The Chicago Board Options Exchange (CBOE) announced today that average daily volume in March was 4,647,680 contracts traded per day, up 23% when compared to the 3,771,082 contracts per day during March 2007.Total exchange volume during March rose 12% to 92,953,594 contracts, up from March 2007's volume of 82,963,812 contracts.
During March, total volume in equity options was 46,400,550 contracts traded, eclipsing the 40,308,397 contracts traded in March 2007 by 15%.Average daily volume in equity options for the month was 2,320,028 contracts traded per day, an increase of 27% over the 1,832,200 contracts per day during March 2007.
Total volume in exchange trade fund (ETF) options during March 2008 was 27,372,294 contracts traded, 42% above the 19,346,484 contracts traded in March 2007.Average daily volume in ETF options for the month was 1,368,615 contracts traded per day, 56% more than the 879,386 contracts per day during March 2007.
|
Mar
2008 |
%
Change vs Mar 2007 |
%
Change vs Feb 2008 |
Year-To-Date
Volume |
%
Change |
Industry
Total |
282,000,233 |
+23% |
+15% |
883,583,154 |
+45% |
CBOE
Total |
92,953,594 |
+12% |
+18% |
282,511,275 |
+37% |
CBOE
Total ADV |
4,647,680 |
+23% |
+18% |
4,631,332 |
+37% |
Equity |
46,400,550 |
+15% |
+15% |
141,768,378 |
+27% |
Equity
ADV |
2,320,028 |
+27% |
+15% |
2,324,072 |
+27% |
Cash-Settled
Index |
19,180,185 |
-18% |
+14% |
59,885,323 |
+16% |
Cash-Settled
IndexADV |
959,009 |
-10% |
+14% |
981,727 |
+16% |
ETF
Options |
27,372,294 |
+42% |
+27% |
80,856,177 |
+92% |
ETF
Options ADV |
1,368,615 |
+56% |
+27% |
1,325,511 |
+92% |
Open
Interest |
237,520,694 |
+10% |
+1% |
----- |
----- |
CBOE's Market Share Of Total Industry Volume Posts A Gain For The Third Consecutive Month
In March, CBOE's market share of total industry volume was 33%, which was up 0.8% from February 2008, and the third consecutive month that the Exchange posted a gain in total market share over the previous month.In equity options, CBOE's March market share was 26.8%, up 1.4 percentage points from the previous month, while CBOE's market share in multiply-listed index and ETF options was unchanged from February at 35.3%.
CBOE Market Share |
Mar 2008 Market Share |
% Change vs Mar 2007 |
% Change vs Feb 2008 |
Year-To-Date Market Share |
% Change vs 2007 |
---|---|---|---|---|---|
Exchange |
33.0% |
-3.3% |
+0.8% |
32.0% |
-1.7% |
Equity |
26.8% |
0% |
+1.4% |
25.4% |
-0.2% |
Index & ETF (multiple listings only) |
35.3% |
-5.4% |
0% |
35.2% (last 12 months) |
-5.5% |
Volume In VIX Options Up 31% During March, Trading In Financial Select SPDRs Rises 739%
·The top five most actively traded equity options during March were Bear Stearns Companies, Inc. (BSC), Citigroup, Inc. (C), Clear Channel Communications, Inc. (CCU), Lehman Brothers Holdings, Inc. (LEH), and Apple Inc. (AAPL).
·The top five most-actively traded index and ETF options at CBOE during March were S&P 500 Index (SPX), Standard & Poor's Depositary Receipts (SPY), iShares Russell 2000 Index Fund (IWM), PowerShares QQQ Trust (QQQQ), and the Financial Select SPDRs (XLF).
·During March 2008, volume in the Financial Select SPDRs (XLF) totaled 2,553,439 contracts, up 739% over March 2007's volume of 304,248 contracts and up 100% over February 2008's volume of 1,275,836 contracts.
·Total volume for the month in VIX options was 2,070,771 contracts, up 31% over March 2007's volume of 1,575,245 contracts.Average daily volume was 103,539 contracts in March 2008, up 45% compared to the 71,602 contracts per day a year-ago.
·On Monday, March 31, CBOE began disseminating CBOE Volatility Index (VIX) Term Structure data.Analogous to calculating an implied volatility for S&P 500 Index (SPX) options by expiration, the VIX Term Structure is created by using the VIX methodology to calculate an index level for each SPX expiration currently traded.This new data service will provide useful comparisons between SPX options prices and the prices of options and futures based on the VIX Index.The information will be disseminated through CBOE's website, with the data set updated daily after the close of trading.In addition, daily historical values for the VIX Term Structure dating back to 1992 will also be available.
·During March, eight CBOE memberships, or seats, were traded.For the month, the highest seat price was $2,850,000 on March 3, 2008.For the year, a total of 22 CBOE seats have been traded, with the high being $3,125,000 on January 2, 2008.
·Volume at the CBOE Futures Exchange (CFE) was 108,812 contracts traded during March, an increase of 34% over February 2008's volume of 80,946 contracts.Average daily volume was 5,441 contracts.Monthly volume in CBOE Volatility Index (ticker VX) futures was 98,351 contracts traded and volume in CBOE DJIA Volatility Index (ticker DV) futures was 6,741 contracts.
·On March 5, 2008, the CBOE Stock Exchange (CBSX) celebrated its one-year anniversary.In its first year of operation, over one billion shares were traded and CBSX listed over 3,100 classes for trading.For the month of March 2008, trading volume totaled 247,382,842 shares traded.Average daily volume at CBSX was 12,369,142 shares and a total of 301,907 trades were executed during March.
·Six of CBOE's performance-based benchmark indexes rose during March 2008, outperforming key total return stock indexes such as the S&P 500 Index, which dipped 0.4%, and the Dow Jones Industrial Average, which gained 0.1%, over the same time period.
Index |
Ticker
Symbol |
%
Gain In March |
CBOE
S&P 500 BuyWrite Index |
BXM |
1.7% |
CBOE
S&P 500 2% OTM BuyWrite |
BXY |
0.6% |
CBOE
S&P 500 PutWrite Index |
PUT |
1.2% |
CBOE
DJIA BuyWrite Index |
BXD |
2.2% |
CBOE
Russell 2000 BuyWrite Index |
BXR |
2.2% |
CBOE
Nasdaq BuyWrite Index |
BXN |
2.2% |
CBOE Individual Index and ETF Volume Figures For March 2008
Symbol |
Product |
Total Volume |
% Change vs Mar 07 |
% Change vs Feb 08 |
Open Interest |
% Change vs 2007 |
---|---|---|---|---|---|---|
SPX |
S&P 500 Index |
13,332,200 |
-20% |
+17% |
9,796,954 |
+10% |
VIX |
CBOE Volatility Index (options) |
2,070,771 |
+31% |
+4% |
774,232 |
-22% |
SPY |
Standard & Poor's
Depositary Receipts (SPDRs) |
7,543,982 |
+76% |
+27% |
11,376,332 |
+81% |
XSP |
Mini-S&P 500 Index |
159,558 |
+1% |
+38% |
273,609 |
-71% |
OEX |
S&P 100 Index (American-Style Exercise) |
991,548 |
-35% |
+17% |
249,529 |
-24% |
XEO |
S&P 100 Index (European-Style Exercise) |
178,673 |
-63% |
+42% |
105,803 |
-35% |
DJX |
Dow Jones Industrial
Average |
573,334 |
-25% |
+9% |
629,454 |
-6% |
DIA |
DIAMONDS Trust, Series 1 |
1,042,143 |
+38% |
+51% |
1,437,598 |
+21% |
NDX |
Nasdaq-100 Index |
405,852 |
-51% |
-2% |
355,638 |
-42% |
MNX |
CBOE Mini-NDX Index (based on Nasdaq-100) |
351,301 |
-36% |
+7% |
1,176,363 |
-35% |
VXN |
CBOE Nasdaq-100 Volatility
Index (options) |
281 |
----- |
+29% |
243 |
----- |
QQQQ |
PowerShares QQQ Trust |
4,247,839 |
+3% |
+6% |
5,739,816 |
-21% |
RUT |
Russell 2000 Index |
1,025,421 |
+126% |
+14% |
1,444,481 |
+55% |
RVX |
CBOE Russell 2000
Volatility Index (options) |
3,310 |
----- |
+52% |
2,652 |
----- |
IWM |
iShares Russell 2000 Index Fund |
7,044,784 |
-4% |
+18% |
7,657,398 |
-2% |
SMH |
Semiconductor HOLDRs Trust |
107,867 |
-53% |
+18% |
718,655 |
-21% |
OIH |
Oil Services HOLDRs Trust |
211,525 |
-22% |
-5% |
430,143 |
-47% |
EEM |
iShares MSCI Emerging
Markets Index |
1,176,640 |
+86% |
+9% |
1,348,153 |
+116% |
XLF |
Financial Select SPDR |
2,553,439 |
+739% |
+100% |
5,511,765 |
+230% |
XLE |
Energy Select SPDR |
690,475 |
+98% |
+55% |
1,384,130 |
+10% |
FXI |
iShares FTSE/Xinhua China
Index Fund |
130,063 |
+280% |
+24% |
378,497 |
+277% |
CBOE, the largest options marketplace in the U.S. and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC).For additional information about the CBOE and its products, access the CBOE website at: www.cboe.com/.