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The CBOE Futures Exchange, LLC (CFE®) today reported September 2013 trading volume for total exchange-wide activity and for futures on the CBOE Volatility Index® (VIX®). Additionally, the exchange announced plans for the launch of CBOE Russell 2000 Volatility Index futures and rollout dates for its VIX futures extended trading hours initiative.
VIX Futures
September trading volume in VIX futures totaled 2.96 million contracts, a 23-percent increase from September 2012 and a 15-percent decrease from the previous month. Average daily volume in VIX futures during September was 148,039 contracts, a 17-percent increase from September 2012 and a seven-percent decrease from August. Year-to-date trading volume in VIX futures outpaced last year by 86 percent. Through the end of September, a total of 30.03 million VIX futures contracts have traded.
|
CFE Monthly Volume Summary |
Year-To-Date |
|||||||
|
Sep-13 |
Sep-12 |
% Chg |
Aug-13 |
% Chg |
Sep-13 |
Sep-12 |
% Chg |
|
|
Trading Days |
20 |
19 |
22 |
188 |
188 |
|||
|
VIX Index Futures |
||||||||
|
Total |
2,960,789 |
2,400,552 |
23% |
3,488,149 |
-15% |
30,034,031 |
16,172,087 |
86% |
|
ADV |
148,039 |
126,345 |
17% |
158,552 |
-7% |
159,755 |
86,022 |
86% |
|
CFE Total Exchange |
||||||||
|
Total |
2,976,648 |
2,410,549 |
23% |
3,527,672 |
-16% |
30,225,081 |
16,252,119 |
86% |
|
ADV |
148,832 |
126,871 |
17% |
160,349 |
-7% |
160,772 |
86,447 |
86% |
Total CFE
September exchange-wide trading volume at CFE totaled 2.98 million contracts, a 23-percent increase from September 2012 and a 16-percent decrease from August. Exchange-wide monthly ADV during September was 148,832 contracts, a 17-percent increase from a year ago and a seven-percent decrease from August.
CBOE Russell 2000 Volatility Index Futures
On Wednesday, October 30, CFE will launch trading on CBOE Russell 2000 Volatility Index (RVX) futures (ticker symbol VU). The calculation of the CBOE Russell 2000®Volatility Index (RVX Index) is based on the CBOE Volatility Index (VIX) methodology applied to CBOE listed options on the Russell 2000 Index (RUT), the premier measure of the performance of small-capitalization U.S. stocks and an effective gauge of the health of the U.S. economy.
Jane Street Capital, LLC will serve as the Designated Primary Market Maker (DPM) for VU futures. For more information on the CBOE Russell 2000 Volatility Index and products, go to www.cboe.com/RVX.
VIX Futures Extended Trading Hours
CFE also announced yesterday that the first phase of its extended trading hours initiative for VIX futures will begin on Monday, October 21, with the second phase to follow on Monday, October 28.
The first phase of the extended trading hours initiative is designed to respond to demand from both U.S. and European customers for a post-settlement trading period by adding a 45-minute trading period to the current trading hours for VIX futures (7:00 a.m. to 3:15 p.m. Chicago time).
The second phase of the extended trading hours initiative will benefit U.S. and European customers who are seeking longer hours for trading in VIX futures. European-based customers will have the opportunity to trade VIX futures during their local trading hours by beginning the current trading session five hours earlier than its current opening time of 7:00 a.m. (Chicago time).
For additional information on CFE's extended trading hours initiative, see http://www.cboe.com/AboutCBOE/MediaHub/press-releases.aspx.
