June 1, 2012

May Is Most-Active Trading Month All-Time At CBOE Futures Exchange

Total Volume Exceeds Two Million Contracts for First Time, Futures on CBOE NASDAQ-100 Volatility Index Begin Trading

CHICAGO, June 1, 2012 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE) today announced that May 2012 was the most-active trading month in CFE history as total volume exceeded two million contracts for the first time ever.  New records were established in total monthly volume and monthly average daily volume (ADV) both exchange-wide and for futures on the CBOE Volatility Index (the VIX Index). 

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The record 2,022,433 total contracts traded at CFE during May 2012 was an increase of 103 percent from the 994,608 contracts traded in May 2011 and surpassed the previous record of 1.97 million contracts traded in March 2012.  The top four most-active trading months in CFE history have occurred during the first five months of 2012. 

The record average daily volume of 91,928 contracts during May 2012 was up 94 percent from the 47,362 contracts traded per day a year ago and surpassed the previous record of 89,620 contracts per day during March 2012.  

When comparing monthly trading activity in May to April 2012, volume rose by 19 percent from the 1,692,624 total contracts traded in April.  May 2012 average daily volume increased nine percent from the 84,631 contracts per day during the previous month. 

CBOE FUTURES EXCHANGE VOLUME SUMMARY

Current Month

               Year-To-Date


May

2012

May  

2011

%

Chg

April

2012

%    Chg

May

2012

May

2011

%

Chg

Trading Days

22

21


20


104

103


Total CFE

2,022,433

994,608

+103%

1,692,624

+19%

7,838,752

4,463,758

+76%

Total CFE ADV

91,928

47,362

+94%

84,631

+9%

75,373

43,337

+74%

VIX Futures
Trading activity in CBOE Volatility Index (the VIX Index) futures totaled a record 2,000,154 contracts during May 2012, an increase of 101 percent from the 993,990 contracts in May 2011 and up 19 percent from the 1,683,034 contracts in April 2012.  May average daily volume in VIX futures was 90,916 contracts, also a new record, and an increase of 92 percent from the 47,333 contracts per day a year ago and up eight percent from the ADV of 84,152 contracts in April 2012.  May's record total volume and average daily volume in VIX futures surpassed the previous highs of 1,963,893 contracts and 89,268 contracts per day, respectively, during March 2012. 

CBOE NASDAQ-100 Volatility Index
On May 23, futures on the CBOE NASDAQ-100 Volatility Index (VXN) began trading at CFE. The NASDAQ-100 Index (NDX) represents the largest non-financial U.S. and international securities listed on The NASDAQ Stock Market, based on market capitalization. VXN, which measures the volatility of the NASDAQ-100 Index, is calculated through the application of CBOE's VIX methodology to the prices of options on NDX.  In their first six days of trading, 76 VXN futures traded. 

Recently Launched Products
Trading volume in CBOE Emerging Markets ETF Volatility Index (VXEM) security futures totaled 16,703 contracts during May 2012, an increase of 133 percent from the 7,162 contracts traded during April.  The CBOE Emerging Markets ETF Volatility Index tracks the implied volatility of the iShares MSCI Emerging Markets Index exchange traded fund (EEM).  VXEM security futures were launched for trading on January 9, 2012.         

Trading volume in CBOE Crude Oil ETF Volatility Index (OVX) security futures totaled 1,994 contracts in May 2012, up 293 percent from 508 contracts in April.  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.  OVX security futures were launched for trading on March 26, 2012. 

Trading volume in CBOE Brazil ETF Volatility Index (VXEW) security futures totaled 1,237 contracts in May 2012, a gain of 273 percent from 332 contracts in April.  The CBOE Brazil ETF Volatility Index tracks the implied volatility of the iShares MSCI Brazil Index Fund (EWZ). VXEW security futures were launched for trading on February 21. 

About CFE
CFE currently offers futures on ten different contracts, including: the CBOE Volatility Index (the VIX Index), Weekly options on VIX futures (VOW), CBOE mini-VIX (VM), CBOE NASDAQ-100 Volatility Index (VXN), 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 ExchangeSM, CBOE Brazil ETF Volatility IndexSM, VXEWSM, CBOE Crude Oil ETF Volatility IndexSM, OVXSM, CBOE Emerging Markets ETF Volatility IndexSM, VXEMSM, CBOE Emerging Market Brazil ETF IndexSM, VXEWSM, GVZSM, VOWSM and WeeklysSM 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. The NASDAQ-100 Index®, NASDAQ-100®, and NASDAQ® are trademark or service marks of The NASDAQ Stock Market, Inc. (with which its affiliates are the "Corporations"). These marks are licensed for use by CBOE in connection with the trading of products based on the NASDAQ-100 Index. All other trademarks and servicemarks are the property of their respective owners.  

SOURCE CBOE Futures Exchange, LLC

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