Nov. 1st – The CBOE Futures Exchange, LLC (CFE®) announced today that trading in futures on the CBOE Volatility Index® (VIX®) reached an all-time volume high for any month in its history.
During October, a record 2,443,878 VIX futures contracts changed hands, beating the September record of 2,400,552 contracts. VIX futures average daily volume (ADV) in October was 116,375 contracts, 172 percent over October 2011 and two percent over September 2012.
The three charts below all cover the same time periods beginning in January 2008. VIX futures average daily volume is up 87% in 2012 y-t-d over 2011.
It is interesting to compare the volume charts above to the price chart below. Does VIX futures volume pick up in times of high volatility of volatility, or when VIX is at relatively low levels when investors believe they can buy some relatively cheap “insurance” against a big drop in stock prices?