Total monthly volume in futures on the CBOE Volatility Index (VIX) reached an all-time high for a second consecutive month in October 2012.
The record trading activity in VIX futures also drove total volume at CFE to a new all-time high.
Total monthly trading activity in VIX futures during October was a new all-time high of 2,443,878 contracts, a gain of 172 per cent from the 897,966 contracts traded in October 2011 and up two per cent from the 2,400,552 contracts during September, which had been the previous record.
In October, average daily volume (ADV) in VIX futures totalled 116,375 contracts, an increase of 172 per cent over the 42,760 contracts per day October 2011 and down eight per cent versus the record ADV of 126,345 contracts in September 2012. The month was shortened by two trading days as a result of equity market closures on 29 and 30 October due to the East Coast hurricane.
Year to date through October, total volume in VIX futures stands 76 per cent ahead of the same time period a year ago – 18.6 million contracts versus 10.6 million contracts. Average daily volume in VIX futures year to date is 77 per cent ahead of 2011 year-to-date — 89,043 contracts per day compared to 50,276 contracts per day.
Total trading volume at CFE during October was 2,449,414 contracts, a new record, and surpassing the 899,108 contracts traded in October 2011 by 172 per cent. When compared to the 2,410,549 contracts traded in September, which had been the previous CFE record, October trading volume rose two per cent.
Total exchange-wide ADV during October was 116,638 contracts, topping the ADV of 42,814 contracts in October 2011 by 172 per cent. October’s ADV was eight per cent below the record ADV of 126,871 contracts in September.