CBOE Holdings, Inc. (NASDAQ: CBOE) today announced record 2011 options trading volume of 1.20 billion contracts for the Chicago Board Options Exchange (CBOE) and C2 Options Exchange (C2), combined, compared to 1.12 billion contracts in 2010. Average daily volume (ADV) in 2011 reached a new all-time high of 4.78 million contracts, an eight -percent increase from 2010 ADV of 4.44 million contracts.
The year 2011 marked CBOE's fourth consecutive year of one-billion-plus contract trading volume.
CBOE Futures Exchange (CFE) trading volume achieved a new all-time high of 12.0 million contracts in 2011, surpassing the 4.4 million contracts traded in 2010 by 174 percent. CFE's record trading activity was propelled by robust volume in CFE's flagship product, futures on the CBOE Volatility Index (VIX). During CFE's record-setting year, nearly every major trading metric at the exchange achieved a new all-time high.
CBOE Options Trading Volume and Market Share
2011 Volume:
- CBOE trading volume in 2011 totaled 1.15 billion contracts versus 1.12 billion in 2010. ADV in 2011 was 4.6 million contracts, up three percent from ADV of 4.4 million contracts in 2010.
- CBOE index options volume in 2011 totaled 320.1 million contracts versus 270.0 million in 2010. ADV in 2011 was 1.3 million contracts, up 19 percent from ADV of 1.1 million contracts in 2010.
- CBOE ETF options volume in 2011 totaled 335.1 million contracts versus 274.2 million in 2010. ADV in 2011 was 1.3 million contracts, up 22 percent from ADV of 1.1 million contracts in 2010.
- CBOE equity options volume in 2011 totaled 496.9 million contracts versus 571.3 million in 2010. ADV in 2011 was nearly 2.0 million contracts, down 13 percent from ADV of 2.3 million contracts in 2010.
- Options on the S&P 500 Index (SPX), Standard and Poor's Depositary Receipts (SPY) and CBOE Volatility Index (VIX) posted all-time annual volume records of 197.5 million, 146.0 million and 98.0 million contracts, respectively.
December 2011 Volume:
- CBOE trading volume in December 2011 totaled 70.6 million contracts versus 84.0 million contracts in December 2010. ADV in December was 3.4 million contracts, down 12 percent from December 2010 ADV of 3.8 million contracts and down 16 percent from November 2011 ADV of 4.0 million contracts.
- See additional volume details for December by CBOE product category in the table below.
|
CBOE Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
Dec-11 |
Dec-10 |
% Chg |
Nov-11 |
% Chg |
Dec-11 |
Dec-10 |
% Chg |
|
Trading Days |
21 |
22 |
|
21 |
|
252 |
252 |
|
|
Total Exchange |
70,602.8 |
83,966.7 |
-16% |
84,075.1 |
-16% |
1,152,063.4 |
1,115,491.9 |
3% |
|
Total Exchange ADV |
3,362.0 |
3,816.7 |
-12% |
4,003.6 |
-16% |
4,571.7 |
4,426.6 |
3% |
|
Equity Options |
29,205.0 |
46,344.1 |
-37% |
33,482.8 |
-13% |
496,905.8 |
571,281.2 |
-13% |
|
Equity Options ADV |
1,390.7 |
2,106.6 |
-34% |
1,594.4 |
-13% |
1,971.8 |
2,267.0 |
-13% |
|
Index Options |
20,474.4 |
19,539.8 |
5% |
25,639.3 |
-20% |
320,077.1 |
270,006.2 |
19% |
|
Index Options ADV |
975.0 |
888.2 |
10% |
1,220.9 |
-20% |
1,270.1 |
1,071.5 |
19% |
|
ETF Options |
20,923.3 |
18,082.7 |
16% |
24,953.1 |
-16% |
335,080.4 |
274,202.1 |
22% |
|
ETF Options ADV |
996.3 |
821.9 |
21% |
1,188.2 |
-16% |
1,329.7 |
1,088.1 |
22% |
Expanded full-year and December 2011 volume information for CBOE index and ETF options is available at:www.cboe.com/data/monthlyvolume.aspx.
CBOE 2011 market share of total U.S. options industry volume was 25.3 percent, down 3.3 percentage points from 2010. If the volume from dividend trades was excluded from industry data for 2011, the Exchange's total market share for the year would be 26.2 percent.
CBOE December market share was 22.0 percent, down 2.4 percentage points from November 2011 and a 2.6-percentage-point decline from December 2010. If the volume from dividend trades was excluded from industry data for December 2011, the Exchange's total market share for December would be 24.7 percent.
Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.
|
CBOE Current Month |
Year-To-Date |
|||||||
|
|
Dec 2011 |
Dec 2010 |
% pt. Chg |
Nov 2011 |
% pt. Chg |
Dec 2011 |
Dec 2010 |
% pt. Chg |
|
Total Exchange |
22.0% |
24.6% |
-2.6% |
24.4% |
-2.4% |
25.3% |
28.6% |
-3.3% |
|
Total Exchange (excl. dividend trades) |
24.7% |
26.7% |
-2.0% |
25.3% |
-0.6% |
26.2% |
29.8% |
-3.6% |
|
Equity Options |
16.3% |
22.9% |
-6.6% |
18.7% |
-2.4% |
20.2% |
24.2% |
-4.0% |
|
Equity Option (excl. dividend trades) |
19.5% |
25.2% |
-5.7% |
20.0% |
-0.5% |
21.4% |
25.7% |
-4.3% |
|
Index Options |
94.8% |
94.3% |
0.5% |
95.5% |
-0.7% |
94.8% |
93.8% |
1.0% |
|
Index Options (excl. dividend trades) |
95.0% |
94.7% |
0.3% |
95.7% |
-0.7% |
95.1% |
94.4% |
0.7% |
|
ETF Options |
17.4% |
15.3% |
2.1% |
18.1% |
-0.7% |
19.0% |
21.8% |
-2.8% |
|
ETF Options (excl. dividend trades) |
18.2% |
16.2% |
2.0% |
18.1% |
0.1% |
19.3% |
22.2% |
-2.9% |
CBOE 2011 Market Share by Product:
- Index options — CBOE 2011 market share was 94.8 percent, up one percentage point from 2010.
- Equity options — CBOE 2011 market share was 20.2 percent, down 4.0 percentage points from 2010.
- ETF options — CBOE 2011 market share was 19.0 percent, down 2.8 percentage points from 2010.
- See additional CBOE market share by product details for December 2011 in the table above.
C2 Trading Volume and Market Share
- In 2011, C2's first full year of operation, trading volume totaled 52.8 million contracts, an ADV of 209,600 contracts. ETF and equity options daily volume averaged 132,000 and 76,300 contracts, respectively. Index option volume averaged 5,100 contracts per day since SPXpm was launched onOctober 4, 2011.
- C2 volume during December totaled nearly 3.9 million contracts, an ADV of 184,900 contracts, up 67 percent from December 2010 and down 20 percent from November 2011.
|
C2 Trading Volume |
Year-To-Date |
|||||||
|
(trades in thousands) |
Dec-11 |
Dec-10 |
% Chg |
Nov-11 |
% Chg |
Dec-11 |
Dec-10 |
% Chg |
|
Trading Days |
21 |
22 |
|
21 |
|
252 |
44 |
|
|
Total Exchange |
3,882.6 |
2,442.8 |
59% |
4,836.0 |
-20% |
52,818.6 |
3,610.5 |
NM* |
|
Total Exchange ADV |
184.9 |
111.0 |
67% |
230.3 |
-20% |
209.6 |
82.1 |
NM* |
|
Equity Options |
1,706.1 |
1,218.6 |
40% |
1,604.6 |
6% |
19,231.9 |
1,582.8 |
NM* |
|
Equity Options ADV |
81.2 |
55.4 |
47% |
76.4 |
6% |
76.3 |
36.0 |
NM* |
|
Index Options |
105.5 |
--- |
--- |
110.5 |
-5% |
316.3 |
--- |
--- |
|
Index Options ADV |
5.0 |
--- |
--- |
5.3 |
-5% |
5.1 |
--- |
--- |
|
ETF Options |
2,071.0 |
1,224.2 |
69% |
3,120.9 |
-34% |
33,270.4 |
2,027.7 |
NM* |
|
ETF Options ADV |
98.6 |
55.6 |
77% |
148.6 |
-34% |
132.0 |
46.1 |
NM* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
*NM = Full-year comparisons not meaningful. C2 opened for trading on October 29, 2010.
C2 Market Share:
- At the end of 2011, C2's market share of total U.S. options volume was 1.2 percent.
- In December 2011, C2's market share totaled 1.2 percent, up 0.5 of a percentage point from December 2010 and down 0.2 of a percentage point fromNovember 2011. If the volume from dividend trades was excluded from industry data for December, the Exchange's total market share would be 1.4 percent.
|
C2 Current Month |
Year-To-Date |
|||||||
|
|
Dec 2011 |
Dec 2010 |
% pt. Chg |
Nov 2011 |
% pt. Chg |
Dec 2011 |
Dec 2010 |
% pt. Chg |
|
Total Exchange |
1.2% |
0.7% |
0.5% |
1.4% |
-0.2% |
1.2% |
0.1% |
1.1% |
|
Total Exchange (excl. dividend trades) |
1.4% |
0.8% |
0.6% |
1.5% |
-0.1% |
1.2% |
0.1% |
1.1% |
|
Equity Options |
1.0% |
0.6% |
0.4% |
0.9% |
0.1% |
0.8% |
0.1% |
0.7% |
|
Equity Option (excl. dividend trades) |
1.1% |
0.7% |
0.6% |
1.0% |
0.1% |
0.8% |
0.1% |
0.7% |
|
Index Options |
0.5% |
0.0% |
0.5% |
0.4% |
0.1% |
0.1% |
0.0% |
0.1% |
|
Index Options (excl. dividend trades) |
0.4% |
0.0% |
0.4% |
0.4% |
0.0% |
0.1% |
0.0% |
0.1% |
|
ETF Options |
1.7% |
1.0% |
0.7% |
2.3% |
-0.6% |
1.9% |
0.2% |
1.7% |
|
ETF Options (excl. dividend trades) |
1.8% |
1.1% |
0.7% |
2.3% |
-0.5% |
1.9% |
0.2% |
1.7% |
CBOE Futures Exchange Trading Volume
2011 Volume:
- 2011 was the busiest year in CBOE Futures Exchange history as trading volume topped 12 million contracts for the first time ever. The record 12,041,102 contracts traded in 2011 was an increase of 174 percent over the previous record of 4,402,378 contracts traded in 2010. Average daily volume in 2011 was 47,782 contracts, up 174 percent from ADV of 17,470 contracts per day in 2010.
- Trading of futures on the CBOE Volatility Index (VIX) totaled a record 12,027,955 contracts in 2011, an increase of 174 percent from 4,392,446 contracts in 2010. Average daily volume in VIX futures during 2011 registered a record of 47,730 contracts, up 174 percent from the previous ADV record of 17,430 contracts in 2010.
Additional Highlights:
- 2011 was the sixth time in the last seven years that CFE set record annual trading volume.
- Trading volume for each month during 2011 posted a year-over-year increase versus 2010.
- Of the top 13 most-active trading months in CFE history, 12 occurred in 2011.
- Total exchange open interest reached a new high of 254,089 contracts on June 15.
CBOE Holdings Average Transaction Fee Per Contract:
The following represents average transaction fee per contract based on a three-month rolling average, reported on a one-month lag. The average transaction fee per contract represents total transaction fees for CBOE, C2, and CFE recognized for the period divided by total contracts traded during the period. Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.
|
(In dollars) |
Three-Month Period Ended |
|||
|
Product: |
November 2011 |
October 2011 |
September 2011 |
August 2011 |
|
Equities |
$0.164 |
$0.155 |
$0.159 |
$0.159 |
|
Indexes |
0.621 |
0.605 |
0.605 |
0.606 |
|
Exchange Traded Funds |
0.205 |
0.195 |
0.192 |
0.187 |
|
Total Options Average Transaction Fee Per Contract |
0.308 |
0.300 |
0.301 |
0.300 |
|
Futures |
1.328 |
1.348 |
1.371 |
1.376 |
|
Total Average Transaction Fee Per Contract |
$0.317 |
$0.311 |
$0.313 |
$0.313 |
