March 2007 was a record month on the derivatives market. Total turnover volume on all derivative products amounted as many as 930,486 instruments and was higher by 23% than the previous record month (712,811 instruments in September 2005).
After the first quarter of 2007 the turnover volume on all derivative instruments amounted 2.14 mln, that is about more than 1/3 of the annual volume of 2006 (6.73 mln instruments).
In spite of the fact, that in March the derivative products expired, the number of open interest stayed on the high level and at the end of March 2007 reached the number of 88,956 instruments (many open interests are rolled from the expire date to the next nearest expire date through block trades, that are possible on the WSE since October 16, 2006).
Also the turnover volume on WIG20 index futures reached a record of 877,791 instruments. The previous record was reached in September 2006 (653,064 instruments).
In March there were also daily record volumes. On March 13, 2007 the turnover volume on all future contracts amounted 92,507 instruments (including future contracts on WIG20, which reached a total of 92,229) and was nearly more than 50% higher than the previous daily record (62,131 instruments on December 12, 2006, where there were 61,805 contracts only on WIG20 future contracts).
The number of investors on WIG20 index options increases. In March 2007 a number of 1.1 thousand instruments was reached and it was the highest noticed activity of these investors in a month (in comparison - a number of 6.8 thousand investors traded WIG20 index future contracts). The activity of WIG20 options investors resulted in high options volume, which amounted 40,549 instruments (that was the highest volume since May 2006 – 42,358 instruments).
Volume
of turnover in derivative instruments (incl. block-trades) and open interest
|
|
Instrument |
Trading
volume (instruments) |
Open
interest at the end of March 2007 (instruments) |
||
|
March
2007 |
Jan-Mar
2007 |
Apr
2006-Mar 2007 |
|||
|
1 |
WIG20
index futures |
877
791 |
2 014
115 |
6 653
235 |
57
527 |
|
2 |
mWIG40
index futures |
498 |
817 |
1
361 |
81 |
|
3 |
TECHWIG
index futures |
962 |
2
989 |
12
694 |
86 |
|
4 |
Stock
futures |
7
710 |
20
992 |
87
217 |
1 201
|
|
5 |
Currency
futures |
175 |
514 |
2
692 |
81 |
|
6 |
T-note
futures |
455 |
1
205 |
11
160 |
205 |
|
7 |
Index
Participation Units |
2
319 |
5
226 |
18
148 |
6
846 |
|
8 |
WIG20
index options |
40
549 |
98
121 |
316
278 |
22
928 |
|
9 |
Stock
options |
27 |
71 |
6
600 |
1 |
|
|
Total |
930 486 |
2 144 050 |
7 109 385 |
88 956 |
Important issues
1. On March 19, 2007 a new standard specification for the WIG20 index options came into effect. As of the new standard specification a higher amount of the options series will be introduced to trading on the new expiry date. There are 4 series in-the-money, 4 series out-of-the-money and 1 series at-the-money for all type of options (including 9 series of call options and 9 series of put options). Also the principles of introduction to trading of the next options series have been changed as the effect of the definite value change of the WIG20 index.
2. On March 19, 2007 as a result of the MIDWIG index name change to mWIG40, the abbreviated name of the future contract on this index has been changed. In the new abbreviated name the underlying marking changed from MID to W40.
3. On March 15, 2007 the first block trade on WIG20 options was made. A total volume of the block trade transaction on this option reached a number of 700 instruments.
