October 3, 2011

September Trading at CBOE Futures Exchange Up 154 Percent Over Year Ago

-- Fourth Consecutive Quarter of Record Trading with 3.9 Million Contracts
-- VIX Futures Traded 46,784 Contracts per Day During the Month

CHICAGO, Oct. 3, 2011 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE) today announced that September 2011 trading volume totaled nearly one million contracts, and average daily volume was almost 50,000 contracts, both up 154 percent from year ago levels.  Trading volume in futures on the CBOE Volatility Index (VIX) remained strong during the month.  September also marked the end of the third quarter of the year, which was a fourth consecutive record quarter of trading at CFE as 3.9 million contracts changed hands.    

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Average Daily Volume

Monthly average daily volume (ADV) at CFE during September 2011 was 46,875 contracts, a gain of 154 percent from the 18,450 contracts traded per day in September 2010.  When compared to the record ADV of 79,500 contracts per day during August 2011, September's ADV declined 41 percent.    


CBOE FUTURES EXCHANGE VOLUME SUMMARY

Current Month

Year-To-Date


Sept

2011

Sept

2010

%

Chg

Aug

2011

%

Chg

Sept

2011

Sept

2010

%

Chg

Trading Days

21

21


23


189

188


Total CFE

984,392

387,464

+154%

1,828,511

-46%

9,670,531

2,615,343

+270%

Total CFE ADV

46,875

18,450

+154%

79,500

-41%

51,167

13,911

+268%




Total Volume

Total trading volume at CFE during September 2011 was 984,392 contracts, an increase of 154 percent from the 387,464 contracts traded in September 2010.  When compared to the record 1,828,511 contracts traded during August 2011, September's volume was down 46 percent.  

September marked the twenty-fourth consecutive month in which total volume registered an increase when comparing year-over-year trading activity. The nine most-active trading months in CFE history have occurred during the first nine months of 2011.  

Third Quarter and Year-To-Date

Total volume for the third quarter of 2011 was 3,983,559 contracts, the fourth consecutive record quarter of trading at CFE.  The trading volume during the three months from July through September surpassed the previous high of 3,052,714 contracts during the April through June time period by 30 percent and gained 320 percent from the 949,011 contracts traded during the third quarter of 2010.  

ADV during the third quarter was 62,243 contracts, compared with 48,456 contracts in the previous quarter (2Q 2011) and 14,828 contracts in the same quarter from a year ago (3Q 2010).  

The first nine months of 2011 currently rank as the nine most-active trading months in CFE history.  Year-to-date volume has already surpassed the total volume of 4,402,378 contracts for all of 2010.  The 9,670,531 contracts traded through September stands 270 percent ahead of the 2,615,343 contracts traded during the first nine months of 2010. Through September, CFE is averaging 51,167 contracts traded per day, compared with 13,911 contracts per day from the same time period in 2010.  

VIX Futures

Average daily volume for futures on the CBOE Volatility Index (VIX) was 46,784 contracts during September, an increase of 154 percent from the year ago ADV of 18,427 contracts per day.  When compared to the record 79,402 contracts per day during August, September ADV was down 41 percent.  

Total volume for VIX futures in September was 982,462 contracts traded, up 154 percent from the year ago volume of 386,969 contracts traded, but off from the record 1,826,241 contracts traded in August by 46 percent.  The top seven most-active trading months for VIX futures have occurred during the last seven 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; September: 982,462 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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