Record VIX Option Volume

Yesterday – September 11, 2012 was a record day for VIX option trading with approximately 1.22 million contracts traded. This surpasses the previous record of 1.17 million contracts back on August 5, 2011. This also marks only the third time that VIX option volume has surpassed 1 million contracts. The other day this occurred was last Friday – September 7, 2012. Average daily volume in VIX Index options has been around 423,000 contracts in 2012 up from the average daily volume of 391,000 in 2011.

A breakdown of the most active contracts from this record day appears with estimated volume is below –

Dec 24.00 Calls – 132,693
Nov 18.00 Puts – 121,220
Sep 20.00 Puts – 106,675
Oct 26.00 Calls – 104,890
Oct 28.00 Calls – 57,166
Oct 23.00 Calls – 45,050
Oct 35.00 Calls – 42,866
Nov 32.50 Calls – 40,251
Nov 28.00 Calls – 36,500
Sep 17.00 Puts – 31,144

Note the majority of actively traded options on this list are calls. The estimated volume breakdown on the day was 392,015 puts to 829,388 call options for a VIX put call ratio of 0.47. The average VIX put/call ratio this year has been around 0.63 so this high volume day was based on more calls relative to the number of puts trading on the day.

All CBOE Put/Call Ratio data is available at –

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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