September 1, 2011

August Is Most-Active Trading Month in CBOE Futures Exchange History

Record 1.8 Million VIX Futures Contracts Traded

CHICAGO, Sept. 1, 2011 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE) today announced that August 2011 was the busiest month ever as numerous trading records were set during the historic month.  Among the many milestones achieved in August were new all-time highs for single-day, weekly, total monthly volume and monthly average daily volume, both exchange-wide and for futures on the CBOE Volatility Index (VIX). The month also marked the continuation of several consecutive record streaks.  

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Average Daily Volume

Monthly average daily volume (ADV) at CFE set a record for the fourth consecutive month in August as 79,500 contracts per day were traded.  When compared to the July 2011 ADV of 58,532 contracts, which had been the previous high, and the 13,252 contracts traded per day during August 2010, monthly ADV in August increased by 36 percent and 500 percent, respectively.  

CFE experienced the two most-active trading sessions in its history on consecutive days during August as the 137,508 contracts traded on August 4 were quickly surpassed by the 152,133 contracts traded on August 5.  This marked the third straight month in which CFE logged a single-day record, as these two August trading sessions both surpassed the previous single-day highs of 104,811 contracts traded on July 14 and 101,200 contracts traded on June 16.


CBOE FUTURES EXCHANGE VOLUME SUMMARY


Current Month

Year-To-Date


August

2011

August  

2010

%

Chg

July

2011

%

Chg

August

2011

August

2010

%

Chg

Trading Days

23

22


20


168

167


Total CFE

1,828,511

291,533

+527%

1,170,656

+56%

8,686,139

2,227,879

+290%

Total CFE ADV

79,500

13,252

+500%

58,532

+36%

51,703

13,341

+288%




Total Volume

August was the fifth month during 2011 that trading at CFE set a new record for total monthly volume.  The 1,828,511 contracts traded during the month is a new all-time high, topping the previous high of 1,223,214 contracts during June 2011.  When compared to the 1,170,656 contracts traded during July and the 291,533 contracts traded a year ago, total volume in August rose by 56 percent and 527 percent, respectively.      

August was also the twenty-third consecutive month in which total volume registered an increase when comparing year-over-year trading activity. The eight most-active trading months in CFE history have occurred during the first eight months of 2011.  

VIX Futures

For the fourth consecutive month, average daily volume for futures on the CBOE Volatility Index (VIX) registered a new record.  The 79,402 contracts per day during August 2011 eclipsed the previous highs of 58,453 contracts per day during July; 55,557 contracts per day during June; and 47,333 contracts per day in May 2011.  August ADV gained 36 percent when compared to July's ADV and was up 500 percent versus the 13,227 contracts traded per day in August 2010.  

On August 4 and 5, trading volume in VIX futures established new single-day highs of 137,132 contracts and 152,067 contracts, respectively, with both beating the previous daily record of 104,773 contracts set on July 14, 2011. In addition, VIX futures experienced record trading in back-to-back weeks as 518,114 contracts changed hands the week of August 1 to 5, followed by a new high of 533,430 contracts traded the next week, August 8 to 12.    

During August, trading of VIX futures totaled a record 1,826,241 contracts, surpassing the two-month-old high of 1,222,257 contracts traded in June 2011.  When compared to July's 1,169,064 contracts, August volume increased 56 percent.  The year ago volume of 290,995 contracts traded trailed the August 2011 trading activity by 528 percent.  The top six most-active trading months for VIX futures have occurred during the last six months (August: 1,826,241 contracts; June: 1,222,257 contracts; July: 1,169,064 contracts; March: 1,065,374 contracts, May: 993,990 contracts and April: 834,110 contracts).  

About CFE                  

CFE currently offers futures on five different contracts, including: the CBOE Volatility Index (VIX), Weekly options on VIX futures (VOW), CBOE mini-VIX (VM), CBOE Gold ETF Volatility Index (GVZ) and CBOE S&P 500 3-Month Variance (VT).    

CFE, a wholly owned subsidiary of CBOE Holdings, Inc. (NASDAQ: CBOE), offers an all-electronic, open-access market model, with traders providing liquidity and making markets.  CFE trades are cleared by the OCC. CBOE Futures Exchange is regulated by the Commodity Futures Trading Commission (CFTC). More information on CFE and its products, including contract specifications, can be found at: http://cfe.cboe.com/.  

CBOE-EF

CBOE®, Chicago Board Options Exchange®, CFE®, CBOE Volatility Index® and VIX® are registered trademarks, and CBOE Futures Exchange(SM), GVZ(SM), VOW(SM) and Weeklys(SM) are servicemarks of Chicago Board Options Exchange, Incorporated (CBOE).  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.  

SOURCE CBOE Futures Exchange, LLC

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