April 2, 2012

March Is Record Setting Month at CBOE Futures Exchange

Volume of Nearly Two Million Contracts is New All-Time High, Numerous Trading Records Set During Month

CHICAGO, April 2, 2012 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE) today announced that March 2012 was the most-active trading month in CFE history as volume totaled 1,971,632 contracts, an increase of 85 percent from the 1,066,367 contracts traded in March 2011.  Average daily volume (ADV) at CFE during March 2012 reached a new all-time high of 89,620 contracts, a gain of 93 percent from the 46,363 contracts traded per day a year ago.  March's record trading volume surpassed the previous high of 1,828,511 contracts traded in August 2011.    

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When comparing trading activity in March to February 2012, the third most-active trading month in CFE history, total monthly volume rose by 47 percent from the 1,340,780 total contracts traded in February.  March 2012 average daily volume rose 34 percent from the 67,039 contracts per day during the previous month.  March's record average daily volume topped the previous ADV high of 79,500 contracts during August 2011.   

CBOE FUTURES EXCHANGE VOLUME SUMMARY

Current Month

               Year-To-Date


Mar

2012

Mar  

2011

%

Chg

Feb

2012

%

Chg

Mar

2012

Mar

2011

%

Chg

Trading Days

22

23


20


62

62


Total CFE

1,971,632

1,066,367

+85%

1,340,780

+47%

4,123,695

2,634,258

+57%

Total CFE ADV

89,620

46,363

+93%

67,039

+34%

66,511

42,488

+57%

VIX Futures
In March 2012, trading activity in CBOE Volatility Index (the VIX Index) futures set a new record as 1,963,893 contracts traded, an increase of 84 percent from the year ago volume of 1,065,374 contracts traded and up 47 percent from the 1,338,471 contracts traded in February 2012.   For the month, average daily volume in VIX futures was a record 89,268 contracts, up 93 percent over the 46,320 contracts per day a year ago and up 33 percent from the ADV of 66,924 contracts in the previous month.  The record total volume and average daily volume in March eclipsed the previous records of 1,826,241 total contracts and 79,402 contracts per day, respectively, during August 2011.  In addition, on Tuesday, March 20, open interest in VIX futures reached a new all-time high of 363,883 contracts.     

New Product
Trading volume in CBOE Emerging Markets ETF Volatility Index (VXEM) security futures totaled 4,961 contracts, up from the 1,125 contracts traded during February.  The CBOE Emerging Markets ETF Volatility Index tracks the implied volatility of the iShares MSCI Emerging Markets Index exchange traded fund.  VXEM security futures were launched for trading on January 9, 2012.          

First Quarter 2012
Total trading volume for the first quarter of 2012 was a record 4,123,695 contracts, surpassing the previous quarterly high of 3,983,559 contracts during the third quarter of 2011.  The trading volume during the first three months of 2012 topped the volume of 2,370,571 contracts during the previous quarter (4Q 2011) by 74 percent and the 2,634,258 contracts during the first three months of 2011 (1Q 2011) by 57 percent. ADV during the quarter was 66,511 contracts, compared with 37,628 contracts in the fourth quarter of 2011 and 42,488 contracts in the first quarter of 2011.  

About CFE
CFE currently offers futures on eight different contracts, including: the CBOE Volatility Index (the VIX Index), Weekly options on VIX futures (VOW), CBOE mini-VIX (VM), CBOE Gold ETF Volatility Index (GVZ), CBOE S&P 500 3-Month Variance (VT), CBOE Emerging Markets ETF Volatility Index (VXEM), CBOE Brazil ETF Volatility Index (VXEW) and Radar Logic 25-Metropolitan Statistical Area (MSA) RPX Composite Index (RPXCP).

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 ExchangeSM, GVZ(SM), VOW(SM), VXEM(SM), VXEW(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 and CFE.  All other trademarks and servicemarks are the property of their respective owners.  

SOURCE CBOE Futures Exchange, LLC

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