The Options Insider

VIX Futures Reaches All-Time High in March

by | Apr 2, 2013 | Industry

In March for a third straight month,?CBOE Futures Exchange, LLC?(CFE?) announced that total volume in futures on the CBOE Volatility Index??(VIX?) and total exchange-wide trading reached new all-time highs.

VIX Futures

  • A record 3,220,977 VIX futures contracts traded during March, exceeding February’s 3,062,344 contracts–the previous record–by five percent. ?
  • February and March were the first two months in the exchange’s history to register more than three million VIX futures contracts traded. ?
  • Compared to last March’s 1,963,893 contracts traded, March volume rose by 64 percent.?
  • March monthly average daily volume (ADV) in VIX futures was 161,049 contracts, surpassing the previous year’s 89,268 contracts per day by 80 percent; this was essentially unchanged from February’s record 161,176 contract ADV. ?

CFE

  • For a third straight month, total CFE volume set a new record when 3,228,874 contracts traded.?
  • March’s volume increased 64 percent from March 2012’s 1,971,563 contracts; it rose five percent from the 3,087,775 contracts traded during February, the previous high.
  • March also represented the second consecutive month that total CFE volume exceeded three million contracts traded. ? ??
  • Exchange-wide monthly ADV during March was 161,444 contracts, up 80 percent from?March 2012’s ADV of 89,617 contracts and down just one percent from the record ADV of 162,514 contracts in February. ??

First Quarter 2013?

  • For VIX futures trading, total volume was a record 9,181,060 contracts, surpassing the previous high of 7,613,774 total contracts from 2012’s fourth quarter by 21 percent and up 123 percent from the 4,111,148 contracts traded during the first quarter of 2012. ?
  • VIX futures ADV was a record 153,018 contracts as compared to the 122,803 contracts in the previous quarter and 66,309 contracts in the same quarter from the previous year. ?
  • Exchange-wide, total volume hit a new high of 9,244,262 contracts–a fifth consecutive record quarter.
  • Quarterly trading volume surpassed the previous high of 7,640,062 total contracts during 2012’s fourth quarter by 21 percent; it increased 124 percent from the 4,123,587 contracts traded during the year earlier quarter.
  • ADV was a record 154,071 contracts as compared with 123,227 contracts in the previous quarter and 66,509 contracts year-over-year quarterly. ?