Record Volume in 2013: VIX Futures Up 67%, and SPX Options Up 19% — By Matt Moran

JAN. 2, 2014 – Average daily volume for three key index contracts – options on the S&P 500 Index (SPX), and futures and options on the CBOE Volatility Index (VIX) — all rose to new record levels in 2013.

VIX options established new record high levels for trading volume in each of the seven years since their launch in 2006. Average daily volume for VIX options rose from 442,959 in 2012 to 567,460 in 2013, an increase of 29%.

VIX futures also established new record high trading volume levels in each of the seven years since 2006. Average daily volume for VIX futures rose from 95,143 in 2012 to 159,498 in 2013, an increase of 67%.

VIX opt & fut avg d volume thru 2013

Average daily volume for options on the S&P 500 Index (SPX) rose from 697,829 in 2012 to 823,369 in 2013, an increase of 19%.  

SPX avg d volu thru 2013

The year 2013 was not a particularly volatile year, as the average daily closing value of the VIX Index was 14.23 (its lowest such figure since 2006), and the highest daily closing value of the VIX was 20.49. 

SPX VIX in 2013VIX Fut Daily Volum in 2013

DAY WITH BIG PRICE MOVES AND RECORD VOLUME

Monday, April 15, 2013, was a day with big price moves and record trading volumes. On that day —

  • the SPDR Gold Shares ETF (ticker GLD) fell 8.8%;
  • VIX futures set an all-time single-day volume record of an estimated 449,955 contracts;
  • the CBOE Gold ETF Volatility Index (ticker GVZ) rose 61.7% (the biggest one-day move ever for the index);
  • the CBOE Gold ETF Volatility Index (GV) futures contract traded a single-day record of an estimated 1,488 contracts www.cboe.com/GVZ

DIFFERENCES AMONG VOLATILITY INDEXES

While the popular VIX Index shows the expected 30-day volatility of the S&P 500 Index, other volatility indexes reflect —

  • expected volatility related to crude oil ETFs (the OVX Index),
  • expected 9-day volatility of the S&P 500 Index (the VXST Index), and
  • the expected volatility of the price of 10-year Treasury Note futures (the VXTYN Index).

The chart below shows that these three indexes had some distinct price moves in 2013.  To read information on more than twenty volatility indexes, and important topics regarding the unique pricing of options and futures on volatility indexes, please visit www.cboe.com/volatility.

OVX VXST VXTYN 2nd

VALUE ADDED BY SPX OPTION-WRITING STRATEGY

Some investors ask the simple question – why should I consider the use of index options?  The chart below shows that the CBOE S&P 500 2% BuyWrite Index (ticker BXY) gained 1270% in the period from mid-1988 through the end of 2013, the highest gains among all the indexes on the chart.  The BXY is a hypothetical benchmark index that “writes” (or sells) SPX options on the third Friday of every month, with the goal of more income and smoother returns.  To learn more about options benchmark indexes and read related white papers, please visit www.cboe.com/benchmarks

BXY SPTR thru Dec 2013

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

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