VIX futures was a record 2,400,552 contracts during September, eclipsing the previous high of 2,154,325 contracts during June 2012. September's record volume increased 144 percent from the 982,462 contracts in September 2011 and rose 26 percent from the 1,909,373 contracts in August 2012.
Year-to-date through September, ADV in VIX futures stands 68 percent ahead of the same time period a year ago -- 85,990 contracts per day versus 51,111 contracts per day.
|
VIX Index Futures Volume Summary |
Year-To-Date |
|||||||
|
Sept 2012 |
Sept 2011 |
% Chg |
Aug 2012 |
% Chg |
Sept 2012 |
Sept 2011 |
% Chg |
|
|
Trading Days |
19 |
21 |
23 |
188 |
189 |
|||
|
VIX Total |
2,400,552 |
982,462 |
144% |
1,909,373 |
26% |
16,166,159 |
9,659,939 |
67% |
|
VIX ADV |
126,345 |
46,784 |
170% |
83,016 |
52% |
85,990 |
51,111 |
68% |
Open interest in VIX futures reached a new high of 431,265 contracts on Tuesday, September 18. The record came on the heels of five consecutive open interest records set the previous week. Prior to September, the high in VIX futures open interest was 403,608 contracts on August 21, 2012.
Total CFE Trading Activity
Total exchange-wide ADV during September was a record 126,871 contracts, topping the previous record ADV of 103,274 contracts in June 2012. CFE's September ADV was up 171 percent over the 46,875 contracts ADV in September 2011 and up 52 percent over the 83,290 contracts ADV in August 2012. On Thursday, September 13, a new record for total CFE single day volume was set when 191,228 contracts traded. The previous record had been 160,552 contracts on June 18, 2012.
Total trading volume at CFE during September was a record 2,410,549 contracts, surpassing the previous record of 2,168,751 contracts traded during June 2012. September's trading activity rose 145 percent from the 984,392 contracts traded a year ago and was up 26 percent from the 1,915,695 contracts traded in August. Exchange-wide open interest reached a new all-time high of 431,428 contracts on Tuesday, September 18.
Third Quarter and Year-To-Date
Total CFE volume for the third quarter of 2012 was a record 6,245,366 contracts, a third consecutive record quarter. The trading volume during the three months from July through September surpassed the previous high of 5,883,808 total contracts during the second quarter of 2012 by six percent and gained 57 percent from the 3,983,559 contracts traded during the third quarter of 2011. ADV during the third quarter was 100,516 contracts, compared with 93,394 contracts in the previous quarter (2Q 2012) and 62,243 contracts in the same quarter from a year ago (3Q 2011).
Year-to-date, total CFE volume stands at 16,252,789 contracts through the end of September, 68 percent ahead of the 9,670,531 contracts traded through the first nine months of 2011. Average daily volume for the first nine months of 2012 is 86,451 contracts, compared with 51,167 contracts during the same time period a year ago.
