We compute the returns for constant maturity VIX futures returns following Eraker and 2016 volume was up over 16% compared to average daily trading volume in 2015. our basic profile. VIX Historical Price Data. updates via email. The average daily volume has grown each year since the introduction of the first ever listed derivative based on expected market volatility. 0000003104 00000 n The information contained herein is provided to you for information only and believed to be drawn from reliable sources but cannot be guaranteed; Phillip Capital Inc. assumes no responsibility for errors or omissions. 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. 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. 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. %%EOF Average Spread (60-Day) 0.27%. 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 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. The Mini VIX (VXM) was launched on Cboe Futures Exchange (CFE) on 9 August. The mean reverting nature of volatility is a key driver of the shape of the VIX futures term structure and the way it can move in response to changes in perceived risk. 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. 0000135607 00000 n 0000001236 00000 n It has accumulated $1.5 billion and average daily volume … Of the 10 busiest trading days of all-time for VIX futures, four have occurred in 2017. 0000004414 00000 n Average Daily $ Volume $2.36M. Learn everything about ProShares Ultra VIX Short-Term Futures ETF (UVXY). 0000005854 00000 n Click on the below link to view Please select from the links below for VIX historical data: VIX data for 2004 to present (Updated Daily) * VIX data for 1990 - 2003 * Total volume in Mini VIX (VXM) futures has surpassed 2 million contracts since launch on August 9. Mini VIX futures (ticker symbol: VXM) began trading on Cboe Futures Exchange (CFE) on August 9. 0000135059 00000 n 0000003672 00000 n 57 33 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 0000002855 00000 n On Thursday, 27 August, the daily volume for the Mini VIX reached 117,814 contracts. <]/Prev 175255/XRefStm 1236>> 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. VIX futures trading was introduced in 2004 at the CBOE Futures Exchange in 2004. 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” To learn more about VIX futures trading check out the CBOE Futures Exchange home page at www.cfe.cboe.com. 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. 0000000956 00000 n 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. Year-to-date through the end of July, average daily volume in VIX options was 687,181 contracts, 11 percent ahead of the same period a year ago. 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. 0 VIX futures reflect the market's estimate of the value of the VIX Index on various expiration dates in the future. 0000011169 00000 n 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. 0000003927 00000 n ¤ù˜&¿ÒŒ@Ǜi&Ö÷ `3­‡ˆ3e l1%ô 0000012969 00000 n In the first 14 days of trading, the average daily volume (ADV) was 37,000 contracts, and the total volume … 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. 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. Past performance of actual trades or strategies cited herein is not necessarily indicative of future performance. 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. 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. VWAP Calculation for VX Futures Daily Settlement Prices. Therefore, carefully consider whether such trading is suitable for you in light of your financial condition. During the sub-prime crisis over the period August 2008-November 2008, the average daily trading volume was 4,800 contracts per day, and the average VIX futures price was $19.20. hÞbbâg`b``l À ,E ƒ Median Daily Share Volume 39,388,247. VIX Volume is at a current level of 320704.0, N/A from the previous market day and down from 379196.0 one year ago. ProShares Short VIX Short-Term Futures ETF shares last traded at $41.22, with a … Free ratings, analyses, holdings ... Average Daily $ Volume $528.89M. About Volume and Open Interest. 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 … Mini VIX futures (ticker symbol: VXM) began trading on Cboe Futures Exchange (CFE) on August 9. 0000144337 00000 n Learn More About this Report 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. 0000081186 00000 n 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. Cboe Futures Exchange Daily Market Statistics. xref 0000081299 00000 n 0000006916 00000 n 0000050308 00000 n 0000002416 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. 0000008163 00000 n On June 24, in reaction to the Brexit referendum, over 721,000 VIX futures contracts changed hands and on November 9th the volume was 644,892 in reaction to the surprise outcome of the US election. 89 0 obj <>stream Phillip Capital Inc. (PCI) does not provide investment or tax advice; any decision you may make to buy, sell or hold a futures, options, or securities position on any trading recommendation is entirely your own and not in any way deemed to be endorsed by or attributed to PCI. 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. endstream endobj 88 0 obj <>/Filter/FlateDecode/Index[19 38]/Length 20/Size 57/Type/XRef/W[1 1 1]>>stream 0000000016 00000 n 0000105567 00000 n 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 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." 0000007089 00000 n 0000165536 00000 n 0000001404 00000 n The figure below shows the average daily volume per year. VIX futures provide market participants with a variety of opportunities to implement their view using volatility trading strategies, including risk management, alpha generation and … 0000010187 00000 n %PDF-1.4 %âãÏÓ 57 0 obj <> endobj 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 … Volume figures are reported across divisions and asset classes to give you an instant grasp of market activity. 0000012156 00000 n 0000135311 00000 n startxref PCI is an affiliate of PhillipCapital Group of Companies, a group of commonly owned entities headquartered in Singapore and founded in 1975. On September 22, 2003, the Cboe began disseminating price level information using revised methodology for the Cboe Volatility Index, VIX. 0000009184 00000 n endstream endobj 58 0 obj <. For instance, on election night in the US VIX futures trading was very active with the VIX price action reflecting increased uncertainty with respect to the election of Donald Trump and then a reduction of fear as he toned down his rhetoric during his acceptance speech. 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. 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. VIX futures continue to attract traders looking to gain direct exposure to the market’s expectations for volatility. This is a change of N/A from the previous market day and … We find the majority of the trading volume in VIX futures coming from mid-longer maturity contracts. Competing ETFs VIXY. 0000005463 00000 n 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. 0000001892 00000 n Mini VIX futures (ticker symbol: VXM) began trading on Cboe Futures Exchange (CFE) on August 9.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. 0000105825 00000 n ProShares Ultra VIX Short-Term Futures ETF (NYSEARCA:UVXY) were down 8.8% during trading on Thursday. 0000001569 00000 n About CBOE Holdings, Inc. 0000106200 00000 n 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 Historical Data. CME Group’s Exchange Daily Volume and Open Interest Report summarizes exchange-wide volume, including futures and options volume, for Globex, Clearport/PNT and Open Outcry. Mini VIX futures (ticker symbol VXM) began trading on Cboe Futures Exchange (CFE) on August 9. Sign up to hear and get our monthly About CBOE Holdings, Inc. trailer 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. VIX futures trading was introduced in 2004 at the CBOE Futures Exchange in 2004. In the first 14 trading days, the volumes reached more than 521,000 contracts with average daily volume (ADV) of 37,000 contracts. 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. 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 stock has a 50-day moving average of $41.08 and traded as high as $41.41. - Up 35% Over Year Ago - New Short-Term VIX Futures Launched CHICAGO, March 3, 2014 /PRNewswire/ -- The CBOE Futures Exchange, LLC (CFE®) today reported The average daily volume has grown each year since the introduction of the first ever listed derivative based on expected market volatility. Daily from 4th month to 7nd month market volatility continue to attract traders to. Carefully consider whether such trading is suitable for you in light of your financial condition the introduction the... Direct exposure to the market ’ s expectations for volatility to the market ’ s for. 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