Derivative Instruments
The volume of trading in all derivative instruments was 1.2 million instruments in July 2009. The number of open interest was 145 thousand instruments. It was the highest number of open interest at the end of a month in the history of the WSE.
The volume of trading in stock futures contracts was over 300 thousand contracts (precisely 300,710 contracts) year to date (January-July 2009), up by 86% of year on year.
The volume of trading in currency futures contracts was 118 thousand contracts year to date, up by more than 230% of year on year.
The detailed statistics (the volume of trading, the number of open interest, the growth rate) are presented in Table 1 and in Figures 1 and 2.
Structured Products
The value of trading in structured products was PLN 12.6 million in July, including PLN 0.5 million on bonds and PLN 12.1 million on certificates (PLN 133 million year to date). The volume of trading was over 131 thousand products.
On 14 July, the 11th series of express structured certificates issued by Deutsche Bank AG, London, was introduced to trading. The certificates have the same structure as the 10 series of Deutsche Bank express certificates previously introduced to trading on the WSE.
On 17 July, the BZ WBK Nowa Infrastruktura+ Bond was introduced to trading. It is the 5th structured product issued by SecurAsset SA and listed on the WSE. The underlying is a basket of indices including the following (each index represents 1/3 of the basket value):- BNP Paribas Global Infrastructure ER Index,
- BNP Paribas COMAC Isovol 8 LS ER Index,
- PLN Cash Index.
Currently the WSE lists 65 structured products, including 15 bonds and 50 certificates (35 structured certificates, 1 bonus structured certificate, 1 guaranteed structured certificate, 2 short structured certificates, 11 express structured certificates). The number of structured products listed on the WSE has grown by 19 products (14 certificates and 5 bonds) year to date.
Table 1
Volume of trading (including block trades) in:- July 2009,
- January – July 2009,
- August 2008 – July 2009 (last 12 months).
(number of instruments)
|
No. |
Instrument |
VOLUME OF TRADING (#) |
NUMBER OF OPEN INTEREST (#) |
||||||||||
|
JULY |
JANUARY - JULY |
LAST 12 MONTHS
(AUG 08 – JUL 09) |
2008 |
% CHANGE |
End of JULY |
||||||||
|
2009 |
2008 |
% CHANGE |
2009 |
2008 |
% CHANGE |
2009 |
2008 |
% CHANE |
|||||
|
1 |
WIG20
CONTRACTS |
1 134 770 |
905 572 |
25.31% |
7 154 629 |
6 877 235 |
4.03% |
12 020 634 |
11 743 240 |
2.36% |
95 324 |
61 986 |
53.78% |
|
2 |
mWIG40
CONTRACTS |
1 591 |
4 347 |
-63.40% |
15 414 |
13 429 |
14.78% |
27 334 |
25 349 |
7.83% |
579 |
461 |
25.60% |
|
3 |
TECHWIG
CONTRACTS |
N/L |
N/L |
- |
N/L |
1 141 |
- |
N/L |
1 141 |
- |
N/L |
N/L |
- |
|
4 |
STOCK
CONTRACTS |
36 406 |
25 497 |
42.79% |
300 710 |
161 491 |
86.21% |
470 865 |
331 646 |
41.98% |
6 676 |
3 403 |
96.18% |
|
5 |
CURRENCY
CONTRACTS |
9 531 |
7 327 |
30.08% |
118 471 |
35 703 |
231.82% |
215 327 |
132 559 |
62.44% |
1 651 |
2 353 |
-29.83% |
|
6 |
WIG20 OPTIONS |
30 715 |
38 568 |
-20.36% |
219 133 |
186 813 |
17.30% |
358 903 |
326 583 |
9.90% |
28 719 |
27 688 |
3.72% |
|
7 |
WIG20
PARTICIPATION UNITS |
3 465 |
1 716 |
101.92% |
23 977 |
16 691 |
43.65% |
43 613 |
36 327 |
20.06% |
12 225 |
7 096 |
72.28% |
|
|
TOTAL |
1 216 478 |
983 027 |
23.75% |
7 832 334 |
7 292 503 |
7.40% |
13 136 676 |
12 596 845 |
4.29% |
145 174 |
102 987 |
40.96% |
N/L – not listed
Figure 1
Annual volume of trading (including block trades) and volume of trading in January-July 2009 in all derivative instruments listed on the WSE (million instruments) |
Source: WSE
Figure 2
Total number of open interest in all derivative instruments at the end of the year and at the end of July 2009 (thousand instruments). |
Source: WSE
Figure 3
Number of structured products listed on the WSE (January 2008 – July 2009) |
Source: WSE
