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CBOE Holdings Reports October 2012 Consolidated Trading Volume

-- VIX Futures Volume Totaled Busiest Month Ever

CHICAGO, Nov. 1, 2012 /PRNewswire/ -- CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that October 2012 consolidated trading volume for options contracts on the Chicago Board Options Exchange® (CBOE®) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures ExchangeSM (CFE®) totaled 85.8 million contracts.  The exchanges were closed for two days -- October 29 and 30 -- due to equity exchange closures caused by Hurricane Sandy.

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  • October 2012 average daily volume (ADV) for the three exchanges, combined, was 4.1 million contracts, a 19-percent decrease from 5.0 million contracts ADV in October 2011, and a 16-percent decrease from nearly 4.9 million contracts ADV in September 2012.
  • Year to date through October, consolidated ADV for the three exchanges was 4.6 million contracts, down eight percent from 5.0 million contracts ADV for the same period a year ago.

CBOE Holdings Consolidated Trading Volume

Year-To-Date

(trades in thousands)

 Oct 2012

 Oct 2011

% Chg

Sep 2012

% Chg

 Oct 2012

 Oct 2011

% Chg

Trading Days

21

21


19


209

210


Total Contracts  - Options and Futures

85,838.9

106,059.3

-19%

92,870.4

-8%

964,401.6

1,058,319.9

-9%

Total Options Contracts (CBOE & C2)

83,389.5

105,160.9

-21%

90,459.9

-8%

945,706.1

1,047,717.6

-10%

Futures Contracts

2,449.4

898.4

173%

2,410.5

2%

18,695.5

10,602.3

76%










Total ADV - Options and Futures

4,087.6

5,050.4

-19%

4,887.9

-16%

4,614.4

5,039.6

-8%

Total Options ADV (CBOE & C2)

3,970.9

5,007.7

-21%

4,761.0

-17%

4,524.9

4,989.1

-9%

Futures ADV

116.6

42.8

173%

126.9

-8%

89.5

50.5

77%

CBOE Trading Volume and Market Share

CBOE Trading Volume:

  • October ADV at CBOE was 3.8 million contracts, down 18 percent from September 2012 ADV of 4.6 million contracts and down 21 percent from 4.7 million contracts ADV in October 2011. Year to date through October, ADV was 4.3 million contracts, down nine percent from the same period in 2011.
  • The five most actively traded index and ETF options at CBOE during October were S&P 500® Index options (SPXSM), CBOE Volatility Index® (VIX® Index) options, Standard & Poor's Depositary Receipts (SPY) options, PowerShares QQQ Trust (QQQ) options and iShares Trust Russell 2000 Index Fund (IWM) options.

CBOE Trading Volume Current Month

Year-To-Date

(trades in thousands)

Oct

2012

Oct

2011

%

Chg

Sep

2012

Chg

Oct

2012

Oct

2011

%

Chg

Trading Days

21

21


19


209

210


Total Exchange

79,104.3

99,532.7

-21%

86,948.4

-9%

903,762.4

997,385.5

-9%

Total Exchange ADV

3,766.9

4,739.7

-21%

4,576.2

-18%

4,324.2

4,749.5

-9%

Equity Options

35,050.9

38,681.4

-9%

38,213.5

-8%

414,017.2

434,218.0

-5%

Equity Options ADV

1,669.1

1,842.0

-9%

2,011.2

-17%

1,980.9

2,067.7

-4%

Index Options

24,872.9

29,298.8

-15%

26,394.3

-6%

247,889.1

273,963.4

-10%

Index Options ADV

1,184.4

1,395.2

-15%

1,389.2

-15%

1,186.1

1,304.6

-9%

ETF Options

19,180.4

31,552.6

-39%

22,340.6

-14%

241,856.1

289,204.0

-16%

ETF Options ADV

913.4

1,502.5

-39%

1,175.8

-22%

1,157.2

1,377.2

-16%

Expanded October 2012 volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.

CBOE Market Share:

CBOE October market share was 24.4 percent, down 1.1 percentage points from October 2011 and down two percentage points from September 2012.  If the volume from dividend trades was excluded from industry data for October 2012, CBOE's total market share would be 25.4 percent.

Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.

CBOE Market Share Current Month

Year-To-Date


 Oct 2012

 Oct 2011

% Pt. Chg

 Sep 2012

% Pt. Chg

 Oct 2012

 Oct 2011

% Pt. Chg

Total Exchange

24.4%

25.5%

-1.1%

26.4%

-2.0%

26.9%

25.6%

1.3%

Total Exchange                            (excl. dividend trades)

25.4%

25.7%

-0.3%

27.5%

-2.1%

28.1%

26.3%

1.8%

Equity Options

17.9%

19.6%

-1.7%

21.2%

-3.3%

21.6%

20.7%

0.9%

Equity Options                       (excl. dividend trades)

20.4%

20.6%

-0.2%

23.8%

-3.4%

23.9%

22.1%

1.8%

Index Options

94.5%

95.0%

-0.5%

93.6%

0.9%

94.1%

94.8%

-0.7%

Index Options 

 (excl. dividend trades)

93.9%

94.9%

-1.0%

93.2%

0.7%

93.8%

94.8%

-1.0%

ETF Options

18.8%

19.3%

-0.5%

18.5%

0.3%

20.6%

19.2%

1.4%

ETF Options           

(excl. dividend trades)

18.8%

19.4%

-0.6%

18.5%

0.3%

20.8%

19.4%

1.4%

C2 Options Exchange Trading Volume and Market Share

C2 Trading Volume:

In October 2012, ADV on C2 Options Exchange was 204,100 contracts, up 10 percent from September 2012 ADV of 184,800 contracts and down 24 percent from 268,000 contracts ADV in October 2011.

C2 Trading Volume Current Month

Year-To-Date

(trades in thousands)

Oct

2012

Oct

2011

%

Chg

Sep

2012

%

 Chg

Oct

2012

Oct

2011

%

Chg

Trading Days

21

21


19


209

210


Total Exchange

4,285.2

5,628.1

-24%

3,511.5

22%

41,943.8

44,100.0

-5%

Total Exchange ADV

204.1

268.0

-24%

184.8

10%

200.7

210.0

-4%

Equity Options

1,731.9

2,110.4

-18%

1,362.0

27%

16,832.8

15,921.2

6%

Equity Options ADV

82.5

100.5

-18%

71.7

15%

80.5

75.8

6%

Index Options

142.5

100.3

42%

99.7

43%

1,247.3

100.3

NA

Index Options ADV

6.8

5.0

35%

5.2

29%

6.0

5.0

19%

ETF Options

2,410.9

3,417.5

-29%

2,049.8

18%

23,863.6

28,078.5

-15%

ETF Options ADV

114.8

162.7

-29%

107.9

6%

114.2

133.7

-15%

C2 Market Share

In October 2012, C2's market share was 1.3 percent, down 0.1 of a percentage point from October 2011 and down 0.2 of a percentage point from September 2012.

C2  Market Share Current Month

Year-To-Date


 Oct 2012

 Oct 2011

% Pt. Chg

 Sep 2012

% Pt. Chg

 Oct 2012

 Oct 2011

% Pt. Chg

Total Exchange

1.3%

1.4%

-0.1%

1.1%

0.2%

1.3%

1.1%

0.2%

Total Exchange       

(excl. dividend trades)

1.4%

0.9%

0.5%

1.1%

0.3%

1.3%

1.2%

0.1%

Equity Options

0.9%

1.1%

-0.2%

0.8%

0.1%

0.9%

0.8%

0.1%

Equity Options        

(excl. dividend trades)

0.9%

1.1%

-0.2%

0.8%

0.1%

0.9%

0.8%

0.1%

Index Options

0.5%

0.3%

0.2%

0.4%

0.1%

0.5%

0.8%

-0.3%

Index Options         

(excl. dividend trades)

0.6%

0.3%

0.3%

0.4%

0.2%

0.5%

--

0.5%

ETF Options

2.4%

2.1%

0.3%

1.7%

0.7%

2.0%

1.9%

0.2%

ETF Options                                                                                (excl. dividend trades)

2.4%

2.1%

0.3%

1.7%

0.7%

2.1%

1.9%

0.2%

CBOE Futures Exchange Trading

  • In October, total trading volume in futures on the CBOE Volatility Index® (VIX®) reached an all-time high for any month in CFE's history.
  • A record 2,443,878 VIX futures contracts changed hands in October, beating the September 2012 record of 2,400,552 contracts.
  • VIX futures average daily volume (ADV) in October was 116,375 contracts, second only to September 2012's record ADV of 126,871 contracts.

CBOE Holdings Average Transaction Fee Per Contract

The following represents the average transaction fee per contract based on a three-month rolling average, reported on a one-month lag.  The average transaction fee per contract represents total transaction fees for CBOE, C2 and CFE recognized for the period divided by total contracts traded on all three exchanges 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:

September

2012

August

2012

July

2012

June

2012

Equities

$0.118

$0.122

$0.124

$0.123

Indexes

0.682

0.684

0.680

0.677

Exchange Traded Funds

0.177

0.177

0.177

0.180

Total Options Average Transaction Fee Per Contract

0.287

0.286

0.289

0.288

Futures

1.606

1.626

1.598

1.607

     Total Average Transaction Fee Per Contract

$0.317

$0.315

$0.316

$0.314

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 ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, LEAPS 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 and www.cboe.com, the go-to place for options and volatility trading resources. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.

CBOE®, Chicago Board Options Exchange®, CFE®, FLEX®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWriteSM, BXMSM, CBOE Futures ExchangeSM, SPXSM and The Options Institute are service marks of Chicago Board Options Exchange, Incorporated (CBOE). C2SM, C2 Options ExchangeSM and SPXpmSM are service marks of C2 Options Exchange, Incorporated (C2). Standard & Poor's® , S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE, C2 and CFE. All other trademarks and service marks are the property of their respective owners.

CBOE-V     

CBOE-2     

CBOE-EF   

SOURCE CBOE Holdings, Inc.

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