Average daily volume (ADV) in VIX futures was 178,531 contracts during September, an increase of 21 per cent from September 2013 and a decrease of 18 per cent when compared to the record ADV in August 2014.
According to CBOE, total volume in VIX futures was 3.75 million contracts during September, up 27 per cent from September 2013 and down 18 per cent from the record total volume in August 2014.
September exchange-wide ADV was 178,993 contracts, a 20-per cent increase from a year ago and an 18-per cent decrease from the record daily volume in August 2014. Exchange-wide total volume during the month was 3.76 million contracts, a 26-per cent increase from September 2013 and an 18-per cent decrease from August 2014's record total volume.
A record total of 12.67 million contracts traded at CFE during the third quarter of 2014, up 34 per cent compared to the third quarter a year ago and up 21 per cent versus the second quarter of 2014. The new high set this quarter surpassed the previous record of 12.39 million contracts in the first quarter of 2014.
The 12.64 million total VIX futures contracts traded during the third quarter of 2014 was also a new record. Third quarter total volume for VIX futures was up 35 per cent compared to the third quarter of 2013 and up 21 per cent versus the second quarter of 2014. The new high eclipsed the previous record of 12.38 million contracts in the first quarter of 2014.
In September, trading volume in VIX futures outside of regular US trading hours totalled 322,108 contracts, with an average of 15,338 contracts per trading day, accounting for approximately nine per cent of CFE's total daily volume.
On 22 June CFE expanded VIX futures trading hours to nearly 24 hours a day, five days a week.
