CBOE Futures Exchange October Volume Up 88% Versus Year Ago
-- VIX Futures ADV was 42,760 Contracts for the Month
-- Year-To-Date Volume at CFE Surpasses 10-Million-Contract Mark
Average Daily Volume
Monthly average daily volume at CFE during
CBOE FUTURES EXCHANGE VOLUME SUMMARY
Total trading volume at CFE during
October marked the twenty-fifth consecutive month in which total volume registered an increase when comparing year-over-year trading activity. The ten most-active trading months in CFE history have occurred during the first ten months of 2011.
Year-to-date, total volume at CFE has now surpassed the 10-million-contract mark as 10,569,639 contracts have traded through the end of
Average daily volume for futures on the CBOE Volatility Index (VIX) was 42,760 contracts during October, an increase of 88 percent from the year ago ADV of 22,777 contracts per day. When compared to the 46,784 contracts per day during September, October ADV decreased nine percent.
Total volume for VIX futures in October was 897,966 contracts traded, up 88 percent from the year ago volume of 478,326 contracts traded, and down nine percent from the 982,462 contracts traded in September. The top eight most-active trading months for VIX futures have occurred during the last eight 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; October: 897,966 contracts and April: 834,110 contracts).
TAS transactions in VIX futures may be transacted on CFE's trading system as spread transactions, as block trades and as Exchange of Contract for Related Position transactions. Market participants will be able to enter VIX futures orders in a TAS order book during the trading day at a price equal to that day's VIX futures settlement price, or at a specified differential above or below the daily settlement price, e.g., two minimum price increments higher or lower than the daily settlement price. Completed TAS transactions are confirmed during the trading session, and the final price of the transaction is confirmed when the daily settlement price is established.
TAS transactions are aimed at helping traders even out end-of-day price exposure in VIX futures. Additionally, with TAS transactions, users can hedge VIX futures throughout the trading day and receive greater price certainty relative to the daily settlement price.
CFE currently offers futures on five different contracts, including: the CBOE Volatility Index (VIX), Weekly options on VIX futures (VOW),
CFE, a wholly-owned subsidiary of
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