June 2013 Is Busiest Month On Record For VIX Futures Trading At CFE
- Total Volume Tops Four Million Contracts
- ADV Up 105% Versus Year Ago
CHICAGO, July 1, 2013 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE®) announced today that 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.
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VIX Futures
Trading volume of VIX futures at CFE totaled 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 percent versus the 2,154,055 contracts traded in June 2012 and rose 31 percent 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 percent and 44 percent versus the 102,574 contracts a year ago and the 146,018 contracts in the previous month, respectively.
| CFE Monthly Volume Summary |
Year-To-Date |
|||||||
| June 2013 |
June 2012 |
% Chg |
May 2013 |
% Chg |
June 2013 |
June 2012 |
% Chg |
|
| Trading Days |
20 |
21 |
22 |
124 |
125 |
|||
| VIX Index Futures |
||||||||
| Total |
4,213,488 |
2,154,055 |
96% |
3,212,399 |
31% |
20,663,707 |
9,948,211 |
108% |
| ADV |
210,674 |
102,574 |
105% |
146,018 |
44% |
166,643 |
79,586 |
109% |
| CFE Total Exchange |
||||||||
| Total |
4,220,447 |
2,168,469 |
95% |
3,220,913 |
31% |
20,755,252 |
10,006,932 |
107% |
| ADV |
211,022 |
103,260 |
104% |
146,405 |
44% |
167,381 |
80,055 |
109% |
Total CFE
During June, exchange-wide volume at CFE reached a new all-time of 4,220,447 contracts traded, which was up 95 percent versus the 2,168,469 contracts traded in June 2012 and up 31 percent 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 percent from the ADV of 103,260 contracts during June 2012 and up 44 percent 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.
Second Quarter 2013
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 percent and gaining 96 percent 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 percent and gained 96 percent 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).
S&P 500 Variance Futures
On June 24, 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.
For more information, see the S&P 500 Variance futures page on the CFE website at http://cfe.cboe.com/Products/Products_VA.aspx.
About CBOE Futures Exchange
CBOE Futures Exchange currently offers eight contracts: CBOE Volatility Index (the VIX Index) futures (VX), Mini-VIX futures (VM), S&P 500 Variance futures (VA), CBOE NASDAQ-100 Volatility Index (VXN) futures (VN), CBOE Gold ETF Volatility Index (GVZ) security futures (GV), CBOE Crude Oil ETF Volatility Index (OVX) security futures (OV), CBOE Emerging Markets ETF Volatility Index (VXEEM) security futures (VXEM) and CBOE Brazil ETF Volatility Index (VXEWZ) security futures (VXEW).
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 is regulated by the Commodity Futures Trading Commission (CFTC) and all trades are cleared by the OCC.
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 ExchangeSM, CBOE Nasdaq-100 Volatility IndexSM, VXNSM, VNSM, CBOE Brazil ETF Volatility IndexSM, VXEWSM, VXEWZSM, CBOE Crude Oil ETF Volatility IndexSM, OVXSM, OVSM, CBOE Emerging Markets ETF Volatility IndexSM, VXEMSM, VXEEMSM, CBOE Gold ETF Volatility IndexSM, GVZSM, GVSM, VMSMand VXSM are service marks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC, and have been licensed for use by CBOE and CFE. The Nasdaq-100 Index®, Nasdaq-100®, and Nasdaq® are trademark or service marks of The Nasdaq Stock Market, Inc. (with which its affiliates are the "Corporations"). These marks are licensed for use by CBOE in connection with the trading of products based on the Nasdaq-100 Index. The products have not been passed on by the Corporations as to their legality or suitability. The products are not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE PRODUCT(S). All other trademarks and service marks are the property of their respective owners.
SOURCE CBOE Futures Exchange, LLC
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