CBOE Holdings Reports November 2011 Trading Volume

CHICAGO, Dec. 1, 2011 /PRNewswire/ -- CBOE Holdings, Inc. (NASDAQ: CBOE) today reported that November trading volume for options on the Chicago Board Options Exchange (CBOE) and C2 Options Exchange (C2), the company's all-electronic market, combined, totaled 88.9 million contracts.  Options average daily volume (ADV) was 4.2 million contracts, a decrease of five percent from November 2010 ADV of 4.5 million contracts per day. 

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Through November, CBOE trading volume exceeded one billion contracts for the year, marking the fourth consecutive year for that milestone. Through November, CBOE trading volume was up five percent from the same period in 2010. CBOE Futures Exchange (CFE) trading volume was up nearly 200 percent year to date.

CBOE Trading Volume and Market Share

CBOE Trading Volume:

• CBOE total -- November 2011 ADV of 4.0 million contracts was a nine-percent decrease from 4.4 million contracts per day in November 2010 and down 16 percent from October 2011 ADV of 4.7 million contracts.
• CBOE index options – November 2011 index option ADV was 1.2 million contracts, up 18 percent from just over one million contracts ADV in November 2010 and down 12 percent from October 2011 ADV of 1.4 million contracts.
• CBOE ETF options – November 2011 ETF option ADV was 1.2 million contracts, up 13 percent from just over one million contracts ADV in November 2010 and down 21 percent from October 2011 ADV of 1.5 million contracts.
• CBOE equity options – November 2011 equity option ADV was 1.6 million contracts, down 31 percent from 2.3 million contracts ADV in November 2010 and down 13 percent from October 2011 ADV of 1.8 million contracts.
• The five most actively traded index and ETF options at CBOE during November were the S&P 500 Index (SPX), Standard & Poor's Depositary Receipts (SPY), CBOE Volatility Index (VIX), QQQ Trust (QQQ) and iShares Trust-Russell 2000 Index Fund (IWM).
• The five most actively traded equity options at CBOE during November were Apple (AAPL), Bank of America (BAC), Citigroup, Inc. (C), Cisco Systems (CSCO) and JP Morgan Chase & Co. (JPM).

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

CBOE Market Share:
CBOE's market share of total U.S. options industry volume in November was 24.4 percent, down 1.1 percentage points from October 2011 and down 1.9 percentage points from November 2010. If the volume from dividend trades was excluded from market data for November 2011, CBOE's total market share for November would increase to 25.3 percent from 24.4 percent, an increase of 0.9 of a market share point. Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.

CBOE November 2011 Market Share by Product:

• Index options – CBOE's market share was 95.5 percent, up 0.5 of a percentage point from October 2011 and up 1.8 percentage points from November 2010.
• ETF options – CBOE's market share was 18.1 percent, down 1.2 percentage points from October 2011 and down 1.8 percentage points from November 2010.
• Equity options – CBOE's market share was 18.7 percent, down 0.9 of a percentage point from October 2011 and down 3.6 percentage points from November 2010.

C2 Options Exchange Trading Volume and Market Share

C2 Trading Volume:

• C2 total – November 2011 ADV of 230,000 contracts was a 14-percent decrease from 268,000 contracts per day in October 2011.
• SPXpm – November 2011 ADV for SPXpm – the all-electronic S&P 500 Index options contract launched on October 4 – was 5,300 contracts, up six percent from 5,000 contracts per day in October.
• C2 ETF options – November 2011 ETF option ADV was 148,600 contracts, down nine percent from 162,700 contracts ADV in October 2011.
• C2 equity options – November 2011 equity option ADV was 76,400 contracts, down 24 percent from 100,500 contracts ADV in October 2011.

C2 Market Share: 

C2's market share of total U.S. options industry volume in November 2011 was 1.4 percent, even with October 2011 market share.

CBOE Futures Exchange Trading

• CFE trading volume during in November 2011 totaled 822,783 contracts, a nine-percent increase from 751,481 contracts traded in November 2010.  November ADV was 39,180 contracts versus 35,785 contracts in November 2010. 
• The 11 months of 2011 rank as the top 11 most-active trading months in CFE's history.  Year-to-date trading volume though November was up nearly 200 percent from the same period a year ago.
• November CBOE Volatility Index (VIX) futures trading volume totaled 822,017 contracts – with ADV of 39,144 contracts – a nine-percent increase from November 2010, and an eight-percent decrease from October 2011.

CBOE Holdings Average Transaction Fee Per Contract

The following represents 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 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.

CBOE Holdings, Inc. is the holding company for Chicago Board Options Exchange (CBOE) 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 (VIX). 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 and is powered by CBOEdirect, a proprietary, state-of-the-art electronic platform that also supports the 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.

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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, and The Options Institute^SM are servicemarks of Chicago Board Options Exchange, Incorporated (CBOE). SPXpm^SM, C2^SM, and C2 Options Exchange^SM are servicemarks of C2 Options Exchange, Incorporated. 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. All other trademarks and servicemarks are the property of their respective owners.

SOURCE CBOE Holdings, Inc.