Yesterday the CBOE Futures Exchange established a new single day volume record for trading in VIX futures, with 12,102 contracts changing hands. The new record surpassed the previous record of 10,673 by 13.4%.
For those who wonder if new volume records for VIX futures may be significant, the old record stood for exactly seven months, having been established on October 10, 2006. In terms of historical context, the October 10 activity preceded a COT report that noted a substantial swing in the holdings of commercials from net long to net short. While commercials are generally considered to be the most savvy of the three groups in the COT report, the VIX did very little over the next 5 ½ months from October to late February, save drift slowly lower as volatility continued to compress.