All-Time Record High Open Interest for VIX Futures – 501,835 on June 7

Futures on the CBOE Volatility Index® (VIX®), which launched in 2004, experienced some milestones regarding open interest in recent days –

*   VIX futures open interest surpassed 500,000 for the first time on June 6;
*   VIX Futures open interest hit a new all-time record high of 501,835 on June 7;
*   VIX Futures open interest is up 98.7% year-to-date (through June 7).
VIX Futures Open Interest June 7
VIX FUTURES VOLUME DURING EUROPEAN HOURS
VIX futures are available for trading more than 23 hours per day.
On June 7 the total daily volume for VIX futures was 230,694 contracts, and the VIX futures volume during the period from 2:00 a.m. to 7:00 a.m. (Chicago time) was 12,286 contracts.
2 - VIX Fut volume ETH   June 8
SKEW CHART FOR VIX OPTIONS
Below is a skew chart from Livevol that shows implied volatility estimates for VIX options at different expirations. I find it interesting to compare the June 22 (yellow line) and June 29 (green line) expirations, particularly in light of the upcoming June 23 Brexit referendum<http://www.cboeoptionshub.com/2016/06/07/bpvix-index-hits-highest-level-since-2009-investors-manage-brexit-risk/>.  Note that, according to this chart, the implied volatility for out-of-the-money puts and at-the-money options was highest for the VIX options expiring on June 29.

3 Livevol VIX Index June 8


MORE INFORMATION
To learn more about ways in which VIX futures and options can help you manage the volatility in your portfolio, please visit
www.cboe.com/VIX<http://www.cboe.com/VIX>.