Warsaw Stock Exchange Derivatives Market – First Half Of The Year 2007

After the first half of the year 2007 the total turnover volume in derivative products exceeded 4.1 mln instruments, that means more than 60% of the last year volume (6,7 mln instruments).

Best (top) months in the first half of the year 2007 taking into consideration the turnover volume were March with 930,486 instruments and June with 852.205 instruments. That were the highest monthly turnover volumes in derivatives in the whole history of the WSE.

Open interest for all derivatives remained at the level of 100.000 instruments, throughout the first half of 2007 – and 94.106 instruments at the end of June 2007.

The interest of foreign investors in derivatives market is growing. The rising share in turnover of WSE remote members is the best illustration of this fact as in January 2007 it amounted to 0.18% and in June 2007 was already at 4.39%.

1. On February 21, 2007 the Warsaw Stock Exchange Management Board changed the WIG20 Index options standard specification. The change came into force as of March 19, 2007. Pursuant to a new standard, an increased number of options series with a new expiry date is introduced to exchange trading – for all type of options there are 4 series in-the-money, 4 series out-of-the-money and 1 series at-the-money (9 series of call options and 9 series of put options). The change of WIG20 index value also resulted in changes in procedures of introducing subsequent series of options to exchange trading.
2. On March 1, 2007 a new product, index certificate on New Europe Blue Chip Index (NTX), issued by the ERSTE BANK Group was introduced to exchange trading. The first tranche of certificates amounted to 600 thousand instruments of a value of nearly 40-50 mln PLN.
3. On March 15, 2007 the first block-trade on WIG20 options has been carried out. In the first half of 2007 there were 268 block-trades on derivatives with a turnover volume of 133,518 instruments (transactions were made on futures and options on WIG20 index).
4. On March 19, 2007 in accordance with MIDWIG name change to mWIG40, the abbreviated name of futures contracts changed from MID into W40.
5. On May 17, 2007 the Warsaw Stock Exchange Management Board changed the stock futures and stock options standard specifications. The number of shares per one future contract/option (so-called multiplier) has been changed. Pursuant to new rules, the multiplier shall be standardized at the level of 100 for all underlying instruments. The changes shall come into force as of September 24, 2007.

Turnover volume of derivative instruments (incl. block-trades) and open interest

Source: WSE data

Annual turnover volume (incl. block-trades) on all derivatives since 1998 and the turnover volume in the first half of the year 2007 (in mio. Instruments).

Open interest at year’s end on all derivative products since 1998 and at the end of the first half of the year 2007 (in thousand instruments).