Good Day friends of CBOE, Jay Caauwe back with the February volume report at CFE, the CBOE Futures Exchange where average daily volume in futures on the CBOE Volatility Index® and total exchange-wide ADV at CFE reached record levels in February 2014.
We saw ADV in VIX futures reach a new record of 216,797 contracts during February, representing a 35-percent increase from February 2013 and a three-percent increase from January. February’s ADV topped the previous ADV record of 210,674 contracts in June 2013. February trading volume in VIX futures totaled 4.12 million contracts, a 35-percent increase from February 2013. When compared to January, which experienced record volume and had two additional trading days, February volume decreased six percent.
Also of note during February was exchange-wide ADV with a new high of 217,029 contracts, a 34-percent increase from a year ago and a three-percent increase from January. February’s ADV surpassed the previous monthly ADV record of 211,022 contracts in June 2013. Exchange-wide total volume during the month was 4.12 million contracts, a 34-percent increase from February 2013. When compared to January, which experienced record volume and had two additional trading days, February volume decreased six percent.
And don’t forget that on February 13, CBOE Futures Exchange launched trading of futures with weekly expirations on the CBOE Short-Term Volatility IndexSM (VXSTSM). Like CBOE’s flagship CBOE Volatility Index (VIX), the “Short-Term VIX” Index reflects investors’ consensus view of expected stock market volatility using CBOE’s proprietary VIX methodology. The VIX Index uses S&P 500 Index (SPX) monthly options in its calculation to measure expectations of 30-day volatility, while the VXST Index uses SPX options that expire every week (including SPX Weeklys) to gauge expectations of nine-day volatility.