All-time Volume for VIX Futures in Extended Trading Hours (ETH) Tops 1.1 Million

Extended Trading Hours (ETH) are now offered for futures on the CBOE Volatility Index® (VIX®) during the following time periods —

  • 2:00 a.m. to 8:30 a.m. Monday through Friday CT (Chicago time)
  • 3:30 p.m. to 4:15 p.m. Monday through Thursday CT (Chicago time)

These ETH sessions have been in place since October 2013.  In a Sept. 30, 2013, press release, CBOE Holdings Chief Executive Officer Edward T. Tilly commented “We are pleased to provide our European customers with the opportunity to trade VIX futures during local trading hours, but we also believe our entire global base of VIX users will benefit by extended trading hours.”

Here are some volume facts re: ETH:

  • Total volume for VIX futures during Extended Trading Hours (ETH) since October 2013 has topped 1.1 million contracts.
  • Average daily volume for VIX futures during ETH so far in 2014 is more than 16,800 contracts.

THREE CHARTS COVERING THE PAST 37 BUSINESS DAYS

Below are three charts that all cover the past 37 business days.  The top chart shows daily volume for VIX futures during ETH business days.  Note that the session from 3:30 to 4:15 PM Chicago time marks the start of the next business day, and that session does not occur on Friday afternoons (and so there is no volume indicated for the session on the Monday business days).

It is interesting to interrelate the data of all three charts below; big volume days often can coincide with big moves in volatility indexes. As shown in top chart, the top two days for VIX futures ETH trading volume were —

o          51,984 on Jan. 31, 2014, and

o          37,219 on March 3, 2014 (when the Ukraine crisis was heating up).

On Feb. 3 the VXST Index rose 24% to close at 23.95 (its highest close of 2014 YTD), and the VIX rose 16.5% to close at 21.44 (its highest close of 2014 YTD).  On March 3 the VXST rose 24.4% and the VIX rose 14.3%.  moran 1

MORE INFORMATION

Extended Trading Hours (ETH) will be discussed by institutional investors at –

The 30th Annual CBOE Risk Management Conference (RMC) on March 17-19, 2014, at Hyatt Regency Coconut Point in Bonita Springs, Florida; and

  • The 3rd Annual CBOE Risk Management Conference Europe in early September (more details will be posted at www.cboermc.com in the future).

To learn more about the VIX Index, VIX futures and Extended Trading Hours, please visit www.cboe.com/VIX.  Diane Hettwer contributed to this article

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Matt Moran

Matt Moran is vice president of business development for Chicago Board Options Exchange (CBOE), where he communicates with pension funds, mutual funds, and financial advisors. He has delivered more than 200 presentations worldwide on the topics of managing volatility and adding income with option-writing strategies. Previously,…