July Average Daily Volume at CBOE Futures Exchange Sets Record for Third Consecutive Month

^{Published on 2011-08-01 12:40:58 - Market Wire}
 

July Average Daily Volume at CBOE Futures Exchange Sets Record for Third Consecutive... -- CHICAGO, August 1, 2011 /PRNewswire/ --

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Volume In VIX Futures Tops One Million Contracts

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CHICAGO, August 1, 2011 /PRNewswire/ --The CBOE Futures Exchange, LLC (CFE) today announced that record monthly average daily volume (ADV) was achieved during July, the second busiest trading month ever at the exchange.  For futures on the CBOE Volatility Index (VIX), July trading activity remained brisk as monthly ADV reached a new all-time high and total volume topped one million contracts for the third time this year.  

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Average Daily Volume

Monthly average daily volume at CFE set a record for the third consecutive month in July as 58,532 contracts per day were traded.  When compared to the June 2011 ADV of 55,600, which had been the previous high, and the 12,857 contracts traded per day during July 2010, monthly ADV in July increased by five percent and 355 percent, respectively.  

CFE experienced the most-active trading day in its history on July 14, 2011 when a total of 104,811 contracts traded at the exchange.  The previous record was 101,200 contracts traded on June 16, 2011.  

Total Volume

Trading volume at CFE during July 2011 totaled 1,170,656 contracts, a decline of four percent from the record 1,223,214 contracts during June 2011 (June included two more trading days than July – 22 versus 20).  When compared to the 270,014 contracts traded during July 2010, volume in July increased by 334 percent.    

July marked the twenty-second consecutive month in which total volume registered an increase when comparing year-over-year trading activity. The seven most-active trading months in CFE history have occurred during the first seven months of 2011, with July 2011 ranking as the second busiest month all-time.  

Year-to-date, CFE trading volume through the end of July 2011 stands at 6,857,628 contracts, 254 percent ahead of the 1,936,346 contracts traded during the same period in 2010.  Year-to-date volume has already surpassed the 4,402,378 total contracts traded for all of 2010.  

VIX Futures

For the third consecutive month, average daily volume for futures on the CBOE Volatility Index (VIX) registered a new record.  The 58,453 contracts per day during July 2011 eclipsed the previous highs of 55,557 contracts per day during June and the 47,333 contracts per day in May 2011.  July ADV gained five percent when compared to June's ADV and was up 356 percent versus the 12,827 contracts traded per day in July 2010.  

On July 14, trading volume in VIX futures established a new single-day high of 104,773 contracts, beating the previous daily record of 101,146 contracts set on June 16, 2011.  

During July, trading of VIX futures totaled 1,169,064 contracts.  With two fewer trading days, July's volume trailed the record 1,222,257 contracts traded in June 2011 by four percent, but rose 334 percent from the 269,372 contracts traded in July 2010.  The top five most-active trading months for VIX futures have occurred during the last five months (June: 1,222,257 contracts; July: 1,169,064 contracts; March: 1,065,374 contracts, May: 993,990 contracts and April: 834,110 contracts).  

About CFE                 

CFE currently offers futures on five different contracts, including: the CBOE Volatility Index (VIX), Weekly options on VIX futures (VOW), CBOE mini-VIX (VM), CBOE Gold ETF Volatility Index (GVZ) and CBOE S&P 500 3-Month Variance (VT).    

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 trades are cleared by the AAA-rated Options Clearing Corporation (OCC). CBOE Futures Exchange is regulated by the Commodity Futures Trading Commission (CFTC). 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 Exchange(SM), GVZ(SM), VOW(SM) and Weeklys(SM) are servicemarks 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.  

SOURCE CBOE Futures Exchange, LLC