CBOE GLOBAL MARKETS CHICAGO, Dec. 1, 2014 /PRNewswire/ -- CBOE Futures Exchange, LLC (CFE(®)) today reported that November 2014 monthly average daily volume (ADV) and monthly total volume in trading of futures on the CBOE Volatility Index(®) (VIX(® )Index) rose over year-ago levels.
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VIX Futures
November average daily volume in VIX futures was 140,325 contracts, up 11 percent from November 2013 and down 57 percent from October's record ADV. Total volume in VIX futures for November was 2.67 million contracts, up six percent from November 2013 and down 64 percent from October, which was an all-time high for monthly volume. Year-to-date total volume in VIX futures is 24 percent ahead of the same time period in 2013.
CFE Monthly Volume Summary Year-To-Date
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November November % October % November November %
2013 Chg Chg Chg
2014 2014 2014 2013
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Trading
Days 19 20 23 230 231
------- --- --- --- --- ---
VIX Index Futures
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Total 2,666,173 2,522,828 6% 7,446,507 -64% 45,545,484 36,748,760 24%
----- --------- --------- --- --------- --- ---------- ---------- ---
ADV 140,325 126,141 11% 323,761 -57% 198,024 159,086 24%
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CFE Total Exchange
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Total 2,670,992 2,561,432 4% 7,458,697 -64% 45,622,406 36,992,205 23%
----- --------- --------- --- --------- --- ---------- ---------- ---
ADV 140,579 128,072 10% 324,291 -57% 198,358 160,139 24%
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Total CFE
November exchange-wide ADV was 140,579 contracts, a ten-percent increase from a year ago and a 57-percent decrease from the record ADV in October. Exchange-wide total volume during the month was 2.67 million contracts, a four-percent increase from November 2013 and a 64-percent decrease from October's record total volume.
Futures on VXTYN Index
CBOE Futures Exchange launched futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index(SM) (VXTYN(®) Index) in November. The VXTYN Index, on which futures on VXTYN is based, is calculated by applying the CBOE Volatility Index (VIX Index) methodology to futures options data from CME Group's 10-year U.S. Treasury note contract -- one of CME Group's most active interest rate options products. In May 2013, CBOE began disseminating values on the VXTYN Index as part of an agreement between CBOE and CME Group. For more information on VXTYN futures and the VXTYN Index, see www.cboe.com/VXTYN.
About CBOE Futures Exchange
CBOE Futures Exchange currently offers ten contracts: CBOE Volatility Index (VIX Index) futures (VX), CBOE Short-Term Volatility Index (VXST) futures (VSW), S&P 500 Variance futures (VA), CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) futures (VXTY), CBOE NASDAQ-100 Volatility Index (VXN) futures (VN), CBOE Russell 2000 Volatility Index (RVX) futures (VU), CBOE Gold ETF Volatility Index (GVZ) security futures (GV), CBOE Crude Oil ETF Volatility Index (OVX) security futures (OV), CBOE Emerging Markets ETF Volatility Index (VXEEM) security futures (VXEM) and CBOE Brazil ETF Volatility Index (VXEWZ) security futures (VXEW).
CFE, a wholly-owned subsidiary of CBOE Holdings, Inc. (NASDAQ: CBOE), offers an all-electronic, open-access market model, with traders providing liquidity and making markets. CFE is regulated by the Commodity Futures Trading Commission (CFTC) and all trades are cleared by the OCC. More information on CFE and its products, including contract specifications, can be found at: http://cfe.cboe.com/.
CBOE-EF
CBOE(®), Chicago Board Options Exchange(®), CFE(®), Execute Success(®), CBOE Volatility Index(®), VIX(®) and VXTYN(®) are registered trademarks, and CBOE Futures Exchange(SM), CBOE Short-Term Volatility Index(SM), U.S. Treasury Note Volatility Index(SM), CBOE Nasdaq-100 Volatility Index(SM), VXN(SM), VN(SM), CBOE Brazil ETF Volatility Index(SM), VXEW(SM), VXEWZ(SM), CBOE Crude Oil ETF Volatility Index(SM), OVX(SM), OV(SM), CBOE Emerging Markets ETF Volatility Index(SM), VXEM(SM), VXEEM(SM), CBOE Gold ETF Volatility Index(SM), GVZ(SM), GV(SM), CBOE Russell 2000 Volatility Index(SM), RVX(SM), VA(SM), VU(SM), VX(SM) and VXST(SM) are service marks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's(®), S&P(®) and S&P 500(®) are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE and CFE. Nasdaq(®) and Nasdaq-100(®) are registered trademarks of The Nasdaq Stock Market, Inc. and have been licensed for use by CBOE and CFE.
CBOT is a trademark of CME Group, Inc. (CME). CBOE has, with the permission of CME, used such trademark in the CBOE/CBOT 10 Year U.S. T-Note Volatility Index. CME makes no representation regarding the advisability of investing in any investment product that is based on such index.
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SOURCE CBOE Futures Exchange, LLC
