The figure below shows the average daily volume per year. We find the majority of the trading volume in VIX futures coming from mid-longer maturity contracts. Year-to-date through the end of July, average daily volume in VIX futures was 283,342 contracts, 20 percent ahead of the same period a year ago. ... Rules for Futures Roll VIXM's index rolls a part of its VIX futures exposure daily from 4th month to 7nd month. VIX futures trading was introduced in 2004 at the CBOE Futures Exchange in 2004. The Mini VIX (VXM) was launched on Cboe Futures Exchange (CFE) on 9 August. %PDF-1.4 %âãÏÓ 2016 volume was up over 16% compared to average daily trading volume in 2015. startxref 0000106200 00000 n Some of the highlights and annual records set in 2020 included: Total options average daily volume (ADV) reached a new all-time high of 10.1 million contracts traded per day in 2020. Trading in futures and securities products entails significant risks of loss which must be understood prior to trading and may not be appropriate for all investors. Total volume in Mini VIX (VXM) futures has surpassed 2 million contracts since launch on August 9. 0000010187 00000 n Cboe Futures Exchange Daily Market Statistics. Historical Data. 57 0 obj <> endobj CFE data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. Year-to-date through the end of July, average daily volume in VIX futures was 283,342 contracts, 20 percent ahead of the same period a year ago. The average daily volume has grown each year since the introduction of the first ever listed derivative based on expected market volatility. On September 22, 2003, the Cboe began disseminating price level information using revised methodology for the Cboe Volatility Index, VIX. 0000005854 00000 n 0000008163 00000 n VIX futures trading was introduced in 2004 at the CBOE Futures Exchange in 2004. Average Spread (60-Day) 0.27%. CFE data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. 0 In VIX futures at CBOE Futures Exchange (CFE), a reported 939,297 contracts traded on Thursday, surpassing the previous single-day record of 791,788 contracts on 15 October, 2014. 0000003927 00000 n hÞb```f``åd`e`àúÍ Ä€ B,@QŽssVA„Ù¾,I} RÐÁÀ`lі¦ [€´,˃E…o3¶1œ`bg8ǸùcóW†Fæ3Ì»˜—2¯bú3qUE.ƒCÜl†‹Œn]§¾+¾šÔÌÀ u ÓÄ ÍÉÀÀ” 0000000956 00000 n Past performance of actual trades or strategies cited herein is not necessarily indicative of future performance. 0000009184 00000 n Please select from the links below for VIX historical data: VIX data for 2004 to present (Updated Daily) * VIX data for 1990 - 2003 * Mini VIX Futures Daily Volume Surpasses 100,000 Contracts for First Time ADV in Mini Cboe Volatility Index (Mini VIX) futures over 37,000 contracts since launch on August 9 VIX futures reflect the market's estimate of the value of the VIX Index on various expiration dates in the future. The views and opinions expressed in this letter are those of the author and do not reflect the views of Phillip Capital Inc. or its staff. 0000006916 00000 n 0000012969 00000 n VIX Historical Price Data. This is a change of N/A from the previous market day and … endstream endobj 58 0 obj <. In VIX futures at CBOE Futures Exchange (CFE), a reported 939,297 contracts traded on Thursday, surpassing the previous single-day record of 791,788 contracts on October 15, 2014. Market shocks often result in higher volumes, but the extension of trading hours for VIX futures has also contributed to the increase in average daily volume. Mini VIX futures (ticker symbol: VXM) began trading on Cboe Futures Exchange (CFE) on August 9. VIX futures continue to attract traders looking to gain direct exposure to the market’s expectations for volatility. 89 0 obj <>stream Most Liquid VIX ETFs and ETNs The following four ETFs and ETNs are the most liquid, with average daily volume in millions of shares (often over 10 million): VXX / VXXB = iPath S&P 500 VIX Short-Term Futures ETN SVXY = ProShares Short VIX Short-Term Futures ETF Volume figures are reported across divisions and asset classes to give you an instant grasp of market activity. Click on the below link to view Total trading volume exceeded over 521,000 contracts in the first 14 trading days, with average daily volume (ADV) of 37,000 contracts, reflecting strong interest from a broad base of market participants across the global trading community. 0000011169 00000 n In the first 14 days of trading, the average daily volume (ADV) was 37,000 contracts, and the total volume … It has accumulated $1.5 billion and average daily volume … As reported in Shu and Zhang (2012), shortly after launch the average open interest and trading volume was 7,000 contracts and 460 contracts,respectively. 0000135607 00000 n We compute the returns for constant maturity VIX futures returns following Eraker and updates via email. Year-to-date through the end of July, average daily volume in VIX options was 687,181 contracts, 11 per cent ahead of the same period a year ago. Average Daily $ Volume $2.36M. Cboe announced that the Mini VIX futures contract surpassed 100,000 marks for the first time, with a daily trading volume reaching 117,814 contracts on 27 August. In the first 14 trading days, the volumes reached more than 521,000 contracts with average daily volume (ADV) of 37,000 contracts. Cboe Global Markets, Inc. CBOE reported total average daily volume (ADV) of 10.8 million contracts in December, up 45.8% year over year, driven by solid performance in … 0000007089 00000 n 0000135059 00000 n Median Daily Share Volume 39,388,247. - Up 35% Over Year Ago - New Short-Term VIX Futures Launched CHICAGO, March 3, 2014 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE®) today reported RISK DISCLAIMER: Trading in futures products entails significant risks of loss which must be understood prior to trading and may not be appropriate for all investors. hÞbbâg`b``l À ,E ƒ 0000105567 00000 n %%EOF companies, today announced that daily trading in the firm’s newly launched Mini Cboe Volatility Index (Mini VIX) futures surpassed the 100,000-contract mark for the first time, when daily volume reached 117,814 contracts on Thursday, August 27. The average daily closing values for the VIX Index were 32.7 in 2008, 24.2 in 2011, and 17.9 year-to-date in 2012. 0000165536 00000 n 0000012156 00000 n The stock has a 50-day moving average of $41.08 and traded as high as $41.41. ProShares VIX Mid-Term Futures ETF (VIXM) Performance over 1-Year: 58.9%; Expense Ratio: 0.87%; Annual Dividend Yield: N/A; 3-Month Average Daily Volume: 71,938; Assets Under Management: $81.2 million While trading volumes so far in 2012 are down in many stock, futures, and options markets, an all-time record 2,443,878 VIX futures contracts changed hands in October 2012, beating the September record of 2,400,552 contracts. One of the unique properties of volatility – and the VIX Index – is that its level is expected to trend toward a long-term average over time, a property commonly known as "mean-reversion." VWAP Calculation for VX Futures Daily Settlement Prices. 0000001404 00000 n Mini VIX futures (ticker symbol VXM) began trading on Cboe Futures Exchange (CFE) on August 9. The stock traded as low as $10.34 and last traded at $10.35. Reference ID: C2020110601 Overview Applicable Cboe Exchange: CFE Effective January 25, 2021, Cboe Futures Exchange, LLC (“CFE”) plans to begin using a olume v weighted average price (VWAP) calculation to determine the daily settlement prices (“DSPs”) for standard-sized The volume increase was aided by a couple of events that came as a surprise to the financial markets, specifically the result of the referendum referred to as Brexit and the election of Donald Trump to the US presidency. 0000144337 00000 n 0000001236 00000 n 57 33 In that first year, average daily volume was 461 contracts, this past year average daily volume for VIX futures was 238,773 contracts a day. 0000081186 00000 n Sign up to hear and get our monthly While the fund has seen rising trading in recent days, its average trading volume of 9.33 million is far less than the 40 million average daily volume seen by the iPath S&P 500 VIX ST Futures … ProShares Ultra VIX Short-Term Futures ETF (NYSEARCA:UVXY) were down 8.8% during trading on Thursday. The average daily volume has grown each year since the introduction of the first ever listed derivative based on expected market volatility. 0000002416 00000 n 0000050308 00000 n This fund offers exposure to one and one-half times (1.5X) the daily performance of the S&P 500 VIX Short-Term Futures Index. Learn everything about ProShares Ultra VIX Short-Term Futures ETF (UVXY). 0000001892 00000 n ¤ù˜&¿ÒŒ@Ǜi&Ö÷ `3­‡ˆ3e l1%ô The Cboe Market Statistics Summary Data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. ( CFE ) on 9 August reported across divisions and asset classes to you! Exposure to the market ’ s expectations for volatility the volumes reached more than 521,000 with. On Cboe Futures Exchange daily market Statistics at www.cfe.cboe.com Index were 32.7 in 2008, in. 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