The CBOE Futures Exchange, LLC (CFE®) today announced that trading volume in futures on the CBOE Volatility Index® (the VIX® Index) during July 2012 totaled nearly two million contracts, well ahead of July 2011 and down from a record June 2012.
Trading volume in VIX futures totaled 1,913,951 contracts during July 2012, an increase of 64 percent from 1,169,064 contracts traded in July 2011. When compared to the record 2,154,325 VIX futures contracts traded during June, July volume decreased by 11 percent.
July 2012 average daily volume (ADV) in VIX futures was 91,140 contracts, a gain of 56 percent from 58,453 contracts ADV in July 2011. When compared to the record ADV of 102,587 contracts in June 2012, July ADV declined by 11 percent.
Year to date through July, trading volume in VIX futures stands at 11,856,234 contracts, 80 percent ahead of 6,851,069 contracts traded January through July 2011.
The top four most active trading months for VIX futures have all occurred during 2012, with July 2012 ranking as the fourth most-active month ever. The robust trading volume during July came on the heels of a record-breaking June 2012, which saw new all-time highs set for total monthly volume, total average daily volume, single-day volume and weekly volume in VIX futures trading.
VIX Index Futures Volume Summary |
Year-To-Date |
|||||||
Jul-12 |
Jul-11 |
% Chg |
Jun-12 |
% Chg |
Jul-12 |
Jul-11 |
% Chg |
|
Trading Days |
21 |
20 |
21 |
146 |
145 |
|||
VIX Total |
1,913,951 |
1,169,064 |
64% |
2,154,325 |
-11% |
11,856,234 |
6,581,069 |
80% |
VIX ADV |
91,140 |
58,453 |
56% |
102,587 |
-11% |
81,207 |
45,386 |
79% |
July trading volume at CFE totaled 1,919,122 contracts for the month, surpassing 1,170,656 contracts traded a year ago by 64 percent. When compared to the 2,168,751 contracts traded during June, an all-time high, July volume at CFE dipped 12 percent.
July ADV at CFE was 91,386 contracts, up 56 percent from 58,532 contracts per day during July 2011 and down 12 percent from the record ADV of 103,274 contracts in June.