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CBOE Holdings Reports November 2012 Consolidated Trading Volume

-- More All-Time Records for VIX Index Futures: Monthly and Average Daily Volume

CHICAGO, Dec. 3, 2012 /PRNewswire/ -- CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that November 2012 consolidated trading volume for options contracts on Chicago Board Options Exchange® (CBOE®) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures Exchange SM (CFE®) totaled 91.31 million contracts. 

(Logo:  http://photos.prnewswire.com/prnh/20100614/CG20953LOGO)

  • November 2012 average daily volume (ADV) for the three exchanges, combined, was 4.35 million contracts, a two-percent increase from 4.27 million contracts ADV in November 2011, and a six-percent increase from nearly 4.09 million contracts ADV in October 2012.
  • Year to date through November, consolidated ADV for the three exchanges was 4.59 million contracts, down seven percent from 4.96 million contracts ADV for the same period a year ago.

CBOE Holdings Consolidated Trading Volume

Year-To-Date

(trades in thousands)

Nov-12

Nov-11

% Chg

Oct-12

% Chg

Nov-12

Nov-11

% Chg

Trading Days

21

21


21


230

231


Total Contracts
(options & futures)

91,314.9

89,733.9

2%

85,838.9

6%

1,055,716.5

1,145,933.3

-8%

Total Options Contracts
(CBOE & C2)

88,570.7

88,911.2

--

83,389.5

6%

1,034,276.9

1,134,290.9

-9%

Total Futures Contracts
(CFE)

2,744.2

822.8

234%

2,449.4

12%

21,446.4

11,392.4

88%










Total ADV
(options & futures)

4,348.3

4,273.0

2%

4,087.6

6%

4,590.1

4,960.8

-7%

Total Options ADV
(CBOE & C2)

4,217.7

4,233.9

0%

3,970.9

6%

4,496.9

4,910.4

-8%

Total Futures ADV   
(CFE)

130.7

39.2

234%

116.6

12%

93.2

49.3

89%

CBOE Trading Volume and Market Share

CBOE Trading Volume:

  • November ADV at CBOE was nearly 4.0 million contracts, about even with November 2011 and up six percent from October 2012 ADV of 3.8 million contracts. Year to date through November, ADV was 4.3 million contracts, down eight percent from the same period in 2011. Of particular note, in November, index options ADV rose 15 percent and 18 percent against November 2011 and October 2012, respectively.
  • The five most actively traded index and ETF options at CBOE during November were S&P 500® Index (SPXSM) options, Standard & Poor's Depositary Receipt (SPY) options, CBOE Volatility Index® (VIX® Index) 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)

Nov-12

Nov-11

% Chg

Oct-12

% Chg

Nov-12

Nov-11

% Chg

Trading Days

21

21


21


230

231


Total Exchange

83,704.1

84,075.1

--

79,104.3

6%

987,466.4

1,081,460.6

-9%

Total Exchange ADV

3,985.9

4,003.6

--

3,766.9

6%

4,293.3

4,681.6

-8%

Equity Options

31,760.3

33,482.8

-5%

35,050.9

-9%

445,777.5

467,700.8

-5%

Equity Options ADV

1,512.4

1,594.4

-5%

1,669.1

-9%

1,938.2

2,024.7

-4%

Index Options

29,360.8

25,639.3

15%

24,872.9

18%

277,249.8

299,602.7

-7%

Index Options ADV

1,398.1

1,220.9

15%

1,184.4

18%

1,205.4

1,297.0

-7%

ETF Options

22,583.1

24,953.1

-9%

19,180.4

18%

264,439.1

314,157.0

-16%

ETF Options ADV

1,075.4

1,188.2

-9%

913.4

18%

1,149.7

1,360.0

-15%

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

CBOE Market Share:
CBOE November market share was 25.0 percent, up 0.6 of a percentage point when compared against both November 2011 and October 2012.  If the volume from dividend trades was excluded from industry data for November 2012, CBOE's total market share would be 25.8 percent.

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

C2 Options Exchange Trading Volume and Market Share

CBOE Market Share Current Month

Year-To-Date


Nov-12

Nov-11

% Pt.
 Chg

Oct-12

% Pt.
Chg

Nov-12

Nov-11

% Pt.
Chg

Total Exchange

25.0%

24.4%

0.6%

24.4%

0.6%

26.8%

25.5%

1.3%

Total Exchange
(excl. dividend trades)

25.8%

25.3%

0.5%

25.4%

0.4%

27.9%

26.3%

1.6%

Equity Options

17.4%

18.7%

-1.3%

17.9%

-0.5%

21.2%

20.5%

0.7%

Equity Options
(excl. dividend trades)

20.1%

20.6%

-0.5%

20.4%

-0.3%

23.6%

22.0%

1.6%

Index Options

93.9%

95.5%

-1.6%

94.5%

-0.6%

94.1%

94.8%

-0.7%

Index Options
(excl. dividend trades)

93.3%

95.5%

-2.2%

93.9%

-0.6%

93.7%

94.8%

-1.1%

ETF Options

18.6%

18.1%

0.5%

18.8%

-0.2%

20.4%

19.1%

1.3%

ETF Options
(excl. dividend trades)

18.6%

18.1%

0.5%

18.8%

-0.2%

20.6%

19.3%

1.3%

C2 Trading Volume:
In November 2012, ADV on C2 Options Exchange was 231,700 contracts, up 14 percent from October 2012 ADV of 204,100 contracts and up one percent from 230,300 contracts ADV in November 2011.

C2 Trading Volume Current Month

Year-To-Date

(trades in thousands)

Nov-12

Nov-11

% Chg

Oct-12

% Chg

Nov-12

Nov-11

% Chg

Trading Days

21

21


21


230

231


Total Exchange

4,866.7

4,836.0

1%

4,285.2

14%

46,810.4

48,936.0

-4%

Total Exchange ADV

231.7

230.3

1%

204.1

14%

203.5

211.8

-4%

Equity Options

1,946.7

1,604.6

21%

1,731.9

12%

18,779.5

17,525.8

7%

Equity Options ADV

92.7

76.4

21%

82.5

12%

81.6

75.9

8%

Index Options

106.0

110.5

-4%

142.5

-26%

1,353.3

210.8

NA

Index Options ADV

5.0

5.3

-4%

6.8

-26%

5.9

5.1

14%

ETF Options

2,814.0

3,120.9

-10%

2,410.9

17%

26,677.7

31,199.4

-14%

ETF Options ADV

134.0

148.6

-10%

114.8

17%

116.0

135.1

-14%

C2 Market Share
In November 2012, C2's market share was 1.5 percent, up 0.1 of a percentage point from November 2011 and up 0.2 of a percentage point from October 2012.

C2  Market Share Current Month

Year-To-Date


Nov-12

Nov-11

% Pt.

Chg

Oct-12

% Pt.
Chg

Nov-12

Nov-11

% Pt.
Chg

Total Exchange

1.5%

1.4%

0.1%

1.3%

0.2%

1.3%

1.2%

0.1%

Total Exchange
(excl. dividend trades)

1.5%

0.9%

0.6%

1.4%

0.1%

1.3%

1.2%

0.1%

Equity Options

1.1%

0.9%

0.2%

0.9%

0.2%

0.9%

0.8%

0.1%

Equity Options
(excl. dividend trades)

1.1%

1.0%

0.1%

0.9%

0.2%

0.9%

0.8%

0.1%

Index Options

0.3%

0.4%

-0.1%

0.5%

-0.2%

0.5%

0.7%

-0.2%

Index Options
(excl. dividend trades)

0.4%

0.4%

--

0.6%

-0.2%

0.5%

0.1%

0.4%

ETF Options

2.3%

2.3%

--

2.4%

0.1%

2.1%

1.9%

0.2%

ETF Options
(excl. dividend trades)

2.3%

2.3%

--

2.4%

-0.1%

2.1%

1.9%

0.2%

CBOE Futures Exchange Trading

  • In November, total trading volume and average daily volume for CBOE Volatility Index® (VIX®) futures reached new all-time highs for any month in CFE's history.
  • A record 2,734,248 VIX futures contracts changed hands in November, beating the October 2012 record of 2,443,878 contracts by 12 percent.
  • In year-over-year comparisons, total VIX futures volume in November rose by 233 percent from November 2011 volume of 822,017 contracts.
  • VIX futures average daily volume in November also marked an all-time record for any month as an average of 130,202 VIX futures contracts changed hands daily. This figure was 233 percent higher than 39,144 contracts ADV in November 2011.
  • Year to date through November, total VIX futures volume of 21.3 million contracts is up 86 percent versus the same period a year ago.

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:

Oct-12

Sep-12

Aug-12

Jul-12

Equities

$0.121

$0.118

$0.122

$0.124

Indexes

$0.675

$0.682

$0.684

$0.680

Exchange Traded Funds

$0.180

$0.177

$0.177

$0.177

     Total Options Average Transaction Fee Per Contract

$0.294

$0.287

$0.286

$0.289

Futures

$1.573

$1.606

$1.626

$1.598

     Total Average Transaction Fee Per Contract

$0.326

$0.317

$0.315

$0.316

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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