US listed options volume fell to a 14-month low in July as domestic stocks’ post-Brexit recovery reduced investors’ appetite for hedges, according to the July 2016 TABB Options LiquidityMatrix (OLM).
Options volume in the month totalled 308.9 million contracts, 16 per cent lower than June’s volume and 19 per cent below the year-ago July.
The S&P 500 Index rose 3.6 per cent in July and closed at fresh record highs during the month for the first time since May 2015. The CBOE VIX Index fell 24 per cent in the month, closing as high as 15.58 on 5 July and as low as 11.77 on 20 July.
July’s quiet is a stark reversal from the flurry of hedging activity in listed options two months ago. In June, after the UK’s unexpected decision to leave the European Union rattled financial markets, traders exchanged the most options on a monthly basis since August 2015. During the swoon, the CBOE VIX Index jumped to 25.76, its highest closing value in four months.