The CBOE Futures Exchange says June 2012 was the most-active trading month in CFE history and the second consecutive month of record trading volume at the exchange.
The most-active trading month in CFE history was driven by record volume in futures on the CBOE Volatility Index (the VIX Index), with June 2012 trading in VIX futures up 85 per cent over a year-ago.
During the record-breaking month, new all-time highs were established in total monthly volume, monthly average daily volume (ADV), single-day volume and weekly volume - both exchange-wide and for VIX futures. In addition, the second quarter of 2012 experienced the highest trading volume of any quarter in CFE history.
For a second consecutive month, total trading volume at CFE surpassed the two million contract benchmark. The record 2,168,751 contracts traded during June 2012 was an increase of 77 per cent from the 1,223,214 contracts traded in June 2011 and an increase of seven per cent from the 2,022,433 contracts traded during May 2012, the previous record.
Average daily volume at CFE reached a new all-time high for a second straight month, topping 100,000 contracts for the first time during June 2012. The record 103,274 contracts per day was up 86 per cent from the 55,600 contracts traded per day a year ago and surpassed the previous ADV record of 91,928 contracts per day during May 2012 by 12 per cent.
The week of June 18-22 was the busiest trading week in CFE history as a total of 659,930 contracts traded during the five days. The previous record week was 8-12 August 2011 when 533,639 contracts traded. The record week was spurred by a new all-time high for single-day total exchange volume when 160,552 contracts changed hands on 18 June. This new daily record eclipsed the previous single-day high of 152,133 contracts traded on 5 August 2011.
For a second consecutive quarter, CFE experienced record-setting quarterly volume. The 5,883,808 total contracts traded during the second quarter of 2012 surpassed the previous quarterly record of 4,123,695 contracts set during the first quarter of 2012 by 43 per cent. When compared to the 3,052,714 contracts traded during the second quarter of 2011, second quarter 2012 volume rose by 93 per cent.
ADV during the second quarter 2012 was a new high of 93,394 contracts. When compared with 66,511 contracts in the first quarter of 2012, the previous record, and the 48,456 contracts in the same quarter from a year ago (2Q 2011), ADV in the second quarter of 2012 increased by 40 per cent and 93 per cent, respectively.
Five of the top six most-active trading months in CFE history have occurred during the first six months of 2012. Year-to-date volume for the first half of the year stands at 10,007,503 contracts traded, 76 per cent ahead of the 5,686,972 contracts traded during the first six months of 2011. Through June 2012, CFE is averaging 80,060 contracts traded per day, compared with 45,496 contracts per day from the same time period in 2011.
Trading activity in CBOE Volatility Index (the VIX Index) futures totalled a record 2,154,325 contracts during June 2012, an increase of 76 per cent from the 1,222,257 contracts in June 2011 and up eight per cent from the 2,000,154 contracts in May 2012. June average daily volume in VIX futures was 102,587 contracts, also a new record, and an increase of 85 per cent from the 55,557 contracts per day a year ago and up 13 per cent from the ADV of 90,916 contracts in May 2012. The June records for total volume and average daily volume in VIX futures surpassed the previous records for each set in May 2012.
In their first full month of trading, futures on the CBOE Nasdaq-100 Volatility Index (VXN) totalled 108 contracts. The Nasdaq-100 Index (NDX) represents the largest non-financial US and international securities listed on The Nasdaq Stock Market, based on market capitalization. VXN, which measures the volatility of the Nasdaq-100 Index, is calculated through the application of CBOE's VIX methodology to the prices of options on NDX. VXN futures began trading on 23 May.
Trading volume in CBOE Crude Oil ETF Volatility Index (OVX) security futures totalled 3,290 contracts in June 2012, an increase of 65 per cent from the 1,994 contracts in May. The CBOE Crude Oil ETF Volatility Index measures the market's expectation of 30-day volatility of crude oil prices by applying the VIX methodology to United States Oil Fund, LP exchange traded fund (USO) options. OVX security futures were launched for trading on 26 March 2012.
Trading volume in CBOE Emerging Markets ETF Volatility Index (VXEM) security futures totalled 8,870 contracts during June 2012, down 47 per cent from the 16,703 contracts during May 2012. The CBOE Emerging Markets ETF Volatility Index tracks the implied volatility of the iShares MSCI Emerging Markets Index exchange traded fund. VXEM security futures were launched for trading on 9 January 2012.