The Options Insider

VIX Futures ADV Set New Record In February

by | Mar 4, 2014 | Industry

The CBOE Futures Exchange, LLC (CFE?) has reported that average daily volume (ADV) in futures on the CBOE Volatility Index??(VIX??Index) and total exchange-wide ADV at CFE reached record levels in February 2014. ?

Here’s a look at the CFE’s February volume numbers.

VIX Futures

  • Average daily volume in VIX futures reached a record 216,797 contracts during February, a 35-percent increase from?February 2013?and a three-percent increase from January.?
  • ADV topped the previous ADV record of 210,674 contracts set in June 2013.
  • Trading volume in VIX futures totaled 4.12 million contracts, a 35-percent increase from February 2013.? When compared to January, which experienced record volume and had two additional trading days, February volume decreased six percent. ? ? ?

Total CFE Volume

  • Exchange-wide ADV during February was a new high of 217,029 contracts, a 34-percent increase from a year ago and a three-percent increase from January.
  • ADV surpassed the previous monthly ADV record of 211,022 contracts in June 2013.?
  • Exchange-wide total volume during the month was 4.12 million contracts, a 34-percent increase from February 2013.?
  • When compared to January, which experienced record volume and had two additional trading days, February volume decreased six percent. ? ? ?

In other February news, on?February 13, CFE launched trading of futures with weekly expirations on the CBOE Short-Term Volatility IndexSM?(VXSTSM). ?Similar to the 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 particularly responsive to short-term volatility triggered by market events such as corporate earnings, government reports and Fed announcements.?