Cboe Futures Exchange

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CBOE Futures Exchange (CFE)
Founded 2004
Headquarters Chicago
Key People Ed Tilly, Chairman; James F. Lubin, Managing Director
Products Futures contracts primarily based on volatility and variance
Website cfe.cboe.com

The fully electronic CBOE Futures Exchange, LLC (CFE), a wholly owned subsidiary of the CBOE Holdings, Inc., opened for trading in 2004, with the vision of offering futures contracts based on “volatility” and on “variance.” As of March 1, 2012, CFE listed eight futures contracts, including the CBOE Volatility Index (VIX), Weeklys options on VIX futures (VOW), CBOE mini-VIX (VM), CBOE Gold ETF Volatility Index (GVZ), CBOE Emerging Market ETF Volatility Index (VXEM), CBOE Brazil ETF Volatillity Index (VXEW) and CBOE S&P 500 3-Month Variance (VT).


Unlike the CBOE and the CBOE Stock Exchange (CBSX), both of which are regulated by the Securities and Exchange Commission (SEC), the CBOE Futures Exchange is regulated by the Commodity Futures Trading Commission (CFTC).


The first CFE futures contract offered in 2004 was based on the CBOE Volatility Index (the VIX), a benchmark of market sentiment to reflect investors’ consensus view of expected stock market volatility (the “investor fear gauge”) over the coming 30 days.

In April 2012, the CFE and DRW Trading Group completed an agreement that will enable the CFE to offer variance futures that match the quoting conventions and economic performance of OTC stock index variance swaps. CFE will use DRW's patent-pending methodology to create the swaps. The exchange plans to introduce a futures contract based on the variance of the S&P 500 (SPX) later in 2012, subject to regulatory approval. Variance swaps measure the difference between the expected and actual variance of an underlying instrument over a fixed time period. [1]

Full Product Listing

All futures on CFE are traded electronically from 8:30 a.m. - 3:15 p.m. (Chicago time) via CBOEdirect and are cleared at the Options Clearing Corporation (OCC).

Full CFE product specifications[2], market data [3], and other educational resources[4] are available both on this wiki and on the CFE site.[5]


Market Activity

  • 2011: CFE trading volume achieved a new all-time high of 12 million contracts in 2011, surpassing the 4.4 million contracts traded in 2010 by 174 percent. CFE’s record trading activity was propelled by robust volume in CFE’s flagship product, futures on the CBOE Volatility Index (VIX). During CFE’s record-setting year, nearly every major trading metric at the exchange achieved a new all-time high.
  • 2009: The CFE announced that 2009 average daily volume was 4,585 contracts, essentially unchanged from 4,589 contracts per day during 2008. During 2009, a total of 1,155,318 contracts were traded. Volume was off less than 1 percent from the record 1,161,019 contracts traded during 2008, which primarily resulted from one fewer trading day in 2009 versus 2008. Trading volume surpassed the million-contract benchmark for the third consecutive year at CFE. Volume in VIX futures, based on the CBOE Volatility Index (ticker VX), totaled a new record 1,144,188 contracts traded during 2009, up 5 percent from the previous high of 1,088,090 contracts last year. Average daily volume for the year was 4,540 contracts, surpassing 4,301 contracts per day in 2008 by 6 percent.[6]
  • 2008: Best Year Ever for CBOE Futures Exchange -- CBOE announced that 2008 was the busiest year in CFE's five-year history as volume totaled 1,161,019 contracts. Volume in 2008 rose 2 percent over 1,136,295 contracts traded in 2007 and marked the fourth consecutive year of record annual trading volume at CFE. Average daily volume for the year was 4,589 contracts, compared to the year-ago average daily volume of 4,527 contracts. Volume in CFE's most-actively traded contract, VIX futures, based on the CBOE Volatility Index (ticker VX), totaled a record 1,088,090 contracts during 2008, up 4 percent from 1,046,475 contracts traded in 2007, the previous high. On the year, average daily volume in VIX futures was 4,301 contracts, versus 4,169 contracts per day in 2007.[7]
  • 2007: Tops one million contract volume -- In 2007, trading volume on CFE totaled just less than 1.14 million contracts (average daily volume 4,500 contracts), an increase of 138 percent over 2006 volume of 478,000 contracts, the previous annual high for trading volume. This was the first year that CFE volume topped one million contracts. In 2007, VIX futures, based on the CBOE Volatility Index (ticker VX) accounted for 1.05 million of total annual volume, a 140-percent increase over 2006. Open interest at year end stood just under 60,000 contracts, up 65 percent over the 2006. [8]

Annual Report


  • On Feb. 1, 2012, the CFE announced its busiest January ever, with trading volume up 4 percent from 2011. 808,784 contracts were traded in January 2012, compared to the year ago volume of 777,366 contracts traded.[9]
  • On Feb. 25, 2009, the exchange announced it would begin offering CBOE mini-VIX futures, a contract one-tenth the size of the standard CBOE VIX futures contract.[10]


  1. CBOE Futures Exchange And DRW Trading Group Complete Agreement To Create Stock Index Variance Futures. CBOE.
  2. Product Specifications. CBOE Futures Exchange.
  3. Market Data. CBOE Futures Exchange.
  4. Educational resources. CBOE Futures Exchange.
  5. CFE home page. CBOE Futures Exchange.
  7. "2008 IS THE FOURTH CONSECUTIVE YEAR OF RECORD GROWTH FOR CBOE FUTURES EXCHANGE; Trading Rises Two Percent Over Year-Ago, Volume Tops One Million Contracts Traded For Second Consecutive Year”. CFE.
  9. CBOE Futures Exchange Experiences Busiest January Ever, Trading Volume Up 4% Over 2011. CFE.
  10. CBOE unit to offer fear-based futures. Crain's Chicago Business.