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

Jan 3, 2013

Lead Stories

VIX Has Its Biggest Two-Day Fall – 35.4%; Record Futures Volume
Matt Moran, VIX Views
Over the past six trading days the VIX has had a roller-coaster ride as investor sentiment shifted in regard to perceived prospects for a near-term solution to the U.S. fiscal cliff situation.

Vix Futures Set Another New Single-Day Volume Record Today: 221,323 Contracts
Press Release
The CBOE Futures Exchange, LLC (CFE®) announced today that CBOE Volatility Index® (VIX® index) futures set a new single-day volume record of 221,323 contracts (estimated), the second consecutive daily VIX futures record this week.
Today’s daily record eclipsed the previous VIX futures single-day record of 212,800 contracts traded on Monday, December 31.

2012 Trading Volume Reaches New All-Time High At CBOE Futures Exchange
Press Release
The CBOE Futures Exchange, LLC (CFE) announced today that both total exchange-wide trading activity and trading volume in futures on the CBOE Volatility Index (VIX) reached new all-time highs during 2012.  In a record-setting year, a host of new milestones were achieved at the exchange.

Swap Dealer Registration, Real-Time Data Reporting Begins
James Rundle, Waters Technology
The US Commodity Futures Trading Commission (CFTC) has announced the successful commencement of public real-time swap transaction data reporting, and swap dealer registration, pursuant to Dodd-Frank Act mandates.


ISE Reports it is The Largest Equity Options Exchange in December with 18.6% Market Share
Press Release
The International Securities Exchange (ISE) today reported average daily volume of 2.4 million contracts in December 2012, an increase of 6.1% over December 2011. Total options volume for the month was 47.8 million contracts. ISE was the largest U.S. equity options exchange in December 2012 with market share of 18.6%*.
http://jlne.ws/WntByn (PDF)

Total trading volume at Eurex Group at 2.3 billion contracts in 2012
Press Release
The international derivatives markets of Eurex Group ended 2012 with a turnover of approximately 2.3 billion contracts, compared with 2.8 billion in 2011. The total volume for 2012 splits into 1.7 billion contracts traded at Eurex Exchange (2011: 2.0 billion) and 631.8 million contracts traded at the International Securities Exchange (ISE) (2011: 778.1 million). This corresponds to a daily average trading volume of 9.0 million contracts (2011: 11.1 million), thereof 6.5 million contracts at Eurex Exchange and 2.5 million contracts at ISE.

CBOE Holdings Reports 2012 Consolidated Trading Volume:
Press Release
CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that 2012 consolidated trading volume for options contracts on Chicago Board Options Exchange (CBOE) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures ExchangeSM (CFE) totaled 1.13 billion contracts. Average daily volume (ADV) in 2012 was 4.54 million contracts, down six percent from 4.83 million contracts traded in 2011.
The year 2012 marked CBOE Holdings’ fifth consecutive year of one-billion-plus contract trading volume.

The Options Industry Council Announces December Options Volume Down 2% with 2012 Volume Surpassing 4 Billion Contracts
Press Release
The Options Industry Council (OIC) announced today that 312,528,471 total options contracts were traded in December, which is a 2.43 percent decrease compared to the previous December when 320,324,954 contracts were traded.

OCC Cleared Contract Volume Reached 4 Billion Contracts in 2012
Press Release
OCC announced today the total cleared contract volume in 2012 reached 4,042,175,801 contracts, a 12 percent decline from the 2011 record volume of 4,600,955,949 contracts. Despite this decline, 2012 marks the second highest year for OCC cleared contract volume to date and the second consecutive year OCC volume has surpassed 4 billion contracts.

Options Exchange Marketshare – December 2012
Press Release (via email)

December 2012 Total Options Marketshare:
AMEX-                 14.26%BATS-                     3.52%BOX-                       2.65%CBOE-                   23.02%C2-                          1.35%ISE-                        15.45%MIAX-                     0.01%NOBO-                     0.97%NSDQ-                    5.27%NYSE Arca-           10.74%OMX PHLX-         22.77% December 2011 Total Options Marketshare:
AMEX-                  13.60%BATS-                      2.34%BOX-                        3.25%CBOE-                    22.04%C2-                            1.21%ISE-                          14.93%
NSDQ-                     3.92%NYSE Arca-           12.29%
OMX PHLX-           26.42%
December 2012 Equity Options Marketshare: AMEX-                  15.56%BATS-                      3.85%    BOX-                        2.90%CBOE-                    16.22%C2-                            1.43%ISE-                         16.75%MIAX-                      0.01%NOBO-                      1.06%NSDQ-                     5.76%NYSE Arca-           11.68%OMX PHLX-          24.77%December 2011 Equity Options Marketshare: AMEX-                 14.53%
BATS-                      2.51%BOX-                       3.49%
CBOE-                   16.78%C2-                            1.26%
ISE-                        15.92%
NSDQ-                    4.20%
NYSE Arca-          13.14%OMX PHLX-         28.16%

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