CHICAGO, April 1, 2011 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE) today announced that March 2011 was the most active trading month in CFE history as volume surpassed the one-million-contracts milestone for the first time ever. The 1,066,367 contracts that changed hands during March was a new all-time high and the third consecutive record month at CFE, following the previous highs of 789,734 contracts in February and 778,157 contracts in January. When including November 2010's volume of 751,481 contracts, the four busiest months in CFE history have occurred during the last five months.
March 2011 volume exceeded the 217,429 contracts traded in March 2010 by 390 percent. March 2011 was the most active month of March on record at CFE and marked the eighteenth consecutive month in which total volume registered an increase when comparing year-over-year trading activity.
Average daily volume (ADV) of 46,363 contracts during March 2011, which was also a new record, topped the March 2010 ADV of 9,453 contracts by 390 percent. When compared to 41,565 contracts per day during February 2011, which was the previous high, ADV in March rose 12 percent. This was the second consecutive month in which CFE daily volume averaged over 40,000 contracts, a first for CFE.
CBOE FUTURES EXCHANGE VOLUME SUMMARY
Total CFE ADV
On Tuesday, March 15, Wednesday, March 16 and Friday, March 11, CFE experienced the three busiest single days in its history when 97,385, 97,254 and 77,619 contracts traded, respectively. CFE also set back-to-back weekly volume records during the month: a total of 282,287 contracts traded March 7 through 11, which was then surpassed when a total of 334,692 contracts traded March 14 through 18. Additionally, exchange open interest reached a new high of 210,495 contracts on Wednesday, March 16.
Total trading volume for the first quarter of 2011 was 2,634,258 contracts, which now ranks as the busiest quarter in CFE history. The trading volume during the first three months of 2011 surpassed the volume of 1,787,035 contracts during the previous quarter (4Q 2010) and the 626,690 contracts during the first three months of 2010 (1Q 2010) by 47 percent and 320 percent, respectively. ADV during the quarter was 42,488 contracts, compared with 27,922 contracts in the fourth quarter of 2010 and the 10,274 contracts in the first quarter of 2010.
March 2011 volume in VIX futures, based on the CBOE Volatility Index (ticker VX), totaled a new record of 1,065,374 contracts, exceeding the 216,800 contracts traded last March by 391 percent and the 788,908 contracts in February 2011, which was the previous high, by 35 percent. March was the first month ever for VIX futures volume to surpass the one-million-contracts milestone.
Average daily volume in VIX futures also reached a new high of 46,320 contracts during March. This ADV surpassed the 9,426 contracts per day a year ago and topped the 41,521 contracts per day in February 2011 by 12 percent. VIX futures experienced the top three most active single trading days in CFE history during the month: 97,337 contracts on Tuesday, March 15; 97,113 contracts on Wednesday, March 16; and 77,556 contracts on Friday, March 11.
CFE currently offers futures on six different contracts, including: the CBOE Volatility Index (VIX), Weekly options on VIX futures (VOW), CBOE mini-VIX (VM), CBOE Gold ETF Volatility Index (GVZ), CBOE S&P 500 3-Month Variance (VT) and CBOE S&P 500 12-Month Variance (VA).
On March 25, CFE launched security futures on the CBOE Gold ETF Volatility Index (GVZ), further expanding tradable CFE volatility products into a new asset class. The calculation of the CBOE Gold ETF Volatility Index ("Gold VIX") is based on the well-known CBOE VIX methodology applied to options on the SPDR Gold Trust (GLD). The Gold VIX is an up-to-the-minute market estimate of the expected 30-day volatility of GLD, calculated using real-time bid/ask quotes of GLD options that are listed on CBOE. For more information on CBOE Gold ETF Volatility Index futures and options, see http://www.cboe.com/GVZ.
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 trades are cleared by the AAA-rated Options Clearing Corporation (OCC). CBOE Futures Exchange is regulated by the Commodity Futures Trading Commission (CFTC).
More information on CFE and its products, including contract specifications, can be found at: http://cfe.cboe.com/.
CBOE®, Chicago Board Options Exchange®, CFE®, CBOE Volatility Index® and VIX® are registered trademarks, and CBOE Futures Exchange(SM) , GVZ(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.