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VIX Futures Open Interest Increases to Record High, CBOE Says

Ownership of futures on the Chicago Board Options Exchange Volatility Index rose to a record today after a two-month rally took the Standard & Poor’s 500 Index to the highest level since December 2007.

Open interest in futures on the gauge known as the VIX (VIX) climbed to 438,038 this morning, eclipsing the previous high set in September, according to the CBOE Futures Exchange. The increase came after the gauge of S&P 500 option prices posted a record weekly drop of 39 percent last week and retreated for six consecutive days through Jan. 8.

The S&P 500 has rallied 8.7 percent from its November low as the Federal Reserve expanded its bond purchase program to boost the economy and lawmakers passed a bill averting most of the more than $600 billion of spending cuts and tax increases known as the fiscal cliff. The index slipped 0.2 percent to 1,469.05 at 1:22 p.m. in New York today, after reaching a five- year high yesterday.

The VIX gained 0.2 percent to 13.52 today.

Total volume in futures on the Chicago Board Options Exchange Volatility Index rose to a record 23.79 million in 2012, up from 12.03 million the year before, the CBOE Futures Exchange said on Jan. 2.

CBOE Futures Exchange is a unit of Chicago-based CBOE Holdings Inc. (CBOE), which has the sole license to trade futures on the CBOE Volatility Index.

To contact the reporter on this story: Nikolaj Gammeltoft in New York at ngammeltoft@bloomberg.net

To contact the editor responsible for this story: Lynn Thomasson at lthomasson@bloomberg.net

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