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 Friday, May 27, 2016


Trade Volume ECRP Volume Open Interest Change in
Open Interest
CFE Futures Totals 167613 0 463218 581
Futures Trade Volume ECRP Volume Open Interest Change in
Open Interest
CBOE RUSSELL 2000 VOLATILITY INDEX 22 0 254 22
CBOE VOLATILITY INDEX 167591 0 461980 559
CBOE/CBOT 10YR US TREASURY NOTE VOLATILITY INDEX 0 0 0 0
S&P 500 VARIANCE FUTURES 0 0 984 0
CBOE RUSSELL 2000 VOLATILITY INDEX VU
VU M (Jun 16)
Contract Prices (US$) Open High Low Close
0.00 b19.50 19.10a 0.00
Settle Settle - Var Change
19.000  N/A -0.60
Contract Volume Total ECRP Open Interest
0 0 12
VU N (Jul 16)
Contract Prices (US$) Open High Low Close
20.70 b20.85 20.60a 20.70
Settle Settle - Var Change
20.475  N/A -0.45
Contract Volume Total ECRP Open Interest
2 0 106
VU Q (Aug 16)
Contract Prices (US$) Open High Low Close
0.00 b21.05 21.00a 0.00
Settle Settle - Var Change
20.875  N/A -0.30
Contract Volume Total ECRP Open Interest
0 0 109
VU U (Sep 16)
Contract Prices (US$) Open High Low Close
21.60 21.70 21.55a 21.65
Settle Settle - Var Change
21.525  N/A 0.03
Contract Volume Total ECRP Open Interest
20 0 27
CBOE VOLATILITY INDEX VX
VX22 M (Jun 16)
Contract Prices (US$) Open High Low Close
14.50 b14.55 14.12  14.12
Settle Settle - Var Change
14.150  N/A -0.53
Contract Volume Total ECRP Open Interest
104 0 369
VX23 M (Jun 16)
Contract Prices (US$) Open High Low Close
14.85 b15.00 14.55  14.62
Settle Settle - Var Change
14.575  N/A -0.55
Contract Volume Total ECRP Open Interest
46 0 102
VX M (Jun 16)
Contract Prices (US$) Open High Low Close
15.85 15.97 15.35  15.40
Settle Settle - Var Change
15.375  N/A -0.45
Contract Volume Total ECRP Open Interest
81273 0 224063
VX25 M (Jun 16)
Contract Prices (US$) Open High Low Close
15.80 b16.00 15.72  15.72
Settle Settle - Var Change
15.625  N/A -0.40
Contract Volume Total ECRP Open Interest
126 0 236
VX26 M (Jun 16)
Contract Prices (US$) Open High Low Close
0.00 b16.35 16.30a 0.00
Settle Settle - Var Change
16.125  N/A -0.33
Contract Volume Total ECRP Open Interest
0 0 1
VX27 N (Jul 16)
Contract Prices (US$) Open High Low Close
0.00 b16.85 17.10a 0.00
Settle Settle - Var Change
16.775  N/A -0.30
Contract Volume Total ECRP Open Interest
0 0 0
VX N (Jul 16)
Contract Prices (US$) Open High Low Close
17.81 17.95 17.55  17.61
Settle Settle - Var Change
17.625  N/A -0.20
Contract Volume Total ECRP Open Interest
57321 0 124483
VX Q (Aug 16)
Contract Prices (US$) Open High Low Close
18.52 18.68 18.32  18.39
Settle Settle - Var Change
18.375  N/A -0.15
Contract Volume Total ECRP Open Interest
15388 0 42031
VX U (Sep 16)
Contract Prices (US$) Open High Low Close
19.35 19.49 19.15  19.20
Settle Settle - Var Change
19.225  N/A -0.15
Contract Volume Total ECRP Open Interest
6128 0 25982
VX V (Oct 16)
Contract Prices (US$) Open High Low Close
19.85 19.92 19.63  19.70
Settle Settle - Var Change
19.675  N/A -0.15
Contract Volume Total ECRP Open Interest
3380 0 19217
VX X (Nov 16)
Contract Prices (US$) Open High Low Close
19.97 20.06 19.75  19.85
Settle Settle - Var Change
19.825  N/A -0.15
Contract Volume Total ECRP Open Interest
1966 0 14042
VX Z (Dec 16)
Contract Prices (US$) Open High Low Close
19.95 20.00 19.73  19.80
Settle Settle - Var Change
19.775  N/A -0.15
Contract Volume Total ECRP Open Interest
1567 0 9022
VX F (Jan 17)
Contract Prices (US$) Open High Low Close
20.73 20.80 20.55  20.60
Settle Settle - Var Change
20.575  N/A -0.20
Contract Volume Total ECRP Open Interest
292 0 2427
VX G (Feb 17)
Contract Prices (US$) Open High Low Close
0.00 b20.15 21.15a 0.00
Settle Settle - Var Change
20.650  N/A -0.08
Contract Volume Total ECRP Open Interest
0 0 5
CBOE/CBOT 10YR US TREASURY NOTE VOLATILITY INDEX VXTY
VXTY M (Jun 16)
Contract Prices (US$) Open High Low Close
0.00 b4.20 5.20a 0.00
Settle Settle - Var Change
4.700  N/A -0.20
Contract Volume Total ECRP Open Interest
0 0 0
VXTY N (Jul 16)
Contract Prices (US$) Open High Low Close
0.00 b4.25 5.25a 0.00
Settle Settle - Var Change
4.750  N/A -0.20
Contract Volume Total ECRP Open Interest
0 0 0
VXTY Q (Aug 16)
Contract Prices (US$) Open High Low Close
0.00 b4.30 5.30a 0.00
Settle Settle - Var Change
4.800  N/A -0.20
Contract Volume Total ECRP Open Interest
0 0 0
S&P 500 VARIANCE FUTURES VA
VA M (Jun 16)
Contract Prices (US$) Open High Low Close
0.00 b11.95 11.60a 0.00
Settle Settle - Var Change
11.250  846.6769 -1.10
Contract Volume Total ECRP Open Interest
0 0 984
VA N (Jul 16)
Contract Prices (US$) Open High Low Close
0.00 b14.00 14.10a 0.00
Settle Settle - Var Change
13.750  784.5092 -0.75
Contract Volume Total ECRP Open Interest
0 0 0
VA Q (Aug 16)
Contract Prices (US$) Open High Low Close
0.00 b15.55 15.80a 0.00
Settle Settle - Var Change
15.425  876.1199 -0.55
Contract Volume Total ECRP Open Interest
0 0 0
VA U (Sep 16)
Contract Prices (US$) Open High Low Close
0.00 b16.55 16.85a 0.00
Settle Settle - Var Change
16.525  697.7799 -0.48
Contract Volume Total ECRP Open Interest
0 0 0
VA Z (Dec 16)
Contract Prices (US$) Open High Low Close
0.00 b18.55 18.95a 0.00
Settle Settle - Var Change
18.575  761.0301 -0.40
Contract Volume Total ECRP Open Interest
0 0 0
VA F (Jan 17)
Contract Prices (US$) Open High Low Close
0.00 b19.00 19.30a 0.00
Settle Settle - Var Change
19.025  769.5510 -0.15
Contract Volume Total ECRP Open Interest
0 0 0
VA H (Mar 17)
Contract Prices (US$) Open High Low Close
0.00 b19.60 19.95a 0.00
Settle Settle - Var Change
19.625  886.2079 -0.30
Contract Volume Total ECRP Open Interest
0 0 0
VA M (Jun 17)
Contract Prices (US$) Open High Low Close
0.00 b20.35 20.70a 0.00
Settle Settle - Var Change
20.475  916.9467 -0.05
Contract Volume Total ECRP Open Interest
0 0 0
VA Z (Dec 17)
Contract Prices (US$) Open High Low Close
0.00 b20.95 21.55a 0.00
Settle Settle - Var Change
21.075  850.2465 -0.35
Contract Volume Total ECRP Open Interest
0 0 0
VA Z (Dec 18)
Contract Prices (US$) Open High Low Close
0.00 b21.80 22.65a 0.00
Settle Settle - Var Change
22.175  882.2946 -0.15
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.