CBOE’s Extended Trading Hours (ETH) options session reached a significant milestone in the wake of the surprising U.S. election results, surpassing 100,000 contracts for the first time on November 9.

CBOE introduced the ETH options session in 2015 on our SPX and VIX products. The primary motivation for offering these products during off-market hours was to provide market participants with the opportunity to react to global events at the time of those events taking place, rather than having to wait until the regular trading hours open at 8:30 AM Chicago time.

ETH option hours are 2:00AM – 8:15AM Chicago time / 8:00AM – 2:15PM London time.

The U.S. election results were precisely the type of event that ETH was designed for. As election results rolled in from east to west, market participants found that there was abundant liquidity in both SPX options and VIX options.

The chart below shows total options volume traded during ETH on November 9 (108,015 contracts) as well as the volume per trade, throughout the course of the session. Some of the larger trades are highlighted.

November 9, 2016 ETH Options Volume


Some other interesting statistics from the November 9 ETH session:

  • 66,797 VIX options traded and 41,218 SPX options traded.
  • There were over 2,000 trades, with an average trade size of 52 contracts
    • There were 43 trades for 500 contracts or greater
    • There were 203 trades with contracts sizes between 100-500
  • More than 60% of the volume was traded as a spread
  • A full range of strikes and maturities traded:
    • Expirations between November 9, 2016 – December 21, 2018
    • SPX strikes ranging from 1300 - 2600
    • VIX strikes ranging from 12 - 45
  • Some of the volume was executed via AIM (CBOE’s paired order mechanism)
  • CBOE has three dedicated market makers in ETH for both SPX options and VIX options who are required to stream continuous bids and offers throughout the session:
    • SPX options:
      • Chicago Trading Corp
      • IMC
      • Belvedere Trading
    • VIX options:
      • Chicago Trading Corp
      • Consolidated Trading
      • Sumo Capital

VIX Futures ETH

In addition to the successful ETH options session, CFE also set a record for VIX futures volume during ETH on November 9. CFE traded 263,663 VIX futures during ETH on November 9, representing over 40% of the total CFE volume for that day.

VIX futures began trading 24 hours per day, five days per week in 2014. On a typical trading day, more than 10% of VIX futures volume trades during extended trading hours.