Extended Trading Hours Volume at Record High So Far This Month – By Matt Moran

CBOE will host the 3rd Annual Risk Management Conference Europe on September 3 – 5 at the beautiful Powerscourt Hotel in Ireland. I anticipate that one of the main topics at the conference will be – how can investors manage risk around the clock, especially during non-US trading hours?

CBOE has positive developments to report regarding management of risk around the clock. In 2010 CBOE Futures Exchange (CFE) began offering futures on the CBOE Volatility Index® (VIX®) during select limited Extended Trading Hours (ETH). Beginning in June 2014, VIX futures trading hours were expanded to nearly 24 hours a day, five days a week. For VIX futures, the Extended Trading Hours (ETH) run from the start of the new trading day at 3:30 PM, until 8:30 AM Chicago time the following day, and the regular trading hours run from 8:30 AM until 3:15 PM Chicago time.

In addition, CBOE plans to launch Extended Trading Hours for options on both the S&P 500® and the VIX indexes in late October 2014, contingent upon completion of systems enhancements and SEC approval.

So far in the month of August (through August 22), the average daily volume for VIX futures during ETH was 24,556 contracts, the highest number when compared to previous full calendar months.

VIX-ETH Aug 22Worldwide geopolitical tensions could have impacted the fact that average daily volume for VIX futures during ETH has risen each of the past 3 months. The table below provides a breakdown of VIX futures average daily volume this month during different daily time periods. When speaking with European investors next week, I plan to note that the average daily volume for VIX futures during the time period from 2:00 AM to 8:30 AM has been more than 17,000 so far in August.

VIX-ETH Aug 22 TableTo learn more about strategies to manage risk around the clock, please visit www.cboe.com/VIX and www.cboe.com/ETH.

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In the recent August 16 Striking Price column in Barron’s, Steven Sears authored a piece entitled “A New Vision of VIX” that noted – “Over the past 21 years, the CBOE Volatility Index, or VIX, has emerged as one of Wall Street’s most watched sentiment indicators. … Krag “Buzz” Gregory, a Goldman strategist, found that […]


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