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CFE VIX Futures Volume Average Daily Volume Record Set

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VIX Futures Volume Average Daily Volume Record Set in 2016

By CFE

 

VIX futures trading was introduced in 2004 at the CBOE Futures Exchange in 2004.  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.  The average daily volume has grown each year since the introduction of the first ever listed derivative based on expected market volatility.  The figure below shows the average daily volume per year.

 

 

Data Source: CBOE Futures Exchange

 

2016 volume was up over 16% compared to average daily trading volume in 2015.  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.  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. 

 

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.  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. 

 

VIX futures continue to attract traders looking to gain direct exposure to the market’s expectations for volatility.  To learn more about VIX futures trading check out the CBOE Futures Exchange home page at www.cfe.cboe.com.

 

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. 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. 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.