CBOE reports 25% ADV MoM increase in September

CBOE Holdings, Inc. (NASDAQ: CBOE) has reported that September average daily volume (ADV) for options contracts traded on Chicago Board Options Exchange® (CBOE®) and C2 Options Exchange (C2), and futures contracts traded on CBOE Futures Exchange (CFE®) was 5.1 million contracts, an increase of 25% from August 2016 and 3% from September 2015.

Trading Volume Highlights: September

  • Index options traded at CBOE and C2 had an ADV of 1.8 million contracts, up 24 percent from August 2016, with S&P 500® Index (SPX) options ADV of 1.1 million contracts up 26 percent from August 2016 and CBOE Volatility Index® (VIX® Index) options ADV of 615,166 contracts up 22 percent from August 2016.
  • VIX futures at CFE had an ADV of 302,205 contracts, up 46 percent from August 2016 and 20 percent from September 2015.
  • Equity options traded at CBOE and C2 had an ADV of 1.6 million contracts in September, an increase of 13 percent from August 2016 and 20 percent from September 2015.


New CBOE Holdings Monthly Trading Volume Report and RPC Format

Beginning in November, on the second business day of each month, CBOE Holdings plans to issue a press release to give notice when new monthly trading volume and average revenue per contract (RPC) data is updated and available on the CBOE website. Going forward, each notice and the posting of data on the website will replace monthly trading volume report press releases. The complete volume and RPC statistics will be available under the Quotes & Data section of CBOE’s website.

CBOE Holdings Average Revenue Per Contract

The following represents average revenue per contract (RPC) based on a three-month rolling average, reported on a one-month lag. The average RPC represents total transaction fees for CBOE, C2 and CFE recognized for the period divided by total contracts traded during the period. Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.

Third-Quarter 2016 RPC Guidance

The company currently expects RPC by product category for the third quarter of 2016 to be in line with the amounts noted below for the two-months ended August 31, 2016, except for futures. The third-quarter RPC for futures is expected to be 2 to 3 percent below the two-month average, due to higher volume rebates expected in September resulting from a significant increase in VIX futures volume. These expectations are estimated, preliminary and may change. There can be no assurance that our final RPC for the three-months ended September 30, 2016 will not differ materially from these expectations.

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