Wall Street Collapse: Did Somebody See It Coming?

It might just be a coincidence, but it seems a little strange that the option and future trading at Chicago Board Option Exchange rose by 36% in the weeks ahead of Thursday’s collapse. The derivative trading at CBOE rose to its highest level in history in April – an increase of stunning 536% compared to April last year.

“Additionally, on Tuesday, April 27, VIX futures set a new single-day volume record as 27,550 contracts traded, besting the previous high of 26,846 contracts on August 1, 2007.”

Chicago Board Option Exchange

The CBOE Futures Exchange, LLC (CFE) announced on Monday that April 2010 was the busiest trading month ever at the Exchange as a total of 296,541 contracts changed hands. For the month, April trading volume was up 536 percent when compared to 46,624 contracts in April 2009 and 36 percent above 217,429 contracts in March 2010.

The 14,121 contracts traded per day during April surpassed the year-ago average daily volume (ADV) of 2,220 contracts and 9,453 contracts per day during the previous month by 536 percent and 49 percent, respectively.

April’s ADV set a new record, topping the old high of 11,632 contracts per day during January 2010, according to the CBOE statement.

Of the five busiest individual trading days in CFE history, four have occurred during 2010. April’s trading activity eclipsed the previous all-time high of 221,025 contracts, which was set in January 2010.

April also marked the seventh consecutive month in which total volume registered an increase when comparing year-over-year trading activity.

Through the first four months of 2010, a total of 923,231 contracts traded, outpacing the 179,356 contracts during the same time period from the previous year, by 415 percent.

Year-to-date average daily volume is 11,259 contracts, compared to 2,187 contracts YTD 2009.

Volatility Makes Money

April volume in VIX futures, based on the CBOE Volatility Index (ticker VX), totaled a record 295,483 contracts traded, gains of 554 percent from 45,194 contracts in April 2009 and 36 percent from 216,800 contracts in March.

April’s volume exceeded the previous record of 220,226 contracts in January 2010.

Average daily volume in VIX futures during April was 14,070 contracts, compared to 2,152 contracts per day a year ago and 9,426 contracts from the previous month.

Additionally, on Tuesday, April 27, VIX futures set a new single-day volume record as 27,550 contracts traded, besting the previous high of 26,846 contracts on August 1, 2007.

Volume in CBOE mini-VIX futures (ticker VM) totaled 1,054 contracts for the month, up 69 percent from 623 contracts traded in March and a decline of 14 percent from 1,222 contracts traded a year ago.

CBOE mini-VIX futures contracts are one-tenth the size of CFE’s standard CBOE VIX futures contract.

Additional information on mini-VIX futures can be found at: http://cfe.cboe.com/Products/Products_VM.aspx.

Here’s Yesterday’s Who-Traded-What List

Here are the detailed Indications Of Interest blasts in the SPY blasted by various market makers.

Not surprisingly JPMorgan, UBS and Morgan Stanley were the three busiest bees selling and buying in what was certainly a record day for their ETF and correlation desks.

An audiorecording posted at Zero Hedge discloses that MSCO at least was a size seller.