Volume Records Propel November Trading at CBOE Futures Exchange to All-Time High

Volume Tops 750,000 Contracts

Dec 01, 2010, 15:55 ET from CBOE Futures Exchange, LLC

CHICAGO, Dec. 1, 2010 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE) today announced that November 2010 was the most-active trading month in CFE history.  The record 751,481 contracts that changed hands during the month surpassed the previous high of 481,650 contracts in May 2010.  November volume exceeded the 184,558 contracts traded during November 2009 and gained 57 percent from the 479,304 contracts that traded during October 2010.  November marked the fourteenth consecutive month in which total volume registered an increase when comparing year-over-year trading activity.

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Average daily volume (ADV) of 35,785 contracts during November, also a new record, topped the year-ago ADV of 9,228 contracts.  When compared to 22,824 contracts per day during October 2010, ADV in November rose 57 percent.


CBOE FUTURES EXCHANGE VOLUME SUMMARY

Current Month

Year-To-Date


November

2010

November

2009

%

Chg

October

2010

%

Chg

November

2010

November

2009

%

Chg

Trading Days

21

20


21


230

230


Total CFE

751,481

184,558

+307%

479,304

+57%

3,846,128

1,014,479

+279%

Total CFE ADV

35,785

9,228

+288%

22,824

+57%

16,722

4,411

+279%




During the month, several new trading records were set at CFE, including total monthly, weekly and daily volume.  The three busiest weeks and three most-active single days occurred during November.  ADV for a month established a new record, while exchange open interest reached a new high mark on November 15.

November Volume Records, Exchange:

  • Total Monthly Volume: 751,481 contracts
  • Total Weekly Volume:  211,157 contracts (November 15 – 19)
  • Single-Day Volume:  70,754 contracts (Tuesday, November 16)
  • Monthly Average Daily Volume:  35,785 contracts
  • Exchange Open Interest:  172,272 contracts (November 15)

November volume in VIX futures, based on the CBOE Volatility Index (ticker VX), totaled a record 750,914 contracts traded, exceeding the 183,978 contracts in November 2009, and was 57 percent above the 478,326 contracts in October.  ADV in VIX futures reached a new high of 35,758 contracts during November, compared to the 9,199 contracts per day a year ago and the 22,777 contracts per day from the previous month.  Yesterday, CFE announced that beginning Friday, December 10, the start time for trading of VIX futures is changing from 8:30 a.m. to 7:20 a.m. (Chicago time), pending regulatory approval.

November Volume Records, VIX Futures:

  • Total Monthly Volume:  750,914 contracts
  • Total Weekly Volume:  210,995 contracts (November 15 – 19)
  • Single-Day Volume:  70,704 contracts (Tuesday, November 16)
  • Monthly Average Daily Volume:  35,758 contracts
  • VIX Futures Open Interest:  172,028 contracts (November 15)

Volume in CBOE mini-VIX futures (ticker VM) totaled 563 contracts for the month, relatively unchanged from the 565 contracts traded in November 2009, and a decrease of 24 percent from the 737 contracts traded the previous month.  CBOE mini-VIX futures contracts are one-tenth the size of CFE's standard CBOE VIX futures contract.  Additional details on VIX futures can be found at: http://cfe.cboe.com/Products/Products_VM.aspx.

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 S&P 500 3-Month Variance (VT) and CBOE S&P 500 12-Month Variance (VA).

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-EF

CBOE®, Chicago Board Options Exchange®, CFE®, CBOE Volatility Index® and VIX® are registered trademarks, and CBOE Futures Exchange(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 The McGraw-Hill Companies, Inc. and have been licensed for use by CBOE.

SOURCE CBOE Futures Exchange, LLC



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