Trading activity in futures on the CBOE Volatility Index (VIX) set several new records in January 2013, including total monthly volume, total monthly average daily volume, single-day volume and open interest, the CBOE Futures Exchange (CFE) said.
The record 2,897,739 VIX futures contracts traded during January was an increase of 258% from the 808,784 contracts traded in January 2012 and a gain of 19% from the 2,435,648 contracts traded in December. The previous record for VIX futures monthly volume was 2,734,248 contracts traded during November 2012.
Average daily volume (ADV) in VIX futures during January was 137,988 contracts, also a new record, and up 241% and 13%, respectively, when compared with 40,439 contracts a year ago and 121,782 contracts the previous month. The previous record for VIX futures monthly ADV was 130,202 contracts during November 2012.
VIX futures set consecutive single-day volume records on January 2, 2013 and December 31, 2012 with 221,323 contracts and 212,800 contracts traded, respectively, surpassing the previous high of 190,081 contracts on September 13, 2012.
During January, open interest in VIX futures reached a new high on four consecutive trading days, culminating on January 16 when open interest stood at a record 472,403 contracts.
Total trading volume at CFE during January was a record 2,927,613 contracts, up 261% from the January 2012 volume of 811,283 contracts and an increase of 20% above the 2,446,471 contracts traded during December. The previous record for total monthly volume at CFE was 2,744,177 contracts traded during November 2012.
Total exchange-wide ADV during January reached a new high of 139,410 contracts, a gain of 244% from January 2012 ADV of 40,564 contracts and up 14% from the ADV of 122,324 contracts in December.
The previous record for CFE total monthly ADV was 130,675 contracts during November 2012. Consecutive CFE single-day volume records were set on January 2, 2013 and December 31, 2012 with 226,951 contracts and 212,984 contracts traded, respectively.
These records surpassed the previous high of 191,228 contracts on September 13, 2012. January was the first month in CFE history where daily volume exceeded 100,000 contracts each trading day. On January 16, exchange-wide open interest stood at 501,559 contracts, a new all-time high, and the first time CFE open interest surpassed the 500,000-contract benchmark.
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