May 1, 2012

April Trading at CBOE Futures Exchange Up 103% Over Year Ago

Average Daily Volume for Month is Second-Highest All-Time

CHICAGO, May 1, 2012 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE) today announced that trading volume during April 2012 totaled 1,692,624 contracts, an increase of 103 percent from the 834,892 contracts traded in April 2011.  April 2012 ranks as the third busiest month in CFE history and marked the seventh time that total monthly volume surpassed the one million contract benchmark at CFE.

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Average daily volume (ADV) at CFE during April 2012 was 84,631 contracts, the second-highest monthly ADV ever at CFE, and a gain of 103 percent from the 41,744 contracts traded per day a year ago.  

When comparing trading activity in April to March 2012, the most-active trading month in CFE history, total monthly volume declined by 14 percent from the record 1,971,632 total contracts traded in March.  April 2012 average daily volume fell six percent from the record 89,620 contracts per day during the previous month. 

CBOE FUTURES EXCHANGE VOLUME SUMMARY

Current Month

Year-To-Date


April

2012

April  

2011

%

Chg

March

2012

%

Chg

April

2012

April

2011

%

Chg

Trading Days

20

20


22


82

82


Total CFE

1,692,624

834,892

+103%

1,971,632

-14%

5,816,319

3,469,150

+68%

Total CFE ADV

84,631

41,744

+103%

89,620

-6%

70,931

42,307

+68%

VIX Futures
In April 2012, trading activity in CBOE Volatility Index (the VIX Index) futures totaled 1,683,034 contracts traded, an increase of 102 percent from the year ago volume of 834,110 contracts traded and down 14 percent from the record 1,963,893 contracts traded in March 2012.   For the month, average daily volume in VIX futures was 84,152 contracts, up 102 percent over the 41,706 contracts per day a year ago and down six percent from the record ADV of 89,268 contracts in the previous month.      

Recently Launched Products
Trading volume in CBOE Emerging Markets ETF Volatility Index (VXEM) security futures totaled 7,162 contracts during April, up from the 4,961 contracts traded during March.  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.         

Trading volume in CBOE Crude Oil ETF Volatility Index (OVX) security futures totaled 508 contracts in April, the first full month of trading.  The CBOE Crude Oil ETF Volatility Index measures the market's expectation of 30-day volatility of crude oil prices by applying the VIX methodology to United States Oil Fund, LP exchange traded fund (USO) options spanning a wide range of strike prices.  OVX security futures were launched for trading on March 26, 2012. 

New Product Announced
On April 25, CFE and DRW Trading Group announced they have completed an agreement that will allow CFE to use DRW's patent-pending methodology to create variance futures that, for the first time, match the quoting conventions and economic performance of over-the-counter (OTC) stock index variance swaps.  CFE plans to introduce a new futures contract based on the variance of the S&P 500 later this year, subject to regulatory approval. 

Variance swaps measure the difference between the expected and actual variance of an underlying instrument over a fixed time period. Currently, variance swaps on the S&P 500 index are estimated to trade $10 million vega notional per day in the OTC market. Vega is the dollar exposure to changes in volatility.

About CFE    
CFE currently offers futures on nine 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 Crude Oil ETF Volatility Index (OVX),  CBOE Emerging Markets ETF Volatility Index (VXEM), CBOE Brazil ETF Volatility Index (VXEW), CBOE S&P 500 3-Month Variance (VT) 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 Exchange(SM), CBOE Brazil ETF Volatility Index(SM), VXEW(SM), CBOE Crude Oil ETF Volatility Index(SM), OVX(SM), CBOE Emerging Markets ETF Volatility Index(SM), VXEM(SM), CBOE Emerging Market Brazil ETF Index(SM), VXEW(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 and CFE.  All other trademarks and servicemarks are the property of their respective owners.  

SOURCE CBOE Futures Exchange, LLC

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