The CBOE Futures Exchange, LLC (CFE®) announced today that total monthly trading volume in futures on the CBOE Volatility Index® (VIX®) reached an all-time high for a third consecutive month in November 2012. The record trading activity in VIX futures also drove total volume at CFE to a new all-time high.
Total monthly trading activity in VIX futures during November was a new all-time high of 2,734,248 contracts, a gain of 233 percent from the 822,017 contracts traded in November 2011 and up 12 percent from the 2,443,878 contracts during October 2012, which had been the previous record.
In November, average daily volume (ADV) in VIX futures totaled a new record of 130,202 contracts, an increase of 233 percent over the 39,144 contracts per dayNovember 2011 and up 12 percent versus the ADV of 116,375 contracts in October 2012. November's record ADV surpassed the previous ADV high of 126,345 contracts in September 2012.
Year to date through November, total volume in VIX futures stands 86 percent ahead of the same time period a year ago -- 21,344,285 contracts versus 11,455,871 contracts. Average daily volume in VIX futures year to date is 87 percent ahead of 2011 year-to-date — 92,801 contracts per day compared to 49,593 contracts per day.
|
Monthly Volume Summary |
Year-To-Date |
|||||||
|
Nov 2012 |
Nov 2011 |
% Chg |
Oct 2012 |
% Chg |
Nov 2012 |
Nov 2011 |
% Chg |
|
|
Trading Days |
21 |
21 |
21 |
230 |
231 |
|||
|
VIX Index Futures |
||||||||
|
Total |
2,734,248 |
822,017 |
233% |
2,443,878 |
12% |
21,344,285 |
11,455,871 |
86% |
|
ADV |
130,202 |
39,144 |
233% |
116,375 |
12% |
92,801 |
49,593 |
87% |
|
CFE Total Exchange |
||||||||
|
Total |
2,744,177 |
822,783 |
234% |
2,449,414 |
12% |
21,446,380 |
11,392,422 |
88% |
|
ADV |
130,675 |
39,180 |
234% |
116,638 |
12% |
93,245 |
49,318 |
89% |
Total trading volume at CFE during November was 2,744,177 contracts, a new record, and surpassing the 822,783 contracts traded in November 2011 by 234 percent. When compared to the 2,449,414 contracts traded in October 2012, which had been the previous CFE record, November trading volume rose 12 percent.
Total exchange-wide ADV during November was a new high of 130,675 contracts, surpassing the previous record of 126,871 contracts in September 2012. When compared to the ADV of 39,180 contracts in November 2011 and 116,638 contracts in October 2012, November ADV rose by 234 percent and 12 percent, respectively.
