CBOE Futures Exchange, LLC (CFE) is the home of volatility futures, featuring futures on the CBOE Volatility Index (VIX). The exchange is a subsidiary of CBOE Holdings and is an all-electronic, open access market model with dedicated market makers and market participants providing liquidity.
CBOE Futures Exchange currently offers futures contracts on the CBOE Volatility Index (VIX), Weekly options on VIX futures (VOW), CBOE mini-VIX futures (VM), CBOE S&P 500 3-Month Variance (VT) and CBOE S&P 500 12-Month Variance futures (VA). On March 25, 2011, CFE listed security futures on the CBOE Gold ETF Volatility Index (GVZ).
2010 was a year of continued momentum for CBOE Futures Exchange as VIX futures gained traction with investors. Reflective of this growing appetite was the record trading volume experienced at CBOE Futures Exchange, as well as the launch of a new VIX related product and extended trading hours for VIX futures, both introduced to meet growing customer demand.
2010 was the busiest year on record at CBOE Futures Exchange. The 4.4 million contracts traded was a new all-time high, surpassing the 1.2 million contracts traded in 2009 by 281 percent. Average daily volume for the year was a record 17,470 contracts, compared with 4,585 contracts per day the previous year. A host of records were set in 2010, for both total exchange volume and volume in VIX futures, the exchange’s flagship product, including new high marks in single-day, weekly, monthly and yearly trading. In addition, exchange open interest reached a new peak of 172,272 contracts in November.
Trading activity in March 2011 subsequently surpassed some of the record monthly marks set in 2010 as volume for both total exchange—1,066,367 contracts (ADV of 46,363) and VIX futures—1,065,374 contracts (ADV of 46,320) reached new all-time highs. And on Tuesday, March 15, 2011, a new milestone was achieved when both total exchange and VIX futures volumes set new single-day records on the same day as 97,385 and 97,337 contracts traded, respectively.
On September 28, 2010, CBOE Futures Exchange expanded its product offerings with the introduction of Weekly options on VIX futures. This new contract, which incorporates a version of the popular “Weeklys” expirations on security options, brings an added dimension to CBOE’s suite of volatility products by allowing investors to select a contract with one, two, three or four weeks to expiration, giving added flexibility when choosing a desired investing timeframe.
On December 10, 2010, CBOE Futures Exchange extended the trading hours for VIX futures, moving up the start time from 8:30 a.m. to 7:20 a.m. (Chicago time). The earlier open of trading gives investors the ability to more efficiently manage and mitigate risk and establish or offset positions that may be impacted by potential market-moving events such as overnight news, banking actions or key economic reports released prior to the general market open.
CFE Total Futures Volume