Thursday, March 8, 2007

CBOE Press Release: Volatility Index (Vix) Options Trade 230,847 Contracts, Setting New All-Time Record Today, Thursday, March 8, 2007

Chicago, March 8, 2007 - The Chicago Board Options Exchange (CBOE) announced that reported volume in options on the CBOE Volatility Index, "VIX" (ticker symbol VIX), was 230,847 contracts today beating the previous record of 162,856 contracts traded on August 14, 2006. VIX is the widely disseminated benchmark index of market volatility and investor sentiment, sometimes referred to as the market's "fear gauge."

Today's trading activity in VIX options was spread across strike prices and months, with heaviest volume in March 18, March 20 and May 14 calls. Open interest across all VIX options stood at 950,164 contracts (706,949 calls and 243,215 puts) at the start of trading this morning. VIX options trade on the February expiration cycle with March, April, May, August, September and November 2007, and February and May 2008 expirations currently available. VIX closed today at 14.29, with a high of 14.70 and a low of 13.48.

VIX had recently been hovering near the lower end of its range, until a surge in volatility during the week of February 26, 2007. So far in 2007, the lowest VIX reading, of 9.7, was recorded on February 14, and the highest level, of 19.01, was on February 27, 2007. The VIX price is calculated and disseminated by the CBOE throughout the trading day, and historical values can be found on the CBOE website at http://www.cboe.com/. A table with yearly high and low closing prices is included at the end of this release.

Launched just one year ago, on February 24, 2006, VIX options have been one of the most successful new products launched at CBOE.Average daily volume for VIX options during February, 2007 was 45,605 contracts. For all of 2006, average daily volume was 28,050 contracts. VIX futures also are available on the all-electronic CBOE Futures Exchange (CFE).

CBOE has created a new section of its award-winning website, offering education on VIX trading strategies, historical price data on the VIX going back to 1986, charts, answers to frequently-asked questions, and a free options toolbox, at: http://www.cboe.com/VIXOptions. The CBOE Futures Exchange recently launched a monthly newsletter, "Futures in Volatility," that focuses on volatility and volatility trading strategies. The newsletter is free of charge.

CBOE, the largest options marketplace in the U.S. and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, visit the CBOE website at: http://www.cboe.com/.

2 comments:

Bill Luby said...

What is significant about 8/14/06? Well...it was the last time that the VIX closed above 14.00 until 2/27/07...

LifePost said...

Next week will be very interesting to see how those open interest positions change.

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