CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that November 2012 consolidated trading volume for options contracts on Chicago Board Options Exchange® (CBOE®) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures Exchange SM (CFE®) totaled 91.31 million contracts.
- November 2012 average daily volume (ADV) for the three exchanges, combined, was 4.35 million contracts, a two-percent increase from 4.27 million contracts ADV inNovember 2011, and a six-percent increase from nearly 4.09 million contracts ADV in October 2012.
- Year to date through November, consolidated ADV for the three exchanges was 4.59 million contracts, down seven percent from 4.96 million contracts ADV for the same period a year ago.
CBOE Holdings Consolidated Trading Volume |
Year-To-Date |
|||||||
(trades in thousands) |
Nov-12 |
Nov-11 |
% Chg |
Oct-12 |
% Chg |
Nov-12 |
Nov-11 |
% Chg |
Trading Days |
21 |
21 |
21 |
230 |
231 |
|||
Total Contracts |
91,314.9 |
89,733.9 |
2% |
85,838.9 |
6% |
1,055,716.5 |
1,145,933.3 |
-8% |
Total Options Contracts |
88,570.7 |
88,911.2 |
-- |
83,389.5 |
6% |
1,034,276.9 |
1,134,290.9 |
-9% |
Total Futures Contracts |
2,744.2 |
822.8 |
234% |
2,449.4 |
12% |
21,446.4 |
11,392.4 |
88% |
Total ADV |
4,348.3 |
4,273.0 |
2% |
4,087.6 |
6% |
4,590.1 |
4,960.8 |
-7% |
Total Options ADV |
4,217.7 |
4,233.9 |
0% |
3,970.9 |
6% |
4,496.9 |
4,910.4 |
-8% |
Total Futures ADV |
130.7 |
39.2 |
234% |
116.6 |
12% |
93.2 |
49.3 |
89% |
CBOE Trading Volume and Market Share
CBOE Trading Volume:
- November ADV at CBOE was nearly 4.0 million contracts, about even with November 2011 and up six percent from October 2012 ADV of 3.8 million contracts. Year to date through November, ADV was 4.3 million contracts, down eight percent from the same period in 2011. Of particular note, in November, index options ADV rose 15 percent and 18 percent against November 2011 and October 2012, respectively.
- The five most actively traded index and ETF options at CBOE during November were S&P 500® Index (SPXSM) options, Standard & Poor's Depositary Receipt (SPY) options, CBOE Volatility Index® (VIX® Index) options, PowerShares QQQ Trust (QQQ) options and iShares Trust Russell 2000 Index Fund (IWM) options.
CBOE Trading Volume Current Month |
Year-To-Date |
|||||||
(trades in thousands) |
Nov-12 |
Nov-11 |
% Chg |
Oct-12 |
% Chg |
Nov-12 |
Nov-11 |
% Chg |
Trading Days |
21 |
21 |
21 |
230 |
231 |
|||
Total Exchange |
83,704.1 |
84,075.1 |
-- |
79,104.3 |
6% |
987,466.4 |
1,081,460.6 |
-9% |
Total Exchange ADV |
3,985.9 |
4,003.6 |
-- |
3,766.9 |
6% |
4,293.3 |
4,681.6 |
-8% |
Equity Options |
31,760.3 |
33,482.8 |
-5% |
35,050.9 |
-9% |
445,777.5 |
467,700.8 |
-5% |
Equity Options ADV |
1,512.4 |
1,594.4 |
-5% |
1,669.1 |
-9% |
1,938.2 |
2,024.7 |
-4% |
Index Options |
29,360.8 |
25,639.3 |
15% |
24,872.9 |
18% |
277,249.8 |
299,602.7 |
-7% |
Index Options ADV |
1,398.1 |
1,220.9 |
15% |
1,184.4 |
18% |
1,205.4 |
1,297.0 |
-7% |
ETF Options |
22,583.1 |
24,953.1 |
-9% |
19,180.4 |
18% |
264,439.1 |
314,157.0 |
-16% |
ETF Options ADV |
1,075.4 |
1,188.2 |
-9% |
913.4 |
18% |
1,149.7 |
1,360.0 |
-15% |
Expanded November 2012 volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.
CBOE Market Share:
CBOE November market share was 25.0 percent, up 0.6 of a percentage point when compared against both November 2011 and October 2012. If the volume from dividend trades was excluded from industry data for November 2012, CBOE's total market share would be 25.8 percent.
Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.
C2 Options Exchange Trading Volume and Market Share
CBOE Market Share Current Month |
Year-To-Date |
|||||||
Nov-12 |
Nov-11 |
% Pt. |
Oct-12 |
% Pt. |
Nov-12 |
Nov-11 |
% Pt. |
|
Total Exchange |
25.0% |
24.4% |
0.6% |
24.4% |
0.6% |
26.8% |
25.5% |
1.3% |
Total Exchange |
25.8% |
25.3% |
0.5% |
25.4% |
0.4% |
27.9% |
26.3% |
1.6% |
Equity Options |
17.4% |
18.7% |
-1.3% |
17.9% |
-0.5% |
21.2% |
20.5% |
0.7% |
Equity Options |
20.1% |
20.6% |
-0.5% |
20.4% |
-0.3% |
23.6% |
22.0% |
1.6% |
Index Options |
93.9% |
95.5% |
-1.6% |
94.5% |
-0.6% |
94.1% |
94.8% |
-0.7% |
Index Options |
93.3% |
95.5% |
-2.2% |
93.9% |
-0.6% |
93.7% |
94.8% |
-1.1% |
ETF Options |
18.6% |
18.1% |
0.5% |
18.8% |
-0.2% |
20.4% |
19.1% |
1.3% |
ETF Options |
18.6% |
18.1% |
0.5% |
18.8% |
-0.2% |
20.6% |
19.3% |
1.3% |
C2 Trading Volume:
In November 2012, ADV on C2 Options Exchange was 231,700 contracts, up 14 percent from October 2012 ADV of 204,100 contracts and up one percent from 230,300 contracts ADV in November 2011.
C2 Trading Volume Current Month |
Year-To-Date |
|||||||
(trades in thousands) |
Nov-12 |
Nov-11 |
% Chg |
Oct-12 |
% Chg |
Nov-12 |
Nov-11 |
% Chg |
Trading Days |
21 |
21 |
21 |
230 |
231 |
|||
Total Exchange |
4,866.7 |
4,836.0 |
1% |
4,285.2 |
14% |
46,810.4 |
48,936.0 |
-4% |
Total Exchange ADV |
231.7 |
230.3 |
1% |
204.1 |
14% |
203.5 |
211.8 |
-4% |
Equity Options |
1,946.7 |
1,604.6 |
21% |
1,731.9 |
12% |
18,779.5 |
17,525.8 |
7% |
Equity Options ADV |
92.7 |
76.4 |
21% |
82.5 |
12% |
81.6 |
75.9 |
8% |
Index Options |
106.0 |
110.5 |
-4% |
142.5 |
-26% |
1,353.3 |
210.8 |
NA |
Index Options ADV |
5.0 |
5.3 |
-4% |
6.8 |
-26% |
5.9 |
5.1 |
14% |
ETF Options |
2,814.0 |
3,120.9 |
-10% |
2,410.9 |
17% |
26,677.7 |
31,199.4 |
-14% |
ETF Options ADV |
134.0 |
148.6 |
-10% |
114.8 |
17% |
116.0 |
135.1 |
-14% |
C2 Market Share:
In November 2012, C2's market share was 1.5 percent, up 0.1 of a percentage point from November 2011 and up 0.2 of a percentage point from October 2012.
C2 Market Share Current Month |
Year-To-Date |
|||||||
Nov-12 |
Nov-11 |
% Pt. Chg |
Oct-12 |
% Pt. |
Nov-12 |
Nov-11 |
% Pt. |
|
Total Exchange |
1.5% |
1.4% |
0.1% |
1.3% |
0.2% |
1.3% |
1.2% |
0.1% |
Total Exchange |
1.5% |
0.9% |
0.6% |
1.4% |
0.1% |
1.3% |
1.2% |
0.1% |
Equity Options |
1.1% |
0.9% |
0.2% |
0.9% |
0.2% |
0.9% |
0.8% |
0.1% |
Equity Options |
1.1% |
1.0% |
0.1% |
0.9% |
0.2% |
0.9% |
0.8% |
0.1% |
Index Options |
0.3% |
0.4% |
-0.1% |
0.5% |
-0.2% |
0.5% |
0.7% |
-0.2% |
Index Options |
0.4% |
0.4% |
-- |
0.6% |
-0.2% |
0.5% |
0.1% |
0.4% |
ETF Options |
2.3% |
2.3% |
-- |
2.4% |
0.1% |
2.1% |
1.9% |
0.2% |
ETF Options |
2.3% |
2.3% |
-- |
2.4% |
-0.1% |
2.1% |
1.9% |
0.2% |
CBOE Futures Exchange Trading
- In November, total trading volume and average daily volume for CBOE Volatility Index® (VIX®) futures reached new all-time highs for any month in CFE's history.
- A record 2,734,248 VIX futures contracts changed hands in November, beating the October 2012 record of 2,443,878 contracts by 12 percent.
- In year-over-year comparisons, total VIX futures volume in November rose by 233 percent from November 2011 volume of 822,017 contracts.
- VIX futures average daily volume in November also marked an all-time record for any month as an average of 130,202 VIX futures contracts changed hands daily. This figure was 233 percent higher than 39,144 contracts ADV in November 2011.
- Year to date through November, total VIX futures volume of 21.3 million contracts is up 86 percent versus the same period a year ago.
CBOE Holdings Average Transaction Fee Per Contract
The following represents the average transaction fee per contract based on a three-month rolling average, reported on a one-month lag. The average transaction fee per contract represents total transaction fees for CBOE, C2 and CFE recognized for the period divided by total contracts traded on all three exchanges during the period. Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.
(In Dollars) |
Three-Month Period Ended |
|||
Product: |
Oct-12 |
Sep-12 |
Aug-12 |
Jul-12 |
Equities |
$0.121 |
$0.118 |
$0.122 |
$0.124 |
Indexes |
$0.675 |
$0.682 |
$0.684 |
$0.680 |
Exchange Traded Funds |
$0.180 |
$0.177 |
$0.177 |
$0.177 |
Total Options Average Transaction Fee Per Contract |
$0.294 |
$0.287 |
$0.286 |
$0.289 |
Futures |
$1.573 |
$1.606 |
$1.626 |
$1.598 |
Total Average Transaction Fee Per Contract |
$0.326 |
$0.317 |
$0.315 |
$0.316 |