CBOE Holdings Reports August 2012 Consolidated Trading Volume Of Over 91 Million Contracts; ADV Of Nearly 4 Million Contracts

September 4, 2012

CBOE Holdings

CHICAGO, Sept. 4, 2012 /PRNewswire/ -- CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that August 2012 consolidated trading volume for options contracts on the Chicago Board Options Exchange® (CBOE®) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures Exchange (CFE®) totaled over 91 million contracts.  

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  • August 2012 average daily volume (ADV) for the three exchanges, combined, was 3.97 million contracts, a 40-percent decrease when compared to the all-time-monthly record ADV of 6.65 million contracts in August 2011, and a seven-percent decrease from 4.24 million contracts ADV in July 2012.
  • Year to date through August 2012, consolidated ADV for the three exchanges totaled 4.65 million contracts, down seven percent from the same period a year ago.

 

CBOE Holdings Consolidated Trading Volume


Year-To-Date


(trades in thousands)

Aug-12

Aug-11

% Chg

Jul-12

% Chg

Aug-12

Aug-11

% Chg

Trading Days

23

23


21


169

168


Total Contracts - Options and Futures

91,258.5

153,010.7

-40%

89,123.8

2%

785,698.9

840,763.5

-7%

   Total Options Contracts (CBOE & C2)

89,342.8

151,182.2

-41%

87,204.7

2%

771,856.7

832,077.4

-7%

   Futures Contracts

1,915.7

1,828.5

5%

1,919.1

0%

13,842.2

8,686.1

59%










Total ADV- Options and Futures

3,967.8

6,652.6

-40%

4,244.0

-7%

4,649.1

5,004.5

-7%

   Total Options ADV (CBOE & C2)

3,884.5

6,573.1

-41%

4,152.6

-6%

4,567.2

4,952.8

-8%

   Futures ADV

83.3

79.5

5%

91.4

-9%

81.9

51.7

58%

CBOE Trading Volume and Market Share 

  • CBOE trading volume — CBOE August 2012 ADV was 3.75 million contracts, down 40 percent from the all-time record 6.26 million contracts ADV in August 2011 and down six percent from July 2012 ADV of 3.97 million contracts.
  • The five most actively traded index and ETF options at CBOE during August were S&P 500® Index (SPXSM ) options, Standard & Poor's Depositary Receipt (SPY) ETF options, CBOE Volatility Index® (VIX® Index) options, PowerShares QQQ Trust (QQQ) ETF options, and iShares Trust Russell 2000 Index Fund (IWM) ETF options.

 

CBOE Trading Volume

Year-To-Date

(trades in thousands)

Aug-12

Aug-11

%  Chg

Jul-12

% pt. Chg

Aug-12

Aug-11

%  Chg

Trading Days

23

23


21


169

168


Total Exchange

86,169.9

144,033.6

-40%

83,332.2

3%

737,709.7

798,406.1

-8%

Total Exchange ADV

3,746.5

6,262.3

-40%

3,968.2

-6%

4,365.1

4,752.4

-8%

Equity Options

41,522.9

49,393.9

-16%

39,594.4

5%

340,752.8

360,516.6

-5%

Equity Options ADV

1,805.3

2,147.6

-16%

1,885.4

-4%

2,016.3

2,145.9

-6%

Index Options

23,303.9

45,848.2

-49%

22,446.7

4%

196,621.8

214,679.2

-8%

Index Options ADV

1,013.2

1,993.4

-49%

1,068.9

-5%

1,163.4

1,277.9

-9%

ETF Options

21,343.1

48,791.5

-56%

21,291.1

0%

200,335.1

223,210.2

-10%

ETF Options ADV

928.0

2,121.4

-56%

1,013.9

-8%

1,185.4

1,328.6

-11%

Expanded August 2012 volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.

CBOE Market Share:
CBOE August market share was 27.7 percent, up 1.5 percentage points from August 2011 and up 0.5 of a percentage point from July 2012.  If the volume from dividend trades was excluded from industry data for August 2012, CBOE's total market share would be 28.7 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


 Aug 2012

 Aug 2011

% pt. Chg

 Jul 2012

% pt. Chg

 Aug 2012

 Aug 2011

% pt. Chg

Total Exchange

27.7%

26.2%

1.5%

27.2%

0.5%

27.3%

25.6%

1.7%

Total Exchange (excl. dividend trades)

28.7%

26.5%

2.2%

28.5%

0.2%

28.5%

26.4%

2.1%

Equity Options

22.7%

19.8%

2.9%

22.1%

0.6%

22.1%

20.9%

1.2%

Equity Option  (excl. dividend trades)

24.2%

20.3%

3.9%

24.0%

0.2%

23.7%

22.0%

1.7%

Index Options

93.9%

95.4%

-1.5%

93.0%

0.9%

94.1%

94.6%

-0.5%

Index Options (excl. dividend trades)

94.0%

95.5%

-1.5%

93.2%

0.8%

94.3%

94.9%

-0.6%

ETF Options

20.6%

19.3%

1.3%

20.5%

0.1%

21.1%

19.2%

1.9%

ETF Options (excl. dividend trades)

20.6%

19.3%

1.3%

20.6%

--

21.4%

19.3%

2.1%

C2 Options Exchange Trading Volume and Market Share

 

C2 Trading Volume:
In August 2012, daily volume on C2 Options Exchange averaged 138,000 contracts, down 56 percent from the all-time record ADV of 310,800 contracts in August 2011 and down 25 percent from July 2012 ADV of 184,400 contracts.

 

C2 Trading Volume

Year-To-Date

(trades in thousands)

Aug-12

Aug-11

%  Chg

Jul-12

% Chg

Aug-12

Aug-11

%  Chg

Trading Days

23

23


21


169

168


Total Exchange

3,172.9

7,148.6

-56%

3,872.5

-18%

34,147.0

33,671.3

1%

Total Exchange ADV

138.0

310.8

-56%

184.4

-25%

202.1

200.4

1%

Equity Options

1,395.0

2,212.6

-37%

1,662.1

-16%

13,739.0

12,389.7

11%

Equity Options ADV

60.7

96.2

-37%

79.1

-23%

81.3

73.7

10%

Index Options

101.6

NA

NA

113.6

-11%

1,005.1

NA

NA

Index Options ADV

4.4

NA

NA

5.4

-18%

5.9

NA

NA

ETF Options

1,676.3

4,936.0

-66%

2,096.9

-20%

19,402.9

21,281.6

-9%

ETF Options ADV

72.9

214.6

-66%

99.9

-27%

114.8

126.7

-9%

C2 Market Share
In August 2012, C2's market share was one percent, down 0.3 of a percentage point from July 2012 and August 2011.

C2  Current Month

Year-To-Date


 Aug 2012

 Aug 2011

% pt. Chg

 Jul 2012

% pt. Chg

 Aug 2012

 Aug 2011

% pt. Chg

Total Exchange

1.0%

1.3%

-0.3%

1.3%

-0.3%

1.3%

1.1%

0.2%

Total Exchange (excl. dividend trades)

1.1%

0.9%

0.2%

1.3%

-0.2%

1.3%

1.1%

0.2%

Equity Options

0.8%

0.6%

0.2%

0.9%

-0.1%

0.9%

0.7%

0.2%

Equity Options  (excl. dividend trades)

0.8%

0.9%

-0.1%

1.0%

-0.2%

1.0%

0.8%

0.2%

Index Options

0.4%

NA

NA

0.5%

-0.1%

0.5%

 NA

NA

Index Options (excl. dividend trades)

0.4%

 NA

 NA

0.5%

-0.1%

0.5%

 NA

NA

ETF Options

1.6%

2.0%

-0.4%

2.0%

-0.4%

2.0%

1.8%

0.2%

ETF Options (excl. dividend trades)

1.6%

2.0%

-0.4%

2.0%

-0.4%

2.1%

1.8%

0.3%

CBOE Futures Exchange Trading

  • In August 2012, CFE traded 1,915,695 contracts, with an ADV of 83,290 contracts.
  • August average daily trading volume in the exchange's flagship product -- futures on the CBOE Volatility Index (the VIX Index) -- totaled 83,016 contracts, up five percent from August 2011 ADV of 79,402 contracts, and down nine percent from July 2012 ADV of 91,140 contracts.
  • Year to date through August 2012, VIX Index futures ADV was 58 percent ahead of the same period a year ago.

CBOE Holdings Average Transaction Fee Per Contract
The following represents the 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:

July

2012

June

2012

May

2012

April

2012

Equities

$0.124

$0.123

$0.117

$0.112

Indexes

0.680

0.677

0.673

0.667

Exchange Traded Funds

0.177

0.180

0.176

0.172

   Total Options Average Transaction Fee Per Contract

0.289

0.288

0.279

0.267

Futures

1.598

1.607

1.650

1.655

   Total Average Transaction Fee Per Contract

$0.316

$0.314

$0.304

$0.290

About CBOE Holdings, Inc.
CBOE Holdings, Inc. (NASDAQ: CBOE) is the holding company for Chicago Board Options Exchange (CBOE), the CBOE Futures Exchange (CFE) and other subsidiaries.  CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE is home to the world-renowned Options Institute and www.cboe.com, named "Best of the Web" for options information and education. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.

CBOE®, Chicago Board Options Exchange®, CFE®, FLEX®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWriteSM, BXMSM, CBOE Futures ExchangeSM, SPXSM and The Options Institute are service marks of Chicago Board Options Exchange, Incorporated (CBOE). C2SM, C2 Options ExchangeSM and SPXpmSM are service marks of C2 Options Exchange, Incorporated (C2). Standard & Poor's® , S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE, C2 and CFE.  All other trademarks and service marks are the property of their respective owners.

CBOE-V                    CBOE-2              CBOE-EF   

SOURCE CBOE Holdings, Inc.

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