June 2013 busiest month on record for VIX futures trading at CFE
June 2013 was the most active trading month for futures on the CBOE Volatility Index (VIX) in exchange history.
New records for total trading volume and average daily volume (ADV) were set during the month and for the second quarter of the year.
Trading volume of VIX futures at CFE totalled a record 4,213,488 contracts during June, eclipsing the previous high of 4,056,760 contracts in April 2013. June's volume increased 96 per cent versus the 2,154,055 contracts traded in June 2012 and rose 31 per cent when compared to the 3,212,399 contracts traded in May 2013. June marked the second month in CFE history in which total monthly volume in VIX futures exceeded four million contracts traded.
Monthly average daily volume in VIX futures during June was a record 210,674 contracts – the first time monthly ADV surpassed the 200,000 contract level – and besting the previous high of 184,398 contracts in April 2013. June's record ADV gained 105 per cent and 44 per cent versus the 102,574 contracts a year ago and the 146,018 contracts in the previous month, respectively.
During June, exchange-wide volume at CFE reached a new all-time of 4,220,447 contracts traded, which was up 95 per cent versus the 2,168,469 contracts traded in June 2012 and up 31 per cent when compared to the 3,220,913 contracts traded in May 2013. The six most-active trading months in CFE history have occurred during the first six months of 2013: June, April (4,069,630 contracts), March (3,228,874 contracts), May (3,220,913 contracts), February (3,087,775 contracts) and January (2,927,613 contracts).
Exchange-wide monthly ADV was 211,022 contracts during June, up 104 per cent from the ADV of 103,260 contracts during June 2012 and up 44 per cent from the monthly ADV of 146,405 contracts in May 2013. June's ADV topped the previous high of 184,983 contracts in April 2013 and was the first time total exchange monthly ADV surpassed the 200,000 contract level.
In VIX futures trading, total volume for the second quarter of 2013 was a record 11,482,647 contracts, surpassing the previous high of 9,181,060 total contracts during the first quarter of 2013 by 25 per cent and gaining 96 per cent from the 5,837,063 contracts traded during the second quarter of 2012. VIX futures ADV during the second quarter was a record 179,416 contracts, compared with 153,018 contracts in the previous quarter (1Q 2013) and 92,652 contracts in the same quarter a year ago (2Q 2012).
Exchange-wide, total volume for the second quarter of 2013 was a new high of 11,510,990 contracts, the sixth consecutive record quarter for the exchange. Trading volume during the three months from April through June surpassed the previous high of 9,244,262 total contracts during the first quarter of 2013 by 25 per cent and gained 96 per cent from the 5,883,345 contracts traded during the second quarter of 2012. ADV during the second quarter was a record 179,859 contracts, compared with 154,071 contracts in the previous quarter (1Q 2013) and 93,386 contracts in the same quarter a year ago (2Q 2012).
On 24 June, CFE introduced a revised pricing method for its S&P 500 Variance (VA) futures contract, which began trading on the exchange in December 2012. The change involves the timing of when CFE converts volatility points to futures prices so that the prices of VA futures are more directly comparable to prices in the over-the-counter (OTC) variance swap market.
The conversion, which previously was calculated during the trading session, now occurs after the close of trading in Variance futures. This change allows CFE to include the current day's closing value for the S&P 500 in the conversion calculation.