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VIX Futures Set New Single-Day Volume Record At CBOE Futures Exchange

Date 06/08/2004

The CBOE Futures Exchange, LLC (CFE) announced that trading volume in VIX futures set a new single-day record today with reported volume of 1,967 VIX futures contracts. Today's volume surpassed the previous high of 1,844 contracts traded on July 12, 2004. Open interest in VIX futures stood at 7,283 contracts at the close of business yesterday.

CFE, which launched on March 26, 2004, is a new, all-electronic futures exchange offering futures on the CBOE Volatility Index (VIX) and CBOE S&P 500 Three-Month Variance (VT).

VIX futures (ticker symbol VX) are based on the CBOE Volatility Index, which was created by CBOE in 1993 and quickly became the benchmark index of market sentiment. Derived from real-time Standard & Poor's 500 Index option (SPX) prices, VIX is designed to reflect investors' consensus view of expected stock market volatility over the next 30 days.

Variance Futures, which began trading on May 18, are exchange-traded futures based on the realized variance of the Standard & Poor's 500 Index over a three-month period.

CFE, a wholly-owned subsidiary of Chicago Board Options Exchange, Incorporated, is a new, all-electronic exchange, using CBOEdirect as the trading platform. CFE trades are cleared by the triple-A rated Options Clearing Corporation (OCC). More information on CFE and VIX futures, including contract specifications, can be found at http://www.cboe.com/VIX or http://www.cboe.com/CFE.