Record Index Options Volume in October Reflects Demand for Risk Management Tools

In my discussions with institutional investors I often hear questions and comments about market liquidity and capacity, particularly in times of market volatility. To help answer these questions I often turn to data on contract volume, and I note that much of the volume for index options is related to portfolio or risk management strategies.

In October the average daily volume (ADV) numbers — (1) for S&P 500® (SPX) options rose to all-time record of 1,306,801 in Oct. (up 58% over the previous month), and (2) for VIX options rose to 852,402 (up 53% over previous month).

4441-SPX & VIX option a d v thr Oct

A recent CBOE press release noted a number of new records in October –

“CBOE’s October volume totaled an all-time high for any month – 144.55 million contracts – surpassing the previous record of 144.03 million contacts from August 2011. ADV was a record 6.28 million contracts, a 26-percent increase from October 2013 and a 35-percent increase from September 2014. Index options ADV was a record 2.29 million contracts, a 31-percent increase from October 2013 and a 56-percent increase from September 2014. Index options volume set a new single-day record on October 15, with 4.75 million contracts traded. In S&P 500 Index (SPX) options, October ADV was a record 1.31 million contracts, and on October 15, SPX options set a new daily volume record with 2.69 million contracts traded. …”


Below are four line charts that show October price movements for a total of six volatility indexes. Futures and options are offered for five of the volatility indexes, and futures on the VXTYN Index are expected to be launched this month (subject to regulatory review).

The closing values of the VIX rose from 14.46 on October 6, to 29.26 on October 16.  As shown in the first chart below, the VIX November 2014 futures usually were in contango the first and last weeks of October, and were in backwardation on mid-October.

4442-SPX & VIX VXEWZ  in Oct

The CBOE Brazil ETF Volatility Index (VXEWZ) fell from its all-time daily closing high of 72.83 on October 20, to 31.30 after the presidential election. The CBOE Short-Term Volatility Index (VXST) hit a daily closing high of 31.12 on October 15.

The daily closing highs in October were 37.23 for the CBOE Crude Oil ETF Volatility Index (OVX) and 21.54 (on Halloween) for the CBOE Gold ETF Volatility Index (GVZ).



The CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) rose 22.3% on October 15 as worldwide stock markets were rattled mid-month.   An October 17 story at reported that –

“Treasuries surged, with volatility climbing the most since the “taper tantrum” of 2013, as speculation that slowing global growth may restrain the U.S. economy led traders to raise bets the Federal Reserve will delay interest-rate increases.”


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