Tag Archives: CBO

>CBOE Futures Exchange: Trading Volume Tops One Million for First Time


Thank you QE2!!!

Trading Volume Tops One Million Contracts for the First Time at CBOE Futures Exchange


April 4, 2011
The CBOE Futures Exchange, LLC (CFE) today announced that March 2011 was the most active trading month in CFE history as volume surpassed the one-million-contracts milestone for the first time ever.  The 1,066,367 contracts that changed hands during March was a new all-time high and the third consecutive record month at CFE, following the previous highs of 789,734 contracts in February and 778,157 contracts in January.  When including November 2010’s volume of 751,481 contracts, the four busiest months in CFE history have occurred during the last five months.  
March 2011 volume exceeded the 217,429 contracts traded in March 2010 by 390 percent.  March 2011 was the most active month of March on record at CFE and marked the eighteenth consecutive month in which total volume registered an increase when comparing year-over-year trading activity.
Average daily volume (ADV) of 46,363 contracts during March 2011, which was also a new record, topped the March 2010 ADV of 9,453 contracts by 390 percent.  When compared to 41,565 contracts per day during February 2011, which was the previous high, ADV in March rose 12 percent.  This was the second consecutive month in which CFE daily volume averaged over 40,000 contracts, a first for CFE.  
Current Month

23 23 19 62 61
1,066,367 217,429 +390 789,734 +35 2,634,258 626,690 +320
46,363 9,453 +390 41,565 +12 42,488 10,274 +314
On Tuesday, March 15, Wednesday, March 16 and Friday, March 11, CFE experienced the three busiest single days in its history when 97,385, 97,254 and 77,619 contracts traded, respectively.  CFE also set back-to-back weekly volume records during the month: a total of 282,287 contracts traded March 7 through 11, which was then surpassed when a total of 334,692 contracts traded March 14 through 18.  Additionally, exchange open interest reached a new high of 210,495 contracts on Wednesday, March 16.    
Total trading volume for the first quarter of 2011 was 2,634,258 contracts, which now ranks as the busiest quarter in CFE history.  The trading volume during the first three months of 2011 surpassed the volume of 1,787,035 contracts during the previous quarter (4Q 2010) and the 626,690 contracts during the first three months of 2010 (1Q 2010) by 47 percent and 320 percent, respectively.  ADV during the quarter was 42,488 contracts, compared with 27,922 contracts in the fourth quarter of 2010 and the 10,274 contracts in the first quarter of 2010.  
March 2011 volume in VIX futures, based on the CBOE Volatility Index (ticker VX), totaled a new record of 1,065,374 contracts, exceeding the 216,800 contracts traded last March by 391 percent and the 788,908 contracts in February 2011, which was the previous high, by 35 percent.  March was the first month ever for VIX futures volume to surpass the one-million-contracts milestone.  
Average daily volume in VIX futures also reached a new high of 46,320 contracts during March.  This ADV surpassed the 9,426 contracts per day a year ago and topped the 41,521 contracts per day in February 2011 by 12 percent.  VIX futures experienced the top three most active single trading days in CFE history during the month:  97,337 contracts on Tuesday, March 15; 97,113 contracts on Wednesday, March 16; and 77,556 contracts on Friday, March 11.    
CFE currently offers futures on six different contracts, including: the CBOE Volatility Index (VIX), Weekly options on VIX futures (VOW), CBOE mini-VIX (VM), CBOE Gold ETF Volatility Index (GVZ), CBOE S&P 500 3-Month Variance (VT) and CBOE S&P 500 12-Month Variance (VA).  
On March 25, CFE launched security futures on the CBOE Gold ETF Volatility Index (GVZ), further expanding tradable CFE volatility products into a new asset class.  The calculation of the CBOE Gold ETF Volatility Index (“Gold VIX”) is based on the well-known CBOE VIX methodology applied to options on the SPDR Gold Trust (NYSE:GLD).  The Gold VIX is an up-to-the-minute market estimate of the expected 30-day volatility of GLD, calculated using real-time bid/ask quotes of GLD options that are listed on CBOE.  For more information on CBOE Gold ETF Volatility Index futures and options, see http://www.cboe.com/GVZ.
CFE, a wholly owned subsidiary of CBOE Holdings, Inc. (NASDAQ:CBOE), offers an all-electronic, open-access market model, with traders providing liquidity and making markets.  CFE trades are cleared by the AAA-rated Options Clearing Corporation (OCC). CBOE Futures Exchange is regulated by the Commodity Futures Trading Commission (CFTC).  
More information on CFE and its products, including contract specifications, can be found at: http://cfe.cboe.com/.  
CBOE®, Chicago Board Options Exchange®, CFE®, CBOE Volatility Index® and VIX® are registered trademarks, and CBOE Futures Exchange(SM) , GVZ(SM) and Weeklys(SM) are servicemarks of Chicago Board Options Exchange, Incorporated (CBOE).  Standard & Poor’s®, S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services, LLC,. and have been licensed for use by CBOE.  
SOURCE CBOE Futures Exchange, LLC

Debt Factoids on Our National Debt Are Puzzling – And Scary – Seeking Alpha

If you’re interested in the subject of our national debt, there is a new must read report from the Congressional Budget Office (CBO) on the topic. It includes some odds and ends that I found interesting.
We know that there is a law called the debt ceiling. We also know that we will (again) hit that limit early in 2011. Many think that this will be a line in the sand fight with the new Congress. Phooey. According to the CBO report, suspending issuance of maturing cash management bills in the supplementary financing program will cost $200 billion; suspending flows and redeeming securities in government accounts, $124 billion; from the civil service retirement fund, “at least” $200 billion; from the exchange stabilization fund, $20 billion; and swapping debt with the federal financing bank, $15 billion. Total: $560 billion.

Conclusion: If there is to be a fight over the debt limit, it could be a long one.
The CBO is speaking with forked tongue in this report. A critical issue: How do we define what debt is at the federal level?

There are so many components to the puzzle. I give the CBO an A+ for this position:

CBO believes it is appropriate and useful to policymakers to include Fannie Mae’s and Freddie Mac’s financial transactions with other federal activities in the budget. The two entities do not represent a net asset to the government but a net liability — that is, their impact on the government’s financial position is a negative one.

So how does CBO actually account for F/F? It gets a D- for this:

Neither CBO nor the Administration currently incorporates debt or MBSs issued by Fannie Mae (FNMA.OB) and Freddie Mac (FMCC.OB).

That’s interesting. They say they “should” do it, but they don’t. Who makes that decision?

The Administration’s Office of Management and Budget (OMB) makes the ultimate decision about whether the activities of Fannie Mae and Freddie Mac will be included in the federal budget.

The White House decides which categories of debt are included when determining what constitutes debt? That is convenient. When did that happen? We are not talking chicken scratch here. The good folks over at the Fannie and Freddie have piled up $6 trillion in debt. We would blow out the debt ceiling set by Congress by over 40% if that came on the books. So it stays off the books. But the debt is staring us in the face. Funny system.
This also caught my eye:

Payments of interest from the FFB to the Treasury have been less than $1 billion annually in recent years but are projected to increase (to as much as $6 billion) because of higher loan activity (particularly by the Department of Energy’s Advanced Technology Vehicles Manufacturing program and the Rural Utilities Service). As of September 30, 2010, the FFB portfolio totaled $60 billion.

Hello, what is this? For interest to rise at the FFB from $1 billion to $6 billion, it would have to imply that there is at least a four- or five-fold increase in the balance sheet. This means that there is a plan to grow the FFB by $250 billion. Who is going to be the beneficiary of that? That is a hell of a lot of money. Is the FFB going to fund a solar build-out? The existing portfolio of Department of Energy loans:

Another (minor) data point of interest: The federal government has a number of trust funds that are used as accounting vehicles to store up IOUs from the government. The principal accounts and current holdings:

Social Security Trust Fund…….2.6t
Civil Service Retirement Fund…0.8t
Military Retirement Fund………0.3t
All others…….…………………0.6t

Total:…………………………..4.6 trillion

These funds are all anticipated to grow over the next decade. One has a growth rate that is way out of whack with the others:

The Military Retirement Fund is growing at three times the rate of the others. The raw numbers are $282 billion for 2010 and $1.012 trillion for 2020. That’s a 10-year increase of $730 billion (a 350% increase). What is that about? Are we planning on a new war, or have we just not accounted for the retirement costs of the military properly over the past decade or two? I suspect (hope) it is the latter.
We have all seen a form of this chart elsewhere. It is nothing to be proud of. Yes, there are a few countries in worse shape than us. But Italy, Greece and Belgium are now making front-page news with their debt. And the U.S. will have a different outcome than Japan.

This chart of trust fund assets is central to our problem. Notice that these funds are scheduled to grow by more than $2 trillion. It sounds nice that the nation has trust funds where money is squirreled away someplace safe — money that can be used to pay bills (Social Security) when they come due over the next 20 years.

But there is no money in the trust funds. They have IOUs that obligate future taxpayers to come up with the cash when needed. The trust funds have nothing to do with “savings” in the traditional sense.
This has been going on since 1983, when Greenspan created the accounting gimmick and the huge surpluses that followed. The fact is we do have future liabilities, and there have been some savings set aside for that. But the money has been spent on funding past deficits. So, really, there are no savings.
I am not sure there is a fix to this problem. I do know that the bills on this are coming due in the next five years or so. I don’t think we will make it another 10 years without having to confront this problem.

Debt Factoids on Our National Debt Are Puzzling – And Scary – Seeking Alpha

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