2017 Volume Rises for VIX and SPX Options, and for VIX Futures

Monday, May 8, 2017 – After the results of the French election were announced yesterday, this was a notable day in the options and volatility markets –

  • The CBOE Volatility Index® (VIX®) fell 0.80 points and closed at 9.77 (it lowest daily close since December 1993);
  • Bloomberg’s estimate of 30-trading day historic volatility for the S&P 500 Index fell to 6.52;
  • The CBOE SKEW Index (SKEW) fell 3.24 points to close at 128.12 (still well above its long-term-average of 118.6)

Today I received multiple questions from customers about press coverage of options volume trends. While many observers believe that low volatility often can inhibit options volume growth, some investors like the idea of purchasing relatively “cheap” options protection when the VIX Index is well below its long-term average.

TRENDS IN VOLUME AND OPEN INTEREST FOR KEY INDEX OPTIONS AND FUTURES

VIX futures average daily volume rose to 265, 954 in Jan.-April 2017, and it is up for the 11th year in a row.

VIX options average daily volume rose to 712,490 in Jan.-April 2017.

In March 2017 the VIX options open interest rose to more than 12.8 million contracts.

In March 2017 the VIX call options open interest rose to more than 9 million contracts.

SPX options average daily volume rose to 1,161936 in Jan.-April 2017.

MORE INFORMATION

To learn more about use of SPX and VIX options, and VIX futures, please visit www.cboe.com/SPX and www.cboe.com/VIX.

 

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

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