CBOE VIX Futures Hit New Highs in September

On Monday, the CBOE Futures Exchange, LLC (CFE^®) announced that September 2012 represented the most-active trading month on record for futures on the CBOE Volatility Index^® (VIX^®).  From the record trading activity in VIX futures, it drove total CFE volume to an all-time high. 

In addition, several new trading records for both VIX futures and CFE had been set in September, according to a CFE press release.    

VIX Futures

In September, VIX futures average daily volume (ADV) reached a new all-time high of 126,345 contracts; this surpassed the previous record of 102,587 contracts set in June 2012. 

September's ADV rose 170 percent from the previous year's 46,784 ADV contracts. As compared on a monthly basis, it increased 52 percent from August's 83,016 ADV contracts.

On September 13, a new single-day volume record for VIX futures had been achieved when 190,081 contracts traded.  The previous record had been set on June 18 with 159,744 contracts.  

In September, total monthly trading activity in VIX futures was a record 2,400,552 contracts, surpassing the previous high of 2,154,325 contracts during June.  Last month's  record volume rose 144 percent from the previous year's 982,462 contracts and 26 percent from August's 1,909,373 contracts. 

Year-to-date through September, VIX futures ADV is 68 percent ahead of the same time period from the previous year: 85,990 contracts vs. 51,111 contracts daily.   

In addition, VIX futures open interest reached a new high of 431,265 contracts on September 18.  The record came after five consecutive open interest records had been set in the previous week. 

Before September, the high for VIX futures open interest was 403,608 contracts on August 21. 

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