VIX Futures Volume in Top 5

With the S&P 500 under a little pressure today there was a Top 5 volume day recorded in the VIX Futures arena. Preliminary volume shows 169,635 VIX Futures changed hands with the bulk of the volume divided at about 55,000 each for November and December futures. November contracts expire next Wednesday the 21st just in time for Thanksgiving. The top 5 volume days in VIX Futures are –

September 13, 2012 – 190,081

October 23, 2012 – 179,855

November 7, 2012 – 179,761

November 14, 2012 – 169,635 (today)

September 14, 2012 – 164,846

 

As rolling to December seems to be dominating I will be keeping an eye on trading tomorrow to see if we get another heavy volume day.

Russell Rhoads, CFA

The Options Institute – CBOE