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Futures trading at
CBOE Options Trading Volume and Market Share
2010 Volume:
CBOE trading volume in 2010 totaled 1.115 billion contracts versus 1.134 billion in 2009. ADV in 2010 was 4.4 million contracts, down two percent from the 2009 ADV of 4.5 million contracts.CBOE index options volume totaled 270.0 million contracts versus 222.8 million in 2009. ADV in 2010 was nearly 1.1 million contracts, up 21 percent from ADV 884,000 contracts in 2009.CBOE equity options volume totaled 571.3 million contracts versus 634.7 million in 2009. ADV in 2010 was 2.3 million contracts, down ten percent from ADV 2.5 million contracts in 2009.- CBOE ETF options volume totaled 274.2 million contracts versus 277.3 million in 2009. ADV in 2010 was 1.09 million contracts, down one percent from ADV 1.10 million contracts in 2009.
- The top five most actively traded index and ETF options at
CBOE in 2010 were theS&P 500 Index (SPX), Standard and Poor's Depositary Receipts (SPY), CBOE Volatility Index (VIX),PowerShares QQQ Trust (QQQQ), and iShares Trust Russell 2000Index Fund (IWM). - CBOE VIX options volume totaled a record 62.5 million contracts versus 33.3 million in 2009. ADV in 2010 was nearly 248,000 contracts, up 87 percent from ADV 132,000 contracts in 2009.
CBOE trading volume inDecember 2010 totaled 84.0 million contracts versus 91.9 contracts inDecember 2009 . ADV in December was 3.8 million contracts, down nine percent fromDecember 2009 ADV of 4.2 million contracts and down 13 percent fromNovember 2010 ADV of 4.4 million contracts.- See additional volume details for December by
CBOE product category in the table below.
CBOE Trading Volume (Current Month) | Year To Date | ||||||||
(trades in thousands) | December 2010 | December 2009 | % Chg | November 2010 | % Chg | December 2010 | December 2009 | % Chg | |
Trading Days | 22 | 22 | 21 | 252 | 252 | ||||
Total Exchange | 83,966.7 | 91,896.9 | -9% | 92,477.4 | -9% | 1,115,491.9 | 1,134,764.2 | -2% | |
Total Exchange ADV | 3,816.7 | 4,177.1 | -9% | 4,403.7 | -13% | 4,426.6 | 4,503.0 | -2% | |
Equity Options | 46,344.1 | 47,226.7 | -2% | 48,727.6 | -5% | 571,281.2 | 634,710.5 | -10% | |
Equity Options ADV | 2,106.6 | 2,146.7 | -2% | 2,320.4 | -9% | 2,267.0 | 2,518.7 | -10% | |
Index Options | 19,539.8 | 19,605.0 | 0% | 21,755.9 | -10% | 270,006.2 | 222,781.7 | 21% | |
Index Options ADV | 888.2 | 891.1 | 0% | 1,036.0 | -14% | 1,071.5 | 884.1 | 21% | |
ETF Options | 18,082.7 | 25,065.1 | -28% | 21,993.9 | -18% | 274,202.1 | 277,266.2 | -1% | |
ETF Options ADV | 821.9 | 1,139.3 | -28% | 1,047.3 | -22% | 1,088.1 | 1,100.3 | -1% | |
Expanded full-year and
Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.
Current Month | Year To Date | ||||||||
December 2010 | December 2009 | % pt. Chg | November 2010 | % pt. Chg | December 2010 | December 2009 | % pt. Chg | ||
Total Exchange | 24.6% | 31.2% | -6.6% | 26.3% | -1.7% | 28.6% | 31.4% | -2.8% | |
Total Exchange | 26.6% | 33.0% | -6.4% | 27.7% | -1.1% | 29.8% | 32.3% | -2.5% | |
Equity Options | 22.9% | 26.2% | -3.3% | 22.3% | 0.6% | 24.2% | 27.6% | -3.4% | |
Index Options | 94.3% | 92.8% | 1.5% | 93.7% | 0.6% | 93.8% | 91.2% | 2.6% | |
ETF Options | 15.3% | 26.7% | -11.4% | 19.9% | -4.6% | 21.8% | 26.0% | -4.2% | |
- Index options —
CBOE 2010 market share was 93.8 percent, up 2.6 percentage points from 2009. - Equity options —
CBOE 2010 market share was 24.2 percent, down 3.4 percentage points from 2009. - ETF options —
CBOE 2010 market share was 21.8 percent, down 4.2 percentage points from 2009. - See additional
CBOE market share by product details forDecember 2010 in the table above.
C2 Trading Volume and Market Share:
- C2, which began trading on
October 29, 2010 , posted 3.6 million contracts, an ADV of 82,000 contracts. - C2 trading volume during December totaled over 2.4 million contracts, an ADV of 111,000 contracts.
- Using a measured rollout to introduce options classes, C2 listed 356 options classes by the end of 2010. The listed options classes represent 81 percent of all U.S. options volume.
C2 Trading Volume | Year-To-Date | ||||||
(trades in thousands) | December 2010 | December 2009 | % Chg | November 2010 | % Chg | December 2010 | |
Trading Days | 22 | 22 | 21 | 44 | |||
Total C2 | 2,442.8 | --- | --- | 1,167.0 | 109% | 3,610.5 | |
Total C2 ADV | 111.0 | --- | --- | 55.6 | 100% | 82.1 | |
Equity Options | 1,218.6 | --- | --- | 363.5 | 235% | 1,582.8 | |
Equity Options ADV | 55.4 | --- | --- | 17.3 | 220% | 36.0 | |
ETF Options | 1,224.2 | --- | --- | 803.5 | 52% | 2,027.7 | |
ETF Options ADV | 55.6 | --- | --- | 38.3 | 45% | 46.1 | |
C2 Market Share: C2's market share of total U.S. options volume in 2010 was 0.1 percent. In
C2 Market Share | Year-To-Date | ||||||
December 2010 | December 2009 | % pt. Chg | November 2010 | % pt. Chg | December | ||
Total C2 | 0.7% | --- | --- | 0.3% | 0.4% | 0.1% | |
Total Exchange | 0.8% | --- | --- | 0.3% | 0.5% | 0.1% | |
Equity Options | 0.6% | --- | --- | 0.2% | 0.4% | 0.1% | |
ETF Options | 1.0% | --- | --- | 0.7% | 0.3% | 0.2% | |
CFE Trading Volume
2010 Volume:
CBOE Futures Exchange posted a record 4,402,378 contracts traded in 2010, up 281 percent over 2009 volume of 1,155,318 contracts and up 279 percent over the previous annual record of 1,161,019 contracts traded in 2008. Average daily volume in 2010 was 17,470 contracts, up 281 percent versus ADV of 4,585 contracts in 2009.- Volume in VIX futures in 2010 totaled a new record of 4,392,446 contracts traded, up 284 percent from the previous high of 1,144,188 contracts in 2009. Average daily volume for the year was a new high of 17,430 contracts, surpassing the 4,540 contracts per day in 2009 by 284 percent.
- December was the second-busiest month ever at CFE as 556,250 contracts changed hands, an increase of 294 percent over the 141,002 contracts traded in
December 2009 . Average daily volume for December was 25,284 contracts, up versus the 6,410 contracts per day inDecember 2009 , but down from the record average daily volume of 35,785 contracts duringNovember 2010 . - December was the fifteenth consecutive month of year-over-year volume increases at CFE.
- VIX futures volume posted a record 555,494 contracts in December, exceeding the 140,781 contracts traded in
December 2009 by 295 percent. Average daily volume in VIX futures during December was 25,250 contracts, versus ADV 6,399 contracts inDecember 2009 and the record 35,758 contracts per day fromNovember 2010 .
CBOE Holdings Average Transaction Fee Per Contract:
The following represents average transaction fee per contract based on a three-month rolling average, reported on a one-month lag. The average transaction fee per contract represents total transaction fees for
(In dollars) | Three-Month Period Ended | ||||
Product: | Nov 2010 | Oct 2010 | Sept 2010 | Aug 2010 | |
Equities | $0.179 | $0.180 | $0.182 | $0.180 | |
Indexes | 0.592 | 0.592 | 0.598 | 0.597 | |
Exchange Traded Funds | 0.228 | 0.228 | 0.236 | 0.233 | |
Total Options Average Transaction Fee Per Contract | 0.292 | 0.296 | 0.300 | 0.296 | |
Futures | 1.674 | 1.669 | 1.661 | 1.600 | |
Total Average Transaction Fee Per Contract | $0.300 | $0.302 | $0.306 | $0.301 | |
CBOE®,