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Derivatives
The trading volume in all derivatives in May ’09 was 1.1 million instruments. On a year-to-date basis, the turnover volume amounted to 5.2 million instruments (41% of 2008 trading volume). The number of open interest at the end of May was ca. 141,000 instruments. The third highest number of open interest in the WSE history was recorded in May. After the trading session on 20 May, the number of open interest on all derivatives amounted to 149,071 instruments (the highest number of open interest was recorded on 19 and 20 March this year: 151,508 and 151,980 respectively).
Structured Products
Structured products turnover value in May amounted to PLN 17.85 million, of which PLN 1.26 million was generated by bonds and PLN 16.59 million by certificates (on a year-to-date basis, the latter product generated PLN 103.6 million in turnover). Traded volume exceeded 188 thousand instruments.
On 21 and 22 May, the ninth and tenth series of express certificates issued by Deutsche Bank AG debuted on WSE. The structure of those instruments is identical to previous series of such certificates listed on the WSE. The differences include maturity dates, barrier determination dates and coupon values.
On 25 May, structured bonds BZ WBK Nowa Era and BZ WBK Platinium+, issued by SecurAsset SA, listed on the WSE. The base instruments for those bonds are indices published by BNP Paribas and the WIG20 index.
As of 3 June, there are 62 structured products listed on the WSE, including 13 bonds and 49 certificates (35 trackers, 1 bonus certificate, 1 guaranteed certificate, 2 short certificates, 10 express certificates). In 2009 the range of structured products listed on the WSE was extended by a total of 16 instruments (13 certificates and 3 bonds).
Table No. 1
Turnover volume for individual derivatives (including block trades) in May 2009, in January–May 2009, from June 2008 to May 2009 (last 12 months) and the number of open interest at the end of May 2009.
|
# |
Instrument |
Turnover volume (units) |
The number of open interest at the end of May 2009
(units) |
||
|
May 2009 |
Jan. – May 2009 |
Jun. 2008 - May 2009 |
|||
|
1 |
WIG20 FUTURES |
974,056 |
4,730,990 |
11,450,714 |
88,422 |
|
2 |
mWIG40 FUTURES |
2,261 |
11,540 |
28,977 |
713 |
|
3 |
TECHWIG FUTURES |
nn |
nn |
67 |
nn |
|
4 |
STOCK FUTURES |
41,302 |
218,774 |
434,395 |
8,627 |
|
5 |
CURRENCY FUTURES |
13,123 |
98,018 |
208,734 |
2,627 |
|
6 |
WIG20 OPTIONS |
27,487 |
140,540 |
347,756 |
28,438 |
|
7 |
WIG20 INDEX PARTICIPATION UNITS |
2,047 |
18,702 |
40,867 |
11,834 |
|
|
TOTAL |
1,060,276 |
5,218,564 |
12,511,510 |
140,661 |
nn – not listed
Figure No. 1
Annual turnover volume (session transactions and block trades) in all listed derivatives. Data for 2009 in a year-to-date basis (in million instruments).
 |
Source: WSE data
Figure No. 2
Number of open interest at year-end and at the end of May 2009 for all derivatives (in thousand instruments).
 |
Source: WSE data
Figure No. 3
Number of structured products listed on the WSE (January 2008 – May 2009) |
Source: WSE data
