VXEEM Futures – 1,106 Trading Volume on the 3rd Day of Trading

Trading volume for security futures on the CBOE Emerging Markets ETF Volatility Index (VXEEM; futures ticker VXEM) was 1,106 contracts yesterday, January 11th, (the third day of trading). www.cboe.com/VXEEM

(In contrast, the trading volume for VIX® futures was 191 contracts on March 30, 2004, its 3rd day of trading.)

In addition, options on the VXEEM Index might be launched in future weeks, subject to regulatory approval.

VXEEM SETTLEMENT AND FUTURES VOLUME ON JAN. 11, 2012

While yesterday’s settlement value for the VXEEM Index (spot) was 29.82, the settlement value for the March 2012 futures was 34.10.

___________________Settlement___Volume

VXEEM Index spot______29.82

Feb. 2012 futures_______33.55________172  

Mar. 2012 futures_______34.10________330  

Apr. 2012 futures_______34.75________387  

May 2012 futures_______34.65________217

INTEREST IN VXEEM INDEX

Reasons for interest in the VXEEM Index include —

  • High Closing Value. The high daily closing value for the VXEEM Index in 2011 was 64.10 on October 3rd, and the low daily closing value was 20.59 on April 20th (in comparison, the high and low daily closing values for the CBOE Volatility Index® (VIX®) in 2011 were 48.00 and 14.62, respectively).
  • Large Upside Moves. The VXEEM Index had single-day upside moves of more than 30 percent on three days in 2011 — August 4th (up 34.2%), August 8th (up 35.5%), and Nov. 25th (up 30.4%).

 

CORRELATIONS TABLE

  • The daily moves for the VXEEM Index had a correlation of negative 0.81 versus both the EEM ETF and the S&P 500 (SPX) Index. This fact demonstrates that investors could explore the possibility of using the VXEEM as a diversification tool.

 

 

VXEEM GRAPHS

The VXEEM Index rose to higher levels that the VIX Index in late 2011.

 

 

For more information on VXEEM, please visit www.cboe.com/VXEEM

Matt Moran