VIX Futures Volume is Up 67% This Year

Average daily volume for futures on the CBOE Volatility Index® (VIX®) rose in the first half of this year to 79,586 (67% higher than the average daily volume in the year 2011).

The CBOE Futures Exchange, (CFE) announced that June 2012 was the most-active trading month in CFE history and the second consecutive month of record trading volume at the exchange.  This was driven by record volume in futures on the CBOE Volatility Index (the VIX Index), with June 2012 trading in VIX futures up 85 percent over a year ago.  New all-time highs were established in total monthly volume, monthly average daily volume (ADV), single-day volume and weekly volume — both exchange-wide and for VIX futures.  The week of June 18-22 was the busiest trading week in CFE history as a total of 659,930 contracts traded during the five days.  On Monday, June 18th, 160,552 contracts traded, a new all-time high for single-day. Trading activity in CBOE Volatility Index (the VIX Index) futures totaled a record 2,154,325 contracts during June 2012, an increase of 76 percent from the 1,222,257 contracts in June 2011 and up eight percent from the 2,000,154 contracts in May 2012.   


Trading volume in CBOE Crude Oil ETF Volatility Index (OVX) security futures totaled 3,290 contracts in June 2012, an increase of 65 percent from the 1,994 contracts in May.  The CBOE Crude Oil ETF Volatility Index measures the market’s expectation of 30-day volatility of crude oil prices by applying the VIX methodology to United States Oil Fund, LP exchange traded fund (USO) options.  OVX security futures were launched for trading on March 26, 2012.

Trading volume in CBOE Emerging Markets ETF Volatility Index (VXEM) security futures totaled 8,870 contracts during June 2012.  VXEM tracks the implied volatility of the iShares MSCI Emerging Markets Index exchange traded fund (EEM).  VXEM trading was launched on January 9, 2012.

CBOE NASDAQ-100 Volatility Index (VXN) futures began trading on May 23.  VXN, which measures the volatility of the NASDAQ-100 Index, is calculated through the application of CBOE’s VIX methodology to the prices of options on NDX.


Average daily volume for VIX options was 428,220 in the first half of 2012.