The CBOE Futures Exchange, LLC (CFE) today announced that average daily volume during November was the highest monthly ADV in the six-year history of the Exchange as the 9,228 contracts traded per day bested the previous high of 9,019 contracts per day in November 2007.November's ADV was up 230 percent over 2,798 contracts per day during November 2008, and when compared to 8,548 contracts per day traded during the previous month, average daily volume during November was up eight percent.November was the seventh consecutive month in 2009 where CFE posted an average daily volume gain over the previous month.
A total of 184,558 contracts traded at CFE during November 2009, an increase of 247 percent over 53,174 contracts traded last year.When compared to 188,047 contracts traded during the previous month, November 2009 total volume was off two percent, which was primarily a result of two more trading days during October.Year to date, CFE's total volume of 1,014,479 contracts is down nine percent from 2008's pace of 1,119,553 contracts.
November ranks as the second most-active trading month of 2009, and the third-busiest month of all-time at CFE, trailing the 189,408 contracts traded during November 2007 and the 188,047 contracts traded during October 2009.
CBOE
FUTURES EXCHANGE VOLUME SUMMARY Current Month |
Year-To-Date |
|||||||
---|---|---|---|---|---|---|---|---|
November 2009 |
November 2008 |
% Chg |
October 2009 |
% Chg |
November 2009 |
November 2008 |
% Chg |
|
Trading Days |
20 |
19 |
22 |
230 |
231 |
|||
Total Exchange |
184,558 |
53,174 |
+247% |
188,047 |
-2% |
1,014,479 |
1,119,553 |
-9% |
Total Exchange ADV |
9,228 |
2,798 |
+230% |
8,548 |
+8% |
4,411 |
4,847 |
-9% |
Volume in VIX futures, based on the CBOE Volatility Index (ticker VX), was 183,978 contracts, an increase of 252 percent from 52,335 contracts traded in November 2008 and a decline of two percent from 187,628 contracts traded in October 2009.Average daily volume in VIX futures during November was 9,199 contracts, 234 percent ahead of 2,754 contracts per day from a year ago and eight percent ahead of 8,529 contracts per day from October.
Volume in CFE's newest contract, the CBOE mini-VIX futures (ticker symbol VM), totaled 565 contracts traded during November, a 36 percent increase from 415 contracts during October.CBOE mini-VIX futures contracts are one-tenth the size of CFE's standard CBOE VIX futures contract.CBOE mini-VIX futures were launched in March 2009. Additional information on mini-VIX futures can be found at: http://cfe.cboe.com/Products/Products_VM.aspx.
CFE currently offers futures on five different contracts, including: the CBOE Volatility Index (VIX), CBOE mini-VIX (VM), CBOE Russell 2000 Volatility Index (RVX) and CBOE S&P 500 3-Month and 12-Month Variance (VT and VA, respectively).
CFE, launched in March 2004, is a wholly owned subsidiary of Chicago Board Options Exchange, Incorporated, offering 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: www.cboe.com/CFE.