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Tag Archives: Futures and Options

Strong Options Volume Growth for Both SPX (Up 22%) and VIX (Up 48%) By Matt Moran

Matt Moran
Vice President
CBOE
April 2 - 7:32 pm
Comments: 0

Both the S&P 500® (SPX) and the CBOE Volatility Index® (VIX®) index options experienced strong volume growth in the 1st quarter of 2013 compared with the 1st quarter of 2012 – SPX options average daily volume rose to 809,067 (up 22%) and VIX options average daily volume rose to 633,811 (up 48%). PUT/CALL RATIOS It [...]

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Total VIX Futures Volume Sets Record for 3rd Month in a Row By Matt Moran

Matt Moran
Vice President
CBOE
April 1 - 9:41 pm
Comments: 0

A record 3,220,977 futures contracts on the CBOE Volatility Index® (VIX®) traded during March, exceeding the 3,062,344 contracts traded in February (the previous record) by five percent. March’s VIX futures volume rose by 64 percent when compared to the 1,963,893 contracts traded a year ago.  VIX futures have set all-time total volume records for three [...]

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Record Monthly Volume for VIX Futures and Options by Matt Moran

Matt Moran
Vice President
CBOE
February 4 - 12:07 am
Comments: 0

In January 2013 both options and futures on the CBOE Volatility Index® (VIX®) established new all-time monthly volume records. VIX Index options recorded their best month ever with an average daily volume (ADV) of 680,822 contracts, exceeding the previous record ADV of 582,022 contracts in August 2011.  Total volume for the month was 14.3 million [...]

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VIX – Record “Cliff” Dive (Down 39.1%) and Record Volume

Matt Moran
Vice President
CBOE
January 4 - 10:06 pm
Comments: 0

Jan. 4, 2013 – The CBOE Volatility Index® (VIX®) closed at 13.83 today and was down a record 39.1% this week as the U.S. Congress approved legislation to address the fiscal cliff uncertainties. VIX – BIGGEST 1-WEEK MOVES SINCE ITS INCEPTION IN JAN. 1990  Here is a list of the weeks when VIX had its [...]

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VIX Has Its Biggest Two-Day Fall – 35.4%; Record Futures Volume

Matt Moran
Vice President
CBOE
January 3 - 12:05 am
Comments: 0

Jan. 2, 2013 – On the two most recent trading days of Dec. 31st and Jan. 2nd – The CBOE Volatility Index® (VIX®) fell by 35.4%, the biggest-ever drop (in percentage terms) over two trading days for the VIX Index, which has historical data back to 1990; and Futures on the VIX Index set new [...]

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VIX Futures – Record Volume Day and Year

Matt Moran
Vice President
CBOE
December 31 - 10:37 pm
Comments: 0

Dec. 31, 2012 – Here is a year-end update on VIX and select options-based indexes – Futures on the CBOE Volatility Index® (VIX®) set a new single-day volume record of 212,800 contracts (estimated) today. The new daily record eclipsed the previous single-day record of 190,081 contracts traded on September 13, 2012. VIX futures are poised [...]

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VIX Has Biggest 1-Day Jump of 2012; 6 Key Facts

Matt Moran
Vice President
CBOE
December 29 - 12:46 am
Comments: 0

Dec. 28, 2012 – Here is an update on 6 key facts about the VIX and related indexes and trading instruments – (1)    Today (Friday) the CBOE Volatility Index® (VIX®) rose 16.7%, its biggest one-day up move (in percentage terms) since November 2011.  A key factor in the rise in the VIX is investor uncertainty [...]

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VIX Futures – Prices and Record Volume

Matt Moran
Vice President
CBOE
December 8 - 12:28 am
Comments: 0

FRIDAY, DEC. 7 – People often ask me where they can find comparisons of the prices of the popular VIX® (spot) Index and the VIX futures. A good place to start is near the top of the VIX microwebsite at www.cboe.com/VIX , which has the following table that is updated intraday with delayed price quotes [...]

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Record Volume Month for VIX Futures

Matt Moran
Vice President
CBOE
November 1 - 9:24 pm
Comments: 0

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) [...]

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Trading VIX – Trade-off between Liquidity, Beta Exposure and Roll Cost

Xiaowei Kang
Director
S&P Dow Jones Indices
October 23 - 2:18 pm
Comments: 0

Besides commodities, volatility is another example of the application of futures-based indices. Spot volatility, as measured by the VIX, is not tradeable as the index represents the weighted average of implied volatilities of various options on the S&P 500. Prior to the introduction of VIX futures on the Chicago Board Options Exchange in 2004, equity [...]

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