Traders

Trading activity in VIX futures spurs CFE to busiest month ever

Tue, 02/10/2012 - 16:14

The CBOE Futures Exchange (CFE) says September 2012 was the most active trading month ever for futures on the CBOE Volatility Index (VIX).

The record trading activity in VIX futures drove total volume at CFE to a new all-time high. 

During the month, several new trading records – for both VIX futures and CFE – were set.  

In September, average daily volume (ADV) in VIX futures reached a new all-time high of 126,345 contracts, which surpassed the previous record ADV of 102,587 contracts during June 2012. September's ADV increased by 170 per cent from the 46,784 contracts ADV in September 2011 and rose by 52 per cent when compared to the ADV of 83,016 contracts in August 2012. A new single-day volume record for VIX futures was achieved on 13 September when 190,081 contracts traded.  The previous record had been 159,744 contracts on 18 June 2012.

Total monthly trading activity in VIX futures was a record 2,400,552 contracts during September, eclipsing the previous high of 2,154,325 contracts during June 2012. September's record volume increased 144 per cent from the 982,462 contracts in September 2011 and rose 26 per cent from the 1,909,373 contracts in August 2012.

Year-to-date through September, ADV in VIX futures stands 68 per cent ahead of the same time period a year ago - 85,990 contracts per day versus 51,111 contracts per day. 

Open interest in VIX futures reached a new high of 431,265 contracts on 18 September. The record came on the heels of five consecutive open interest records set the previous week. Prior to September, the high in VIX futures open interest was 403,608 contracts on 21 August 2012.

Total exchange-wide ADV during September was a record 126,871 contracts, topping the previous record ADV of 103,274 contracts in June 2012.  CFE's September ADV was up 171 per cent over the 46,875 contracts ADV in September 2011 and up 52 per cent over the 83,290 contracts ADV in August 2012. On 13 September, a new record for total CFE single day volume was set when 191,228 contracts traded. The previous record had been 160,552 contracts on 18 June 2012.

Total trading volume at CFE during September was a record 2,410,549 contracts, surpassing the previous record of 2,168,751 contracts traded during June 2012. September's trading activity rose 145 per cent from the 984,392 contracts traded a year ago and was up 26 per cent from the 1,915,695 contracts traded in August. Exchange-wide open interest reached a new all-time high of 431,428 contracts on 18 September.


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