VIX Futures Records in 2012; Open Interest Up 159% and Volume Up 99%

In 2012 many investors desired to manage volatility and risk, and futures on the CBOE Volatility Index® (VIX®) set a number of volume and open interest records in 2012:

Average daily volume for VIX futures rose from 47,744 in 2011 to a record 95,143 in 2012 (an increase of 99%). VIX futures volume has increased in each of the past six years (see Chart 1 below).

Year-end open interest for VIX futures rose from 125,881 in 2011 to a record 326,066 in 2012 (an increase of 159%).

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After comparing Charts 2, 3, and 4 below, one could raise the issue – do VIX futures tend to have higher volume on days when VIX is high, low, and/or changing? The two tables below show days with high VIX volume and big VIX changes (in percentage terms). It is interesting to note that the highest volume days have occurred recently, as VIX dropped in response to the implementation of the fiscal cliff legislation. Some VIX volume on the recent record days probably is attributable to investors wishing to lock in a relatively low price for long VIX futures positions as a way to diversify their overall portfolios.

Five Days with Highest VIX Futures Volume Since August 2011
Date VIX Futures Volume VIX Daily Close VIX Daily % Change
2-Jan-2013 221,323 14.68 -18.5%
31-Dec-2012 212,800 18.02 -20.7%
13-Sep-2012 190,081 14.05 -11.1%
23-Oct-2012 179,855 18.83 13.3%
7-Nov-2012 179,761 19.08 8.5%

Eight Days on which VIX Changed More Than 20% (Up or Down) Since August 2011
Date VIX Futures Volume VIX Daily Close VIX Daily % Change
8-Aug-2011 138,959 48.00 50.0%
4-Aug-2011 137,132 31.66 35.4%
18-Aug-2011 98,813 42.67 35.1%
9-Nov-2011 62,425 36.16 31.6%
10-Aug-2011 102,588 42.99 22.6%
31-Oct-2011 37,631 29.96 22.1%
31-Dec-2012 212,800 18.02 -20.7%
9-Aug-2011 125,387 35.06 -27.0%

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