Record Volume Month for SPXW and VIX Options, and VIX Futures – By Matt Moran

In the month of January 2014, monthly volume records were established by S&P 500 Weekly options (SPXW), and by both options and futures on the CBOE Volatility Index® (VIX®).
SPXW options had average daily volume of 278,537 in January.

SPXW volume th Jan 14

S&P 500 Weekly options are PM-settled on the last trading day, typically a Friday. As with other PM-settled index options, the exercise-settlement value is calculated using the last (closing) reported sales price in the primary market of each component stock. On the last trading day, trading in expiring SPX Weeklys closes at 3:00 p.m. (Chicago time). All non-expiring SPX Weeklys continue to trade until 3:15 p.m. (Chicago time). In January 2014 CBOE issued Regulatory Circular RG14-010 re: “Expansion of Number of Expirations Listed in S&P 500 Index Weekly Options (SPXW).” The circular provides that CBOE will list out and maintain six consecutive SPXW expirations at once, not counting the current expiration.  More information on SPXW options, including the current listings and expiration dates, is at www.cboe.com/SPXW.

 

VIX OPTIONS AND FUTURES

VIX options average daily volume was a record 791,978 contracts, and VIX futures was a monthly volume record totaling 4.40 million contracts.

VIX fut opt volume thr Jan 14

RECENT VOLATILITY AND NEW VOLUME RECORDS

Recent volume records are related to big changes in volatility indexes.  The CBOE Short-term Volatility Index (VXST) rose from 9.97 on Jan. 10 to 23.95 on Feb. 3.  The planned launch date for new futures on the VXST is February 13, pending regulatory review.

VXST Feb 4

CBOE RISK MANAGEMENT CONFERENCE

Institutional investors who wish to learn more about the SPXW, VIX and VXST contracts are urged to explore the 30th Annual CBOE Risk Management Conference, which will be held March 17-19, 2014, at Hyatt Regency Coconut Point Bonita Springs, Florida.

 

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

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