The Options Insider

CFE: VIX Futures Trading Volume Hits All-Time Highs in January

by | Feb 5, 2014 | Industry

This week, the?CBOE Futures Exchange, LLC (CFE?) reported that January 2014?was the most-active trading month for futures on the CBOE Volatility Index??(VIX??Index).? Total exchange-wide volume at CFE also reached a new all-time high during January. ? ?

Here’s some breakdowns.

VIX Futures ??

  • January trading volume in VIX futures totaled a record 4.40 million contracts, a 52-percent increase from?January 2013?and a 38-percent increase from December.? The previous monthly volume record was 4.21 million contracts traded in June 2013.?
  • Average daily volume (ADV) in VIX futures during January was 209,611 contracts, a 52-percent increase from?January 2013?and a 38-percent increase from December.?
  • January’s ADV ranks as the second-busiest monthly ADV of all-time, trailing the 210,674 contracts per day in June 2013.?

CFE

  • January exchange-wide trading volume at CFE reached a new all-time high of 4.41 million contracts, a 51-percent increase from?January 2013?and a 38-percent increase from December.?
  • Last month’s volume surpassed the previous exchange-wide monthly volume record of 4.22 million contracts in June 2013. ?
  • January monthly ADV January was 209,867 contracts, a 51-percent increase from a year ago and a 38-percent increase from December. ?January’s ADV ranks as the second-busiest monthly ADV of all-time, trailing only the 211,022 contracts per day in June 2013.?

In other news included in CFE’s January volume release is the impending launch of the CBOE Short-Term Volatility Index. As previously announced, the exchange will introduce the?trading of futures with weekly expirations on the new CBOE Short-Term Volatility IndexSM?(VXSTSM) on Thursday, February 13, pending regulatory review.

Similar to CBOE’s VIX, the “Short-Term VIX” Index reflects investors’ consensus view of expected stock market volatility using?CBOE’s proprietary VIX methodology.? The VIX Index uses S&P 500 Index (SPX) monthly options in its calculation to measure expectations of 30-day volatility, while the VXST Index uses SPX options that expire every week (including SPX Weeklys) to gauge expectations of nine-day volatility.? The VXST Index’s shorter time horizon makes it responsive to short-term volatility triggered by market events such as corporate earnings, government reports and Fed announcements.

Spot Trading will be the Designated Primary Market Maker (DPM) for the Short-Term VIX futures traded at CFE.