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- VIX Futures Up 2% Year to Date
- VIX Futures ADV Down 28% from September 2015
- 4 Million VIX Futures Contracts Traded
CBOE Futures Exchange, LLC (CFE®) today reported that October average daily volume (ADV) was down 28 percent from September 2015 and 44 percent from October 2014's record-setting volume totals. However, on a year-to-date basis through October, volume was up 2 percent, compared with the same period last year.
VIX Futures
Total volume in futures on the CBOE Volatility Index® (VIX® Index) for October was 4.0 million contracts, down 24 percent from September 2015 and down 46 percent from October 2014, when VIX Index futures set monthly and daily volume records. October VIX futures' ADV was 181,562 contracts.
|
CFE Monthly Volume Summary |
Year-To-Date |
|||||||||
|
October 2015 |
October 2014 |
% Chg |
September 2015 |
% Chg |
October 2015 |
October 2014 |
% Chg |
|||
|
Trading Days |
22 |
23 |
21 |
210 |
211 |
|||||
|
VIX Index Futures |
||||||||||
|
Total |
3,994,368 |
7,446,507 |
-46% |
5,275,344 |
-24% |
43,620,686 |
42,879,311 |
2% |
||
|
ADV |
181,562 |
323,761 |
-44% |
251,207 |
-28% |
207,718 |
203,219 |
2% |
||
|
CFE Total Exchange |
||||||||||
|
Total |
3,998,723 |
7,458,697 |
-46% |
5,278,891 |
-24% |
43,660,947 |
42,951,414 |
2% |
||
|
ADV |
181,760 |
324,291 |
-44% |
251,376 |
-28% |
207,909 |
203,561 |
2% |
||
Total CFE
Exchangewide ADV at CFE was 181,760 contracts in October, a decrease of 28 percent from September 2015 and 44 percent from October 2014, when the CFE also posted monthly and daily volume records. Exchangewide total volume for the month was 4.0 million contracts, down 24 percent from September 2015and a decline of 46 percent from the year-ago total.
Extended Trading Hours
Trading activity in VIX futures during non-U.S. trading hours fell in October, but represented 8 percent of total VIX futures volume, slightly lower than September 2015's 10-percent share. Monthly volume for VIX futures during extended trading hours was 317,959 contracts, with an ADV of 14,453 contracts. Year to date, extended trading hours represent nearly 9 percent of VIX futures' total volume.
