CBOE Futures Exchange Daily Market Statistics

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CFE historical Market Statistics Summary files can be accessed from the calendar below:

CFE Futures Price & Volume Detail for Monday, June 27, 2016


Trade Volume ECRP Volume Open Interest Change in
Open Interest
CFE Futures Totals 449643 8522 399066 -15586
Futures Trade Volume ECRP Volume Open Interest Change in
Open Interest
CBOE RUSSELL 2000 VOLATILITY INDEX 55 0 248 -30
CBOE VOLATILITY INDEX 449588 8522 398728 -15556
CBOE/CBOT 10YR US TREASURY NOTE VOLATILITY INDEX 0 0 0 0
S&P 500 VARIANCE FUTURES 0 0 90 0
CBOE RUSSELL 2000 VOLATILITY INDEX VU
VU N (Jul 16)
Contract Prices (US$) Open High Low Close
24.75 b25.75 24.00a 24.75
Settle Settle - Var Change
25.675  N/A 2.03
Contract Volume Total ECRP Open Interest
20 0 120
VU Q (Aug 16)
Contract Prices (US$) Open High Low Close
23.30 24.70 23.25a 24.70
Settle Settle - Var Change
24.350  N/A 0.20
Contract Volume Total ECRP Open Interest
25 0 122
VU U (Sep 16)
Contract Prices (US$) Open High Low Close
24.40 b25.00 24.10a 24.30
Settle Settle - Var Change
24.650  N/A 0.65
Contract Volume Total ECRP Open Interest
10 0 6
VU V (Oct 16)
Contract Prices (US$) Open High Low Close
0.00 b24.95 24.15a 0.00
Settle Settle - Var Change
24.650  N/A 0.55
Contract Volume Total ECRP Open Interest
0 0 0
CBOE VOLATILITY INDEX VX
VX26 M (Jun 16)
Contract Prices (US$) Open High Low Close
24.00 24.90 22.90  23.45
Settle Settle - Var Change
23.225  N/A -0.38
Contract Volume Total ECRP Open Interest
302 0 1183
VX27 N (Jul 16)
Contract Prices (US$) Open High Low Close
22.00 b23.65 22.00  22.75
Settle Settle - Var Change
23.050  N/A 1.13
Contract Volume Total ECRP Open Interest
28 0 79
VX28 N (Jul 16)
Contract Prices (US$) Open High Low Close
23.00 b23.20 22.05a 23.00
Settle Settle - Var Change
22.800  N/A 1.55
Contract Volume Total ECRP Open Interest
70 0 70
VX N (Jul 16)
Contract Prices (US$) Open High Low Close
23.35 23.70 21.70  23.70
Settle Settle - Var Change
23.650  N/A 1.00
Contract Volume Total ECRP Open Interest
244933 5682 188902
VX30 N (Jul 16)
Contract Prices (US$) Open High Low Close
0.00 b22.95 22.10a 0.00
Settle Settle - Var Change
22.725  N/A 0.48
Contract Volume Total ECRP Open Interest
0 0 63
VX31 Q (Aug 16)
Contract Prices (US$) Open High Low Close
22.55 b22.90 22.10a 22.60
Settle Settle - Var Change
22.775  N/A 0.40
Contract Volume Total ECRP Open Interest
3 0 4
VX Q (Aug 16)
Contract Prices (US$) Open High Low Close
22.30 23.05 21.32  23.00
Settle Settle - Var Change
23.025  N/A 0.90
Contract Volume Total ECRP Open Interest
124095 2840 107181
VX U (Sep 16)
Contract Prices (US$) Open High Low Close
22.30 23.00 21.40  23.00
Settle Settle - Var Change
22.950  N/A 0.93
Contract Volume Total ECRP Open Interest
40904 0 26976
VX V (Oct 16)
Contract Prices (US$) Open High Low Close
22.27 22.98 21.55  22.90
Settle Settle - Var Change
22.900  N/A 0.90
Contract Volume Total ECRP Open Interest
18071 0 25671
VX X (Nov 16)
Contract Prices (US$) Open High Low Close
22.12 22.85 21.39  22.80
Settle Settle - Var Change
22.825  N/A 0.93
Contract Volume Total ECRP Open Interest
9226 0 20347
VX Z (Dec 16)
Contract Prices (US$) Open High Low Close
21.78 22.45 21.10  22.43
Settle Settle - Var Change
22.425  N/A 0.83
Contract Volume Total ECRP Open Interest
7316 0 16586
VX F (Jan 17)
Contract Prices (US$) Open High Low Close
22.68 23.30 21.98  23.30
Settle Settle - Var Change
23.225  N/A 0.75
Contract Volume Total ECRP Open Interest
3652 0 10380
VX G (Feb 17)
Contract Prices (US$) Open High Low Close
22.67 23.00 21.90  22.95
Settle Settle - Var Change
22.925  N/A 0.60
Contract Volume Total ECRP Open Interest
988 0 1286
VX H (Mar 17)
Contract Prices (US$) Open High Low Close
0.00 b21.70 23.85a 0.00
Settle Settle - Var Change
22.775  N/A 0.03
Contract Volume Total ECRP Open Interest
0 0 0
CBOE/CBOT 10YR US TREASURY NOTE VOLATILITY INDEX VXTY
VXTY N (Jul 16)
Contract Prices (US$) Open High Low Close
0.00 b5.00 7.00a 0.00
Settle Settle - Var Change
6.000  N/A 0.00
Contract Volume Total ECRP Open Interest
0 0 0
VXTY Q (Aug 16)
Contract Prices (US$) Open High Low Close
0.00 b5.05 7.05a 0.00
Settle Settle - Var Change
6.050  N/A 0.00
Contract Volume Total ECRP Open Interest
0 0 0
VXTY U (Sep 16)
Contract Prices (US$) Open High Low Close
0.00 b53.10 7.10a 0.00
Settle Settle - Var Change
6.100  N/A 0.00
Contract Volume Total ECRP Open Interest
0 0 0
VXTY V (Oct 16)
Contract Prices (US$) Open High Low Close
0.00 b5.15 7.15a 0.00
Settle Settle - Var Change
6.150  N/A 6.15
Contract Volume Total ECRP Open Interest
0 0 0
S&P 500 VARIANCE FUTURES VA
VA N (Jul 16)
Contract Prices (US$) Open High Low Close
0.00 b24.55 22.20a 0.00
Settle Settle - Var Change
22.150  852.3970 -2.03
Contract Volume Total ECRP Open Interest
0 0 90
VA Q (Aug 16)
Contract Prices (US$) Open High Low Close
0.00 b23.65 22.50a 0.00
Settle Settle - Var Change
22.275  995.7629 -0.68
Contract Volume Total ECRP Open Interest
0 0 0
VA U (Sep 16)
Contract Prices (US$) Open High Low Close
0.00 b23.75 22.95a 0.00
Settle Settle - Var Change
22.675  752.2107 -0.03
Contract Volume Total ECRP Open Interest
0 0 0
VA V (Oct 16)
Contract Prices (US$) Open High Low Close
0.00 b23.45 23.00a 0.00
Settle Settle - Var Change
22.775  1115.1217 0.13
Contract Volume Total ECRP Open Interest
0 0 0
VA Z (Dec 16)
Contract Prices (US$) Open High Low Close
0.00 b23.40 23.30a 0.00
Settle Settle - Var Change
23.050  788.6966 0.18
Contract Volume Total ECRP Open Interest
0 0 0
VA F (Jan 17)
Contract Prices (US$) Open High Low Close
0.00 b23.65 23.45a 0.00
Settle Settle - Var Change
23.525  845.0326 0.38
Contract Volume Total ECRP Open Interest
0 0 0
VA H (Mar 17)
Contract Prices (US$) Open High Low Close
0.00 b23.85 23.65a 0.00
Settle Settle - Var Change
23.675  1004.0065 0.23
Contract Volume Total ECRP Open Interest
0 0 0
VA M (Jun 17)
Contract Prices (US$) Open High Low Close
0.00 b24.30 24.15a 0.00
Settle Settle - Var Change
24.525  999.5289 0.78
Contract Volume Total ECRP Open Interest
0 0 0
VA Z (Dec 17)
Contract Prices (US$) Open High Low Close
0.00 b25.10 25.50a 0.00
Settle Settle - Var Change
25.425  944.4252 1.90
Contract Volume Total ECRP Open Interest
0 0 0
VA M (Jun 18)
Contract Prices (US$) Open High Low Close
0.00 b24.65 24.85a 0.00
Settle Settle - Var Change
24.525  1077.8603 0.23
Contract Volume Total ECRP Open Interest
0 0 0
VA Z (Dec 18)
Contract Prices (US$) Open High Low Close
0.00 b24.90 25.35a 0.00
Settle Settle - Var Change
25.025  985.7442 0.18
Contract Volume Total ECRP Open Interest
0 0 0
"b" indicates a bid price.
"a" indicates an offer price.
* Represents either final settlement price or that Exchange discretionary authority used in determining daily settlement price. If Exchange discretionary authority used in determining final settlement price, that will be separately indicated.