JLN Options: June Is Second Consecutive Month Of Record Trading Volume At CBOE Futures Exchange

Jul 3, 2012

To our American readers have a fun and safe 4th of July!  Stay cool!

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June Is Second Consecutive Month Of Record Trading Volume At CBOE Futures Exchange
Press Release
The CBOE Futures Exchange, LLC (CFE) today announced that June 2012 was the most-active trading month in CFE history and the second consecutive month of record trading volume at the exchange. The most-active trading month in CFE history was driven by record volume in futures on the CBOE Volatility Index (the VIX Index), with June 2012 trading in VIX futures up 85 percent over a year-ago. During the record-breaking month, new all-time highs were established in total monthly volume, monthly average daily volume (ADV), single-day volume and weekly volume — both exchange-wide and for VIX futures. In addition, the second quarter of 2012 experienced the highest trading volume of any quarter in CFE history.
http://jlne.ws/LOVla1

‘Fear gauge’ slumbers, but not fear itself
David Berman, The Globe and Mail
The CBOE volatility index (or VIX) measures expectations for near-term volatility in the S&P 500. It spikes when nerves are frayed and burbles along at low levels when confidence is strong, and it is now approaching what has traditionally been its trough of about 15.
On Tuesday in midday action, it fell to 16.34 down 0.46, marking the lowest level since the start of May and down more than 40 per cent since the start of June.
http://jlne.ws/LP1m6z

JPMorgan’s Largest ETN Rises to Record Premium After Share Halt
Matt Robinson, BloombergBusinessweek
A JPMorgan Chase & Co. (JPM) (JPM) exchange- traded note tied to oil assets reached a record premium over its underlying index after the bank limited shares of the security…
On Feb. 21, Zurich-based Credit Suisse stopped issuing shares of an ETN tied to the VIX, as the Chicago Board Options Exchange Volatility Index is called. A month later, the TVIX note began diverging from its underlying index to trade at a premium of as much as 89 percent. Over two days in March, it lost more than 50 percent of its value, and the U.S. Securities and Exchange Commission is probing price gyrations in the security, a person familiar with the matter said in March.
http://jlne.ws/LOZBWS

Exchanges step in to curb algo speculation (India)
Palak Shah & Samie Modak, Business Standard
Equity markets may not see wild price fluctuations caused due to algorithmic (algo) trading or high-frequency trading (HFT). After algo trading was considered the key catalyst for some of the recent instances of market crash, including a sharp fall in Infosys shares, the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE) have imposed separate charges on the use of algos. This, say experts, will curb excessive speculation, misuse of the technology and also keep a check on the pace of rise in algo volumes.
http://jlne.ws/LP0v5V
** In particular it seems calendar spreads were a problem in futures and options. -JB

Exchanges

Average daily volume of 11.0 million contracts at Eurex Group in June
HedgeWeek
In June 2012 the international derivatives markets of Eurex Group recorded an average daily volume of 11.0 million contracts, down from 11.4 million in June 2011…
The equity derivatives (equity options and single stock futures) segment at Eurex Exchange reached 38.7 million contracts (June 2011: 33.9 million). Thereof, equity options totalled 16.8 million contracts (June 2011: 22.0 million) and single stock futures equalled 21.9 million contracts (June 2011: 11.9 million).
http://jlne.ws/LOYfLL

CME Group Volume Averaged 13.1 Million Contracts per Day in June 2012
Press Release
Achieved double-digit year-over-year growth for agricultural commodities and metals in June, – Set monthly records in copper futures, soybean oil options, and Australian dollar and Canadian dollar foreign exchange futures, – Recorded 12.4 million contra
CME Group, the world’s leading and most diverse derivatives marketplace, today announced that June 2012 volume averaged 13.1 million contracts per day, down 11 percent from June 2011, and down 1 percent from May 2012.  Total volume for June was more than 276 million contracts, of which a record 86 percent was traded electronically.  Second-quarter 2012 volume averaged 12.4 million contracts per day, down 9 percent year-over-year, but up 1 percent compared with first-quarter 2012.
http://jlne.ws/LOYS80

Options Exchange Marketshare – June 2012
Press Release (via email)
June 2012 Total Options Marketshare:
AMEX-                 13.93%
BATS-                     3.55%
BOX-                       4.19%
CBOE-                   28.39%
C2-                          1.29%
ISE-                        16.01%
NOBO-                         0%*
NSDQ-                    4.56%
NYSE Arca-           9.52%
OMX PHLX-         18.57%

June 2011 Total Options Marketshare:
AMEX-                  13.49%
BATS-                      4.08%
BOX-                        2.37%
CBOE-                    25.40%
C2-                            1.24%
ISE-                          16.32%
NSDQ-                      3.77%
NYSE Arca-             10.80%
PHLX-                      22.53%

June 2012 Equity Options Marketshare:
AMEX-                  15.19%
BATS-                      3.88%  
BOX-                        4.58%
CBOE-                    22.27%
C2-                            1.36%
ISE-                         17.38%
NOBO-                          0%*
NSDQ-                     4.99%
NYSE Arca-           10.36%
OMX PHLX-          19.99%

June 2011 Equity Options Marketshare:
AMEX-                 14.63%
BATS-                      4.44%
BOX-                       2.58%
CBOE-                   19.29%
C2-                            1.35%
ISE-                        17.51%
NSDQ-                    4.10%
NYSE Arca-          11.73%
PHLX-                    24.36%

*June 29,2012 was the first trading day for options on NASDAQ OMX BX Options.  The total amount of contracts traded for NASDAQ OMX BX Options for that single day in June was not statistically significant enough to register a marketshare percentage.

OptionMonster Daily Volatility Report with Mike Palmer of Group1 Trading:

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