April 2, 2012

CBOE Holdings Reports March 2012 Trading Volume

CBOE Futures Exchange Posts Busiest Month in History

CHICAGO, April 2, 2012 /PRNewswire/ -- CBOE Holdings, Inc. (NASDAQ: CBOE) today reported that March trading volume for options on the Chicago Board Options Exchange (CBOE) and C2 Options Exchange (C2), combined, totaled 106.65 million contracts.  March's average daily volume (ADV) was 4.85 million contracts, even with March 2011 ADV and down five percent from February 2012 ADV of 5.08 million contracts. Futures trading on CBOE Futures Exchange (CFE), home of CBOE Volatility Index futures, set a new all-time monthly volume record of nearly two million contracts in March.

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In addition, first quarter 2012 options ADV was 4.82 million contracts, a 13-percent increase from fourth quarter 2011 ADV of 4.26 million contacts, and a four-percent decrease from first quarter 2011 ADV of 5.04 million contracts. 

CBOE Trading Volume and Market Share

  • CBOE trading volumeCBOE's March 2012 ADV was 4.62 million contracts, down one percent from 4.67 million contracts ADV in March 2011 and down four percent from February 2012 ADV of 4.84 million contracts.
  • CBOE index optionsMarch 2012 index option ADV was 1.22 million contracts, down four percent from 1.27 million contracts ADV in March 2011 and down one percent from February 2012 ADV of 1.24 million contracts.
  • CBOE ETF optionsMarch 2012 ETF option ADV was 1.30 million contracts, up three percent from 1.25 million contracts ADV in March 2011 and up seven percent from February 2012 ADV of 1.22 million contracts.
  • CBOE equity optionsMarch 2012 equity option ADV was 2.11 million contracts, down two percent from 2.15 million contracts ADV in March 2011 and down 11 percent from February 2012 ADV of 2.38 million contracts.
  • The five most actively traded index and ETF options at CBOE during March were the S&P 500 Index (SPX), Standard & Poor's Depositary Receipts (SPY), CBOE Volatility Index (VIX), iShares Trust-Russell 2000 Index Fund (IWM), and QQQ Trust (QQQ).
  • The five most actively traded equity options at CBOE during March were Apple (AAPL), Bank of America (BAC), Citigroup (C), JPMorgan Chase (JPM) and Amazon (AMZN).   

CBOE Trading Volume

Year-To-Date

(trades in thousands)

Mar-12

Mar-11

%  Chg

Feb-12

% pt. Chg

Mar-12

Mar-11

%  Chg

Trading Days

22

23


20


62

62


Total Exchange

101,742.4

107,417.3

-5%

96,699.0

5%

284,768.1

302,336.2

-6%

Total Exchange ADV

4,624.7

4,670.3

-1%

4,835.0

-4%

4,593.0

4,876.4

-6%

Equity Options

46,413.7

49,369.9

-6%

47,622.9

-3%

138,184.2

156,566.6

-12%

Equity Options ADV

2,109.7

2,146.5

-2%

2,381.1

-11%

2,228.8

2,525.3

-12%

Index Options

26,795.6

29,197.3

-8%

24,724.1

8%

72,417.8

72,685.4

0%

Index Options ADV

1,218.0

1,269.4

-4%

1,236.2

-1%

1,168.0

1,172.3

0%

ETF Options

28,533.0

28,850.1

-1%

24,352.0

17%

74,166.1

73,084.3

1%

ETF Options ADV

1,297.0

1,254.4

3%

1,217.6

7%

1,196.2

1,178.8

1%

Expanded March 2012 volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.

CBOE Market Share:
CBOE March market share was 27.0 percent, down 0.7 of a percentage point from February 2012 and up 1.2 percentage points from March 2011.  If the volume from dividend trades was excluded from industry data for March 2012, CBOE's total market share for March would be 28.5 percent.

Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.

CBOE  Current Month

Year-To-Date


 Mar 2012

 Mar 2011

% pt. Chg

 Feb 2012

% pt. Chg

 Mar 2012

 Mar 2011

% pt. Chg

Total Exchange

27.0%

25.8%

1.2%

27.7%

-0.7%

26.8%

26.3%

0.5%

Total Exchange (excl. dividend trades)

28.5%

26.7%

1.8%

29.1%

-0.6%

28.5%

27.3%

1.2%

Equity Options

22.6%

21.7%

0.9%

22.2%

0.4%

21.8%

22.5%

-0.7%

Equity Option  (excl. dividend trades)

23.8%

22.4%

1.4%

24.2%

-0.4%

23.8%

23.7%

0.1%

Index Options

94.4%

94.4%

--

94.5%

-0.1%

94.6%

94.6%

--

Index Options (excl. dividend trades)

94.6%

94.7%

-0.1%

94.7%

-0.1%

94.8%

95.0%

-0.2%

ETF Options

20.0%

18.2%

1.8%

22.4%

-2.4%

21.2%

19.3%

1.9%

ETF Options (excl. dividend trades)

21.4%

19.1%

2.3%

22.4%

-1.0%

21.7%

19.7%

2.0%

CBOE March 2012 Market Share by Product:

  • Index options CBOE's market share was 94.4 percent, down 0.1 of a percentage point from February 2012 and even with March 2011.
  • Equity options CBOE's market share was 22.6 percent, up 0.4 of a percentage point from February 2012 and up 0.9 of a percentage point from March 2011.
  • ETF options CBOE's market share was 20.0 percent, down 2.4 percentage points from February 2012 and up 1.8 percentage points from March 2011.

C2 Options Exchange Trading Volume and Market Share

C2 Trading Volume:
In March 2012, C2 ADV was 223,300 contracts, up 24 percent from March 2011 ADV of 179,400 contracts and down eight percent from February 2012 ADV of 241,400 contracts.  March 2012 ETF and equity options ADV rose 25 percent and 14 percent, respectively, from March 2011. Compared with February 2012, March 2012 index options ADV was up 47 percent, and ETF and equity options average daily volumes were down six and 13 percent, respectively.

C2 Trading Volume

Year-To-Date

(trades in thousands)

Mar-12

Mar-11

%  Chg

Feb-12

% pt. Chg

Mar-12

Mar-11

%  Chg

Trading Days

22

23


20


62

62


Total Exchange

4,911.8

4,126.7

19%

4,828.1

2%

13,775.8

10,073.5

37%

Total Exchange ADV

223.3

179.4

24%

241.4

-8%

222.2

162.5

37%

Equity Options

1,875.6

1,726.0

9%

1,961.7

-4%

5,675.2

4,886.7

16%

Equity Options ADV

85.3

75.0

14%

98.1

-13%

91.5

78.8

16%

Index Options

165.4

N/A

N/A

102.1

62%

360.2

N/A

N/A

Index Options ADV

7.5

N/A

N/A

5.1

47%

5.8

N/A

N/a

ETF Options

2,870.9

2,400.7

20%

2,764.3

4%

7,740.4

5,186.8

49%

ETF Options ADV

130.5

104.4

25%

138.2

-6%

124.8

83.7

49%

C2 Market Share:
In March 2012, C2's market share totaled 1.3 percent, down 0.1 of a percentage point from February 2012 and up 0.3 of a percentage point from March 2011. If the volume from dividend trades was excluded from industry data for March, C2's total market share would be 1.4 percent.

C2  Current Month

Year-To-Date


 Mar 2012

 Mar 2011

% pt. Chg

 Feb 2012

% pt. Chg

 Mar 2012

 Mar 2011

% pt. Chg

Total Exchange

1.3%

1.0%

0.3%

1.4%

-0.1%

1.3%

0.9%

0.4%

Total Exchange (excl. dividend trades)

1.4%

1.0%

0.4%

1.5%

-0.1%

1.4%

0.9%

0.5%

Equity Options

0.9%

0.8%

0.1%

0.9%

--

0.9%

0.7%

0.2%

Equity Option  (excl. dividend trades)

1.0%

0.8%

0.2%

1.0%

--

1.0%

0.7%

0.3%

Index Options

0.6%

N/A

N/A

0.4%

0.2%

0.5%

N/A

N/A

Index Options (excl. dividend trades)

0.6%

N/A

N/A

0.4%

0.2%

0.5%

N/A

N/A

ETF Options

2.0%

1.5%

0.5%

2.5%

-0.5%

2.2%

1.4%

0.8%

ETF Options (excl. dividend trades)

2.2%

1.6%

0.6%

2.5%

-0.3%

2.3%

1.4%

0.9%

CBOE Futures Exchange Trading

  • CBOE Futures Exchange posted its busiest month ever in March, with nearly two million contracts traded.
  • VIX Index futures volume totaled a record 1,963,893 contracts (89,268 contracts ADV) in March. March's record surpassed the previous monthly high from August 2011, when 1,826,241 VIX Index futures contracts (79,402 contracts ADV) changed hands.
  • VIX Index futures open interest reached a new all-time high of 363,883 contracts on March 20.    

CBOE Holdings Average Transaction Fee Per Contract

The following represents the average transaction fee per contract based on a three-month rolling average, reported on a one-month lag.  The average transaction fee per contract represents total transaction fees for CBOE, C2, and CBOE Futures Exchange (CFE) recognized for the period divided by total contracts traded during the period.  Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.

(In dollars)

Three-Month Period Ended

Product:

February

2012

January

2012

December

2011

November

2011

Equities

$0.128

$0.151

$0.167

$0.163

Indexes

0.651

0.640

0.631

0.621

Exchange Traded Funds

0.188

0.206

0.212

0.205

   Total Options Average Transaction Fee Per Contract

0.275

0.297

0.321

0.308

Futures

1.610

1.474

1.329

1.328

   Total Average Transaction Fee Per Contract

$0.289

$0.308

$0.321

$0.317

About CBOE Holdings, Inc.
CBOE Holdings, Inc. (NASDAQ: CBOE) is the holding company for Chicago Board Options Exchange (CBOE), C2 Options Exchange and other subsidiaries.  CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE's Hybrid Trading System incorporates electronic and open-outcry trading, enabling customers to choose their trading method. CBOE's Hybrid is powered by CBOEdirect, a proprietary, state-of-the-art electronic platform that also supports C2 Options Exchange (C2), CBOE Futures Exchange (CFE), CBOE Stock Exchange (CBSX) and OneChicago. CBOE is home to the world-renowned Options Institute and www.cboe.com, named "Best of the Web" for options information and education. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.

CBOE®, Chicago Board Options Exchange®, CBSX®, CBOE Stock Exchange®, CFE®, CBOEdirect®, FLEX®, Hybrid®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWrite(SM), BXM(SM), CBOE Futures Exchange(SM), SPX(SM) and The Options Institute are servicemarks of Chicago Board Options Exchange, Incorporated (CBOE). C2(SM), C2 Options Exchange, Incorporated(SM) and SPXpm(SM) are servicemarks of C2 Options Exchange, Incorporated (C2). Standard & Poor's®, S&P®, S&P 500®, Standard and Poor's Depositary Receipts®, and SPDR® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE and C2. All other trademarks and servicemarks are the property of their respective owners.

CBOE-V
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CBOE-EF

SOURCE CBOE Holdings, Inc.

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