November 1, 2011

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

CHICAGO, Nov. 1, 2011 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE) today announced that October 2011 total trading volume and average daily volume (ADV) rose 88 percent versus a year ago.  Trading volume in futures on the CBOE Volatility Index (VIX) remained active as 42,760 contracts traded per day during the month.  For the year, total trading volume at CFE surpassed the 10-million-contract mark during October.  

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Average Daily Volume

Monthly average daily volume at CFE during October 2011 was 42,814 contracts, a gain of 88 percent from the 22,824 contracts traded per day in October 2010.  When compared to the ADV of 46,875 contracts per day during September 2011, October's ADV dipped nine percent.    


CBOE FUTURES EXCHANGE VOLUME SUMMARY


Current Month

Year-To-Date


Oct

2011

Oct  

2010

%

Chg

Sept

2011

%

Chg

Oct

2011

Oct

2010

%

Chg

Trading Days

21

21


21


210

209


Total CFE

899,108

479,304

+88%

984,392

-9%

10,569,639

3,094,647

+242%

Total CFE ADV

42,814

22,824

+88%

46,875

-9%

50,332

14,807

+240%




Total Volume

Total trading volume at CFE during October 2011 was 899,108 contracts, an increase of 88 percent from the 479,304 contracts traded in October 2010.  When compared to the 984,392 contracts traded during September 2011, October's volume was down nine percent.  

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 October 2011.  The 10.5 million contracts traded year-to-date is 242 percent ahead of the 3.1 million contracts through the same time period in 2010.  

VIX Futures

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).

Beginning Friday, November 4, CFE will accept "Trade at Settlement" (TAS) transactions in the CBOE Volatility Index (VIX) futures contract.    

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.

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 is regulated by the Commodity Futures Trading Commission (CFTC) and all trades are cleared by the OCC.  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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