October 1, 2012

Trading Activity In VIX Futures Spurs CFE To Busiest Month In History

Several All-Time Highs Reached During Record-Setting Month

CHICAGO, Oct. 1, 2012 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE®) announced today that September 2012 was the most-active trading month ever for futures on the CBOE Volatility Index® (VIX®).  The record trading activity in VIX futures drove total volume at CFE to a new all-time high.  During the month, several new trading records -- for both VIX futures and CFE -- were set.   

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VIX Futures
In September, average daily volume (ADV) in VIX futures reached a new all-time high of 126,345 contracts, which surpassed the previous record ADV of 102,587 contracts during June 2012.  September's ADV increased by 170 percent from the 46,784 contracts ADV in September 2011 and rose by 52 percent when compared to the ADV of 83,016 contracts in August 2012.  A new single-day volume record for VIX futures was achieved on Thursday, September 13 when 190,081 contracts traded.  The previous record had been 159,744 contracts on June 18, 2012. 

Total monthly trading activity in VIX futures was a record 2,400,552 contracts during September, eclipsing the previous high of 2,154,325 contracts during June 2012.  September's record volume increased 144 percent from the 982,462 contracts in September 2011 and rose 26 percent from the 1,909,373 contracts in August 2012. 

Year-to-date through September, ADV in VIX futures stands 68 percent ahead of the same time period a year ago -- 85,990 contracts per day versus 51,111 contracts per day.  

VIX Index Futures Volume Summary

Year-To-Date


Sept

2012

Sept

2011

%

Chg

Aug

2012

%

Chg

Sept

2012

Sept

2011

%

Chg

Trading Days

19

21


23


188

189


VIX Total

2,400,552

982,462

144%

1,909,373

26%

16,166,159

9,659,939

67%

VIX ADV

126,345

46,784

170%

83,016

52%

85,990

51,111

68%

Open interest in VIX futures reached a new high of 431,265 contracts on Tuesday, September 18.  The record came on the heels of five consecutive open interest records set the previous week.  Prior to September, the high in VIX futures open interest was 403,608 contracts on August 21, 2012. 

Total CFE Trading Activity
Total exchange-wide ADV during September was a record 126,871 contracts, topping the previous record ADV of 103,274 contracts in June 2012.  CFE's September ADV was up 171 percent over the 46,875 contracts ADV in September 2011 and up 52 percent over the 83,290 contracts ADV in August 2012. On Thursday, September 13, a new record for total CFE single day volume was set when 191,228 contracts traded. The previous record had been 160,552 contracts on June 18, 2012.

Total trading volume at CFE during September was a record 2,410,549 contracts, surpassing the previous record of 2,168,751 contracts traded during June 2012.  September's trading activity rose 145 percent from the 984,392 contracts traded a year ago and was up 26 percent from the 1,915,695 contracts traded in August.  Exchange-wide open interest reached a new all-time high of 431,428 contracts on Tuesday, September 18.  

Third Quarter and Year-To-Date
Total CFE volume for the third quarter of 2012 was a record 6,245,366 contracts, a third consecutive record quarter. The trading volume during the three months from July through September surpassed the previous high of 5,883,808 total contracts during the second quarter of 2012 by six percent and gained 57 percent from the 3,983,559 contracts traded during the third quarter of 2011.  ADV during the third quarter was 100,516 contracts, compared with 93,394 contracts in the previous quarter (2Q 2012) and 62,243 contracts in the same quarter from a year ago (3Q 2011). 

Year-to-date, total CFE volume stands at 16,252,789 contracts through the end of September, 68 percent ahead of the 9,670,531 contracts traded through the first nine months of 2011.  Average daily volume for the first nine months of 2012 is 86,451 contracts, compared with 51,167 contracts during the same time period a year ago.  

About CBOE Futures Exchange:
CFE currently offers nine contracts: CBOE Volatility Index (The VIX Index) futures (VX), Mini-VIX futures (VM), CBOE Nasdaq-100 Volatility Index (VXN) futures (VN), CBOE Gold ETF Volatility Index (GVZ) security futures (GV), CBOE Crude Oil ETF Volatility Index (OVX) security futures (OV), CBOE Emerging Markets ETF Volatility Index (VXEEM) security futures (VXEM), CBOE Brazil ETF Volatility Index (VXEWZ) security futures (VXEW), CBOE S&P 500 3-Month Variance futures (VT), and Radar Logic 25-Metropolitan Statistical Area (MSA) RPX Composite Index futures (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 Nasdaq-100 Volatility IndexSM, VXNSM, VNSM, CBOE Brazil ETF Volatility IndexSM, VXEWSM, VXEWZSM, CBOE Crude Oil ETF Volatility IndexSM, OVXSM, OVSM, CBOE Emerging Markets ETF Volatility IndexSM, VXEMSM, VXEEMSMCBOE Gold ETF Volatility IndexSM, GVZSM, GVSM, VMSM, VTSM and VXSM are service marks 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. The products have not been passed on by the Corporations as to their legality or suitability. The products are not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE PRODUCT(S). All other trademarks and service marks are the property of their respective owners.

SOURCE CBOE Futures Exchange, LLC

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