Despite exceptionally low realized and implied volatility in February, CBOE experienced a massive increase in our VIX options average daily volume during our Extended Trading Hours session. 

VIX options ETH ADV was 7,336 contracts per day in February 2017.  This compares to ADV of 1,761 contracts per day in 2016, a 416% increase.

February VIX option ETH volume was bolstered by extremely strong sessions to close the month on February 24, February 27, and February 28, demonstrating that there is ample liquidity for market participants to execute significant size during non-U.S. trading hours.

ETH Trade Date

VIX Options ETH Volume

24-Feb

71,211

27-Feb

20,040

28-Feb

33,951

 

Highlights of some of the recent VIX option ETH volume:

  • February 24:customer was a buyer of 32,000 contracts of the VIX 15.0 / 22.0 call spread expiring March 22, 2017.Five different market making firms sold the call spread.
  • February 27:customer was a buyer of 5,000 VIX May 20.0 calls and 15,000 of the May 25.0 calls.Six different market making firms participated on the sell side.
  • February 28:Customer bought 10,000 VIX May 15.0 / 20.0 call spreads vs. selling 10,000 May 12.0 puts.Paid $0.82 for the entire package.The trade was executed via CBOE’s Automated Improvement Mechanism (AIM), an electronic crossing mechanism used for facilitation and solicitations.The payoff of this trade at expiration looks like this:
VIX ETH PO

CBOE’s Extended Trading Hours sessions for options is an all-electronic session for our SPX & VIX product suite.  It opens at 2am Chicago / 8am London, and trades until 8:15am Chicago / 2:15pm London.