Trading volume in VIX futures reaches all-time high for second consecutive month
Average daily volume (ADV), total volume and single-day volume in futures on the CBOE Volatility Index (VIX) reached all-time highs during February 2013.
The same records were also set for total exchange-wide trading.
Average daily volume in VIX futures during February reached an all-time high of 161,176 contracts. This record ADV topped the 66,924 contracts per day in February 2012 by 141 per cent and January's ADV of 137,988 contracts, the previous record, by 17 per cent. VIX futures experienced its two most-active trading days on consecutive days during the month: 302,278 contracts on 25 February – the first time that single-day volume topped the 300,000-contract-mark – and 299,566 contracts on 26 February. The previous single-day volume record for VIX futures was 221,323 contracts on 2 January, 2013.
The 3,062,344 total VIX futures contracts traded during February was an increase of 129 per cent from the 1,338,471 contracts traded in February 2012. February's volume rose six per cent from the record 2,897,739 contracts traded in January – even with two fewer trading days during the month. February was the first time that total monthly volume in VIX futures eclipsed the three-million-contract mark and the sixth consecutive month volume surpassed the two-million-contract mark.
Total exchange-wide monthly ADV during February reached a new high for a second straight month. The record 162,514 contracts during the month was a gain of 142 per cent from February 2012 ADV of 67,038 contracts and up 17 per cent from the ADV of 139,410 contracts in January, the previous record. CBOE Futures Exchange set new single-day volume records on consecutive days during the month: 302,986 contracts on 25 February and 300,271 contracts on 26 February, surpassing the previous high of 226,951 contracts on 2 January 2013. This was the first time that single-day volume topped the 300,000-contract-mark at CBOE Futures Exchange.
Exchange-wide trading during February totalled 3,087,775 contracts, up 130 per cent from the February 2012 volume of 1,340,758 contracts and an increase of five per cent from the previous record of 2,927,613 contracts traded during January. February marked the first time that total volume at CBOE Futures Exchange exceeded three million contracts traded.
CFE's London Hub went live on 1 February. The Hub is a cross connection (telephone switch and communication lines) from the Equinix facility in England to the CBOE Command Center at the Equinix facility in New Jersey. The Hub provides direct access to CFE's trading system and market data, as well as index data made available by Market Data Express.