CBOE Holdings Reports September 2011 Trading Volume

-- CBOE Holdings' September Average Daily Volume of 5.0 Million Options Contracts Increased 31% from Year Ago

-- Third Quarter 2011 Volume of 346.8 Million Contracts Rose 46% From 2010

Oct 03, 2011, 15:00 ET from CBOE Holdings, Inc.

CHICAGO, Oct. 3, 2011 /PRNewswire/ -- CBOE Holdings, Inc. (NASDAQ: CBOE) today reported that September trading volume for options on the Chicago Board Options Exchange (CBOE) and C2 Options Exchange (C2), the company's all-electronic market, combined, totaled 104.2 million contracts. Average daily volume (ADV) was 5.0 million contracts, an increase of 31 percent from September 2010's ADV of 3.8 million contracts per day.

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CBOE Holdings total options trading volume during the third quarter of 2011 was 346.8 million contracts, an increase of 46 percent from 237.4 million total options contracts during the third quarter of 2010. Third quarter average daily volume rose 46 percent to 5.4 million options contracts, up from 3.7 million options contracts per day during the third quarter of 2010.

CBOE Trading Volume and Market Share

CBOE Trading Volume:

  • CBOE's September 2011 ADV of 4.7 million contracts was a 25 percent increase from 3.8 million contracts per day in September 2010 and a 24 percent decrease from August 2011's record ADV of 6.3 million contracts.
  • CBOE index optionsSeptember 2011 index option ADV was 1.4 million contracts, up 42 percent from 1.0 million contracts ADV in September 2010 and down 28 percent from August 2011's record ADV of just under 2.0 million contracts.
  • CBOE ETF optionsSeptember 2011 ETF option ADV was 1.6 million contracts, an increase of 79 percent from 918,000 contracts ADV in September 2010 and a decrease of 23 percent from August 2011's record ADV of 2.1 million contracts.
  • CBOE equity optionsSeptember 2011 equity option ADV was 1.7 million contracts, down 11 percent from 1.9 million contracts ADV in September 2010 and down 22 percent from August 2011 ADV of 2.1 million contracts.
  • The five most actively traded index and ETF options at CBOE during September were the S&P 500 Index (SPX), Standard and 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 September were Apple (AAPL), Bank of America (BAC), Citigroup, Inc. (C), General Electric Co. (GE) and JP Morgan Chase & Co. (JPM).

CBOE Trading Volume

Year-To-Date

(trades in thousands)

 Sep 2011 

 Sep 2010 

 % Chg 

 Aug 2011 

 % pt. Chg 

 Sep 2011 

 Sep 2010 

 % Chg 

Trading Days

21

21

23

189

188

Total Exchange

99,446.7

79,482.7

25%

144,033.6

-31.0%

897,852.7

848,104.7

6%

Total Exchange ADV

4,735.6

3,784.9

25%

6,262.3

-24.4%

4,750.5

4,511.2

5%

Equity Options

35,019.9

39,129.8

-11%

49,393.9

-29.1%

395,536.6

428,150.5

-8%

Equity Options ADV

1,667.6

1,863.3

-11%

2,147.6

-22.3%

2,092.8

2,277.4

-8%

Index Options

29,985.4

21,077.7

42%

45,848.2

-34.6%

244,664.6

206,989.9

18%

Index Options ADV

1,427.9

1,003.7

42%

1,993.4

-28.4%

1,294.5

1,101.0

18%

ETF Options

34,441.3

19,275.0

79%

48,791.5

-29.4%

257,651.4

212,962.0

21%

ETF Options ADV

1,640.1

917.9

79%

2,121.4

-22.7%

1,363.2

1,132.8

20%

Expanded September 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 September was 25.4 percent, down 0.8 of a percentage point from August 2011 and 0.9 of a percentage point from September 2010. If the volume from dividend trades was excluded from CBOE's data for September 2011, the Exchange's total market share for September would increase to 26.2 percent from 25.4 percent, an increase of 0.8 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 Market Share Current Month

Year-To-Date

 Sep 2011 

 Sep 2010 

 % pt. Chg 

 Aug 2011 

 % pt. Chg 

 Sep 2011 

 Sep 2010 

 % pt. Chg 

Total Exchange

25.4%

26.3%

-0.9%

26.2%

-0.8%

25.6%

29.6%

-4.0%

Total Exchange (excl. dividend trades)

26.2%

27.5%

-1.3%

26.5%

-0.3%

26.4%

30.6%

-4.2%

Equity Options

19.5%

21.9%

-2.4%

19.8%

-0.3%

20.8%

24.9%

-4.1%

Equity Option (excl. dividend trades)

19.9%

22.9%

-3.0%

20.3%

-0.4%

21.8%

26.1%

-4.3%

Index Options

95.7%

94.4%

1.3%

95.4%

0.3%

94.7%

93.6%

1.1%

Index Options (excl. dividend trades)

95.9%

94.9%

1.0%

95.5%

0.4%

95.0%

94.2%

0.8%

ETF Options

19.1%

19.0%

0.1%

19.3%

-0.2%

19.2%

23.0%

-3.8%

ETF Options (excl. dividend trades)

20.0%

20.0%

0.0%

19.3%

0.7%

19.4%

23.3%

-3.9%

CBOE September 2011 Market Share by Product:

  • Index options – CBOE's market share was 95.7 percent, up 0.3 of a percentage point from August 2011 and up 1.3 percentage points from September 2010.
  • ETF options – CBOE's market share was 19.1 percent, 0.2 of a percentage point down from August 2011 and 0.1 of a percentage point above September 2010.
  • Equity options – CBOE's market share was 19.5 percent, down 0.3 of a percentage point from August 2011 and trailing September 2010 by 2.4 percentage points.

C2 Options Exchange Trading Volume and Market Share

C2 Trading Volume:

In September 2011, C2 ADV was 228,595 contracts, down 26 percent from August 2011 record ADV of 310,810 contracts.  September ETF option ADV was off 25 percent from August 2011, and equity option ADV was down 30 percent compared with August 2011.

C2 Trading Volume

Year-To-Date

(trades in thousands)

 Sep 2011 

 Sep 2010 

 % Chg 

 Aug 2011 

 % pt. Chg 

 September 2011 

Trading Days

21

21

23

189

Total C2

4,800.5

---

---

7,148.6

-33%

38,471.8

Total C2 ADV

228.6

---

---

310.8

-26%

203.6

Equity Options

1,421.1

---

---

2,212.6

-36%

13,810.8

Equity Options ADV

67.7

---

---

96.2

-30%

73.1

ETF Options

3,379.4

---

---

4,936.0

-32%

24,661.0

ETF Options ADV

160.9

---

---

214.6

-25%

130.5

C2 Market Share:

C2's market share of total U.S. options industry volume in September 2011 was 1.2 percent, 0.1 of a percentage point behind the August 2011 market share.

C2  Market Share Current Month

Year-To-Date

 Sep 2011 

 Sep 2010 

 % pt. Chg 

 Aug 2011 

 % pt. Chg 

 Sep 2011 

 Sep 2010 

 % pt. Chg 

Total Exchange

1.2%

--

--

1.3%

-0.1%

1.1%

--

--

Total Exchange (excl. dividend trades)

1.3%

--

--

1.3%

0.0%

1.1%

--

--

Equity Options

0.8%

--

--

0.9%

-0.1%

0.7%

--

--

Equity Option (excl. dividend trades)

0.8%

--

--

0.9%

-0.1%

0.8%

--

--

Index Options

--

--

--

--

--

--

--

--

Index Options

(excl. dividend trades)

--

--

--

--

--

--

--

--

ETF Options

1.9%

--

--

2.0%

-0.1%

1.8%

--

--

ETF Options (excl. dividend trades)

2.0%

--

--

2.0%

0.0%

1.9%

--

--

CBOE Futures Exchange Trading

  • A total of 984,392 contracts traded at the CBOE Futures Exchange (CFE) in September, an increase of 154 percent from the 387,464 contracts traded in September 2010.  Average daily volume for the month was 46,875 contracts, compared with 18,450 contracts traded per day in September 2010.  Total volume and ADV were both down when compared to the record-setting August levels of 1,828,511 contracts and 79,500 contracts per day, respectively.
  • For the month, average daily volume for futures on the CBOE Volatility Index (VIX) was 46,784 contracts, and total volume was 982,462 contracts, both up 154 percent from the year-ago levels of  18,427 contracts per day and 386,969 contracts traded, respectively.
  • Total volume for the third quarter of 2011 was 3,983,559 contracts, the fourth consecutive record quarter of trading at CFE.  The trading volume during the three months from July through September surpassed the previous high of 3,052,714 contracts during the April through June time period by 30 percent and gained 320 percent from the 949,011 contracts traded during the third quarter of 2010.  ADV during the third quarter was 62,243 contracts, compared with 48,456 contracts in the previous quarter (2Q 2011) and 14,828 contracts in the same quarter from a year ago (3Q 2010).

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 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:

Aug 2011

July 2011

June 2011

May 2011

Equities

$0.159

$0.171

$0.169

$0.168

Indexes

0.606

0.624

0.627

0.618

Exchange Traded Funds

0.187

0.197

0.202

0.208

Total Options Average Transaction Fee Per Contract

0.300

0.303

0.295

0.289

Futures

1.376

1.437

1.477

1.514

Total Average Transaction Fee Per Contract

$0.313

$0.316

$0.308

$0.301

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.

CBOE-V

CBOE-2

CBOE-EF

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

SOURCE CBOE Holdings, Inc.



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