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2 Comments
In your opinion, does the volume in the VIX futures increase as the VXX moves lower? If yes, is it because it necessitates more shares being traded because of the daily roll adjustment?
Thank you for you quick response.The price action in VXX does not necessarily result in higher VIX volume. However, the record inflows that VIX related Exchange Traded Products have experienced definitely does contribute to the increased volume. Another contributor to record VIX futures volume is the record volume in VIX options as the market makers use VIX futures as hedging vehicles when providing liquidity in that market.
Record VIX Futures Volume
Earlier this week (Tuesday) we witnessed record volume in VIX Options and now the VIX Futures trading at the CBOE Futures Exchange have followed suit. On Thursday the CFE experience a record volume day of its own with strong volume in the VIX Futures arena. At the CFE just over 190,000 VIX Futures were traded shattering the previous record of just under 160,000 contracts which occurred back on June 18, 2012. Average VIX Futures volume for 2012 is running at slightly over 83,000 contracts a day. Currently, there are contracts listed that expire on a monthly basis from September 2012 through May 2013. A month by month volume breakdown follows –
September 2012 63251
October 2012 62417
November 2012 23819
December 2012 13236
January 2013 10100
February 2013 8475
March 2013 6598
April 2013 1434
May 2013 751
What is a bit amazing is this record volume occurred on a day where VIX was under pressure. VIX was down 1.75 to 14.05 and the front month September contract was down 0.90 closing at 14.90 on the day.
The chart below compares the closing VIX and VIX Futures prices from Wednesday (9/12) and Thursday (9/13) this week.