January 3, 2012

2011 Trading Volume at CBOE Futures Exchange Sets New Annual Record

Volume of 12 Million Contracts Up 174% from 2010; Numerous Milestones Achieved During Banner Year

CHICAGO, Jan. 3, 2012 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE) today announced that 2011 was the busiest year in CFE history, with annual trading volume surpassing twelve million contracts for the first time ever.  During the record-setting year, nearly every major trading metric at the exchange achieved a new all-time high.  CFE's record trading activity was propelled by robust volume in CFE's flagship product, futures on the CBOE Volatility Index (VIX).  VIX futures set numerous trading records in 2011, including new highs for annual, quarterly, monthly, weekly and single-day volume.         

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Annual Volume

Total exchange volume in 2011 set a new record with 12,041,102 contracts traded, an increase of 174 percent from the 4,402,378 contracts traded in 2010, which stood as the previous annual record.  Average daily volume (ADV) at CFE during 2011 reached a new high of 47,782 contracts, a gain of 174 percent from the 17,470 contracts traded per day in 2010, the previous high mark.  

 

CBOE FUTURES EXCHANGE VOLUME SUMMARY

                                                                       Current Month                                                          Year-To-Date

 

Dec

2011

Dec  

2010

%

Chg

Nov

2011

%    Chg

 

2011

 

2010

%

Chg

Trading Days

21

22

 

21

 

252

252

 

Total CFE

648,594

556,250

+17%

822,869

-21%

12,041,102

4,402,378

+174%

Total CFE ADV

30,885

25,284

+22%

39,184

-21%

47,782

17,470

+174%

 

CBOE Volatility Index (VIX) futures volume totaled a record 12,027,955 contracts in 2011, up 174 percent from the 4,392,446 contracts traded in 2010, the previous high.  Average daily volume in VIX futures during 2011 registered a new record of 47,730 contracts, also up 174 percent from the previous record of 17,430 contracts traded per day in 2010.  During 2011, VIX futures also set new records for monthly volume (1,826,241 contracts in August), weekly volume (533,430 contracts, August 8 through 12) and single-day volume (152,067 contracts on August 5).       

Additional Volume Records and Highlights

  • 2011 was the sixth time in the last seven years that CFE experienced record annual trading volume. 
  • Trading volume for each month during 2011 posted a year-over-year increase versus 2010.
  • Of the top 13 most-active trading months in CFE history, 12 occurred in 2011. 
  • During August, several new trading records were set at CFE, including:
    • Total monthly volume (1,828,511 contracts)
    • Monthly average daily volume (79,500 contracts per day)
    • Weekly volume (533,639 contracts, August 8 — 12)
    • Single-day volume (152,133 contracts on August 5)
  • Consecutive quarterly volume records were set during the first three quarters of 2011.
  • Total exchange open interest reached a new high of 254,089 contracts on June 15.

Fourth Quarter 2011 Volume

Trading volume at CFE during the fourth quarter of 2011 totaled 2,370,571 contracts.  The trading volume during the three months from October through December surpassed the 1,787,035 contracts during the fourth quarter of 2010 by 33 percent and trailed the record 3,983,559 contracts traded during the third quarter of 2011 by 40 percent.  ADV during the fourth quarter of 2011 was 37,628 contracts, compared with 27,922 contracts in the same quarter from a year ago (4Q 2010) and 62,243 contracts in the previous quarter (3Q 2011). 

Trading of futures on the CBOE Volatility Index (VIX) totaled 2,368,183 contracts during the fourth quarter, exceeding the 1,784,734 contracts during the fourth quarter of 2010 by 33 percent and off 40 percent from the record 3,977,767 contracts during the third quarter of 2011.  VIX futures ADV during the fourth quarter of 2011 was 37,590 contracts, compared with 27,886 contracts in the same quarter from a year ago (4Q 2010) and 62,153 contracts in the previous quarter (3Q 2011). 

December Volume

Total CFE volume in December was 648,594 contracts traded, up 17 percent from the 556,250 contracts traded in December 2010, and down 21 percent from the 822,869 contracts traded in November 2011.  Average daily volume at CFE during December was 30,885 contracts, 22 percent ahead of the 25,284 contracts per day last December, and trailing the 39,184 contracts per day during November by 21 percent. 

Total volume for VIX futures in December was 648,118 contracts traded, up 17 percent from the year ago volume of 555,494 contracts traded, and down 21 percent from the 822,099 contracts traded in November.  VIX futures ADV during the month was 30,863 contracts, a gain of 22 percent from the 25,250 contracts per day last December, and down 21 percent from the 39,148 contracts per day during November. 

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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