A Look at the Spike in VIX Trading

A Look at the Spike in VIX Trading

Shayne Heffernan looks at the Spike in VIX Trading
CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that May average daily volume (ADV) for options contracts traded on Chicago Board Options Exchange® (CBOE®) and C2 Options Exchange (C2), and futures contracts traded on CBOE Futures Exchange (CFE®) was 4.3 million contracts, an increase of 2 percent from April 2016 and relatively unchanged from May 2015.

Trading Volume Highlights: May

  • Index options traded at CBOE had an ADV of 1.5 million contracts in May, an increase of 8 percent from May 2015.
  • S&P 500® Index (SPX) options were the most actively traded index options for the month with an ADV of 899,006 contracts, up 13 percent from the 796,634 contracts traded in May 2015.
  • CBOE Volatility Index® (VIX® Index) options at CBOE had a May ADV of 527,948 contracts, up 3 percent from the 513,842 contracts traded in May 2015.
  • VIX futures traded on CFE had a May ADV of 229,267 contracts, up 31 percent from a year ago.
  • May VIX futures ADV in extended trading hours (ETH) at CFE was 23,360 contracts, representing 10 percent of all CFE ADV for the month, compared with 8 percent in May 2015.

Business Developments: May

  • On May 23, CBOE Holdings announced that it made a minority equity investment in Eris Exchange Holdings, LLC, a U.S.-based futures exchange group offering swap futures as a capital-efficient alternative to over-the-counter (OTC) swaps, press release.
  • CBOE Holdings announced the shareholder voting results from its 2016 Annual Meeting on May 19. William M. Farrow III is a new member of the board of directors, while Chairman William Brodsky announced he does not intend to be a candidate for director in 2017, press release.

CBOE Holdings Trading Volume Tables: May

CBOE Holdings Consolidated Trading Volume Current Month

Year-To-Date

(contracts in thousands)

May
2016

May
2015

%
Chg

Apr
2016

%
Chg

May
2016

May
2015

%
Chg

Trading Days

21

20

21

103

102

Total Contract
(options & futures)

89,421.9

85,286.9

5%

87,810.2

2%

468,481.1

467,397.6

Total Options Contracts
(CBOE & C2)

84,605.8

81,787.5

3%

83,204.7

2%

445,857.8

449,083.6

-1%

Total Futures Contracts
(CFE)

4,816.1

3,499.4

38%

4,605.5

5%

22,623.3

18,314.0

24%

Total ADV
(options & futures)

4,258.1

4,264.4

4,181.4

2%

4,548.3

4,582.2

-1%

Total Options ADV
(CBOE & C2)

4,028.8

4,089.4

-1%

3,962.1

2%

4,328.7

4,402.8

-2%

Total Futures ADV
(CFE)

229.3

175.0

31%

219.3

5%

219.6

179.4

22%

 

CBOE Trading Volume Current Month*

Year-To-Date

(contracts in thousands)

May
2016

May
2015

%
Chg

Apr
2016

%
Chg

May
2016

May
2015

%
Chg

Trading Days

21

20

21

103

102

Total Exchange

78,389.4

75,312.9

4%

77,144.5

2%

414,105.8

416,034.6

Total Exchange ADV

3,732.8

3,765.6

-1%

3,673.5

2%

4,020.4

4,078.8

-1%

Equity Options

26,720.1

27,973.0

-4%

28,451.0

-6%

138,516.7

166,065.9

-17%

Equity Options ADV

1,272.4

1,398.7

-9%

1,354.8

-6%

1,344.8

1,628.1

-17%

Index Options

32,063.5

28,271.3

13%

30,753.8

4%

172,545.9

140,209.4

23%

Index Options ADV

1,526.8

1,413.6

8%

1,464.5

4%

1,675.2

1,374.6

22%

ETP Options

19,605.8

19,068.6

3%

17,939.7

9%

103,043.3

109,759.2

-6%

ETP Options ADV

933.6

953.4

-2%

854.3

9%

1,000.4

1,076.1

-7%

 

*Expanded volume information for CBOE index and ETP options is available at: www.cboe.com/data/monthlyvolume.aspx.

C2 Trading Volume Current Month

Year-To-Date

(contracts in thousands)

May
2016

May
2015

%
Chg

Apr
2016

%
Chg

May
2016

May
2015

%
Chg

Trading Days

21

20

22

103

102

Total Exchange

6,216.4

6,474.6

-4%

6,060.2

3%

31,752.0

33,049.1

-4%

Total Exchange ADV

296.0

323.7

-9%

288.6

3%

308.3

324.0

-5%

Equity Options

1,576.5

1,939.6

-19%

1,817.7

-13%

8,454.7

10,031.7

-16%

Equity Options ADV

75.1

97.0

-23%

86.6

-13%

82.1

98.3

-17%

Index Options

228.2

137.8

66%

199.3

14%

1,201.8

450.4

167%

Index Options ADV

10.9

6.9

58%

9.5

14%

11.7

4.4

164%

ETP Options

4,411.7

4,397.2

4,043.2

9%

22,095.5

22,567.0

-2%

ETP Options ADV

210.1

219.9

-4%

192.5

9%

214.5

221.2

-3%

 

CFE Trading Volume Current Month*

Year-To-Date

May
2016

May
2015

%
Chg

Apr
2016

%
Chg

May
2016

May
2015

%
Chg

Trading Days

21

20

21

103

102

VIX Index Futures

     Total

4,814,598

3,498,454

38%

4,604,918

5%

22,620,136

18,302,859

24%

     ADV

229,267

174,923

31%

219,282

5%

219,613

179,440

22%

CFE Total Exchange

     Total

4,816,144

3,499,445

38%

4,605,471

5%

22,623,303

18,314,005

24%

     ADV

229,340

174,972

31%

219,308

5%

219,644

179,549

22%

 

*Volume numbers for 2016 now include VIX Weeklys futures totals.

CBOE Holdings Market Share Current Month
(of total U.S. options industry volume)

Year-To-Date

May
2016

May
2015

% Pt.
Chg

Apr
2016

% Pt.
Chg

May
2016

May
2015

% Pt.
Chg

Total Exchange
(CBOE & C2)

27.2%

26.9%

0.3%

25.1%

2.1%

26.4%

27.6%

-1.2%

     CBOE

25.2%

24.8%

0.4%

23.2%

2.0%

24.6%

25.6%

-1.0%

     C2

2.0%

2.1%

-0.1%

1.8%

0.2%

1.9%

2.0%

-0.1%

Total Equity Options
(CBOE & C2)

18.0%

17.6%

0.4%

17.2%

0.8%

17.6%

19.4%

-1.8%

Total Index Options
(CBOE & C2)

99.4%

98.9%

0.5%

99.1%

0.3%

99.1%

97.2%

1.9%

Total ETF Options
(CBOE & C2)  
      

19.9%

22.3%

-2.4%

17.6%

2.3%

18.4%

23.2%

-4.8%

 

CBOE Holdings Average Revenue Per Contract
The following represents average revenue per contract based on a three-month rolling average, reported on a one-month lag. The average revenue per contract represents total transaction fees for CBOE, C2 and CFE recognized for the period divided by total contracts traded during the period. Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.

(In Dollars)

Three-Month Period Ended

Product:

Apr
2016

Mar
2016

Feb
2016

Jan
2016

Equity Options

$0.081

$0.085

$0.092

$0.095

Index Options

$0.706

$0.720

$0.733

$0.738

ETP Options

$0.111

$0.117

$0.131

$0.138

     Total Options Average Revenue Per Contract

$0.335

$0.346

$0.351

$0.351

Futures

$1.697

$1.643

$1.623

$1.636

     Total Average Revenue Per Contract

$0.397

$0.405

$0.413

$0.412

 

About CBOE Holdings:
CBOE Holdings, Inc. (NASDAQ: CBOE) is the holding company for Chicago Board Options Exchange (CBOE), CBOE Futures Exchange (CFE), and other subsidiaries. CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE Holdings offers equity, index and ETP options, including proprietary products, such as options and futures on the CBOE Volatility Index (VIX Index) and S&P 500 options (SPX), the most active U.S. index option.  Other products engineered by CBOE include equity options, security index options, Weeklys options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE Holdings is home to the world-renowned Options Institute, Livevol options analytics and data tools, and www.cboe.com, the go-to place for options and volatility trading resources.

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Shayne Heffernan Funds Manager at HEFFX holds a Ph.D. in Economics and brings with him over 25 years of trading experience in Asia and hands on experience in Venture Capital, he has been involved in several start ups that have seen market capitalization over $500m and 1 that reach a peak market cap of $15b. He has managed and overseen start ups in Mining, Shipping, Technology and Financial Services.

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