Warsaw Stock Exchange Derivatives Market In April 2012

• The volume of trading in all derivatives was 793 thousand instruments in April.
• The number of open interest was 181 thousand at the end of April. 

WIG20 futures

• The volume of trading in WIG20 futures was 705 thousand contracts in April;
• The number of open interest in WIG20 futures was 116.2 thousand contracts at the end of April.

Options

• The volume of trading in WIG20 options was 36.4 thousand options in April;
• The volume of trading in the last 12 months (May 2011 – April 2012) was 739.2 thousand options;
• The number of open interest in WIG20 options was 36.4 thousand options at the end of April.

Single-stock futures

• The volume of trading in single-stock futures was 38.3 thousand contracts in April;
• The number of open interest in single-stock futures was 13 thousand contracts at the end of April;
• The most traded single-stock futures in April were:

No. Underlying                         Trading volume (#) in April 2012

1. KGHM SA                          8 757
2. PKOBP SA                         7 643
3. PETROLINVEST SA              5 651
4. PKN ORLEN SA                   4 872
5. GRUPA LOTOS SA               2 913

Currency futures

• The volume of trading in currency futures was 12.8 thousand contracts in April, an increase of 58% year on year;
• The most traded currency futures in April were USD/PLN futures. The volume of trading in USD/PLN futures was 11 thousand contracts;
• The number of open interest in currency futures was 2.4 thousand contracts.

For more statistics, see Table 2 and Figures 1 and 2 below.

# # #

Derivative instruments are the most effective tool which can be used to manage specific risks. Derivatives based on indices and single stocks can be used to manage market risk, for instance to hedge an existing equities portfolio against a decrease in value. Currency futures can be used to hedge against the risk of disadvantageous changes of an exchange rate. This means that derivatives can be used for instance by entities which hold specific currency positions with respect to the following exchange rates: USD/PLN, EUR/PLN, CHF/PLN. Particularly important are options, which provide great flexibility in building hedging strategies. The WSE lists options which expire on four different dates; many series of call and put options with different strike prices are available for each expiry date. The diversity of available instruments opens great opportunities for hedging strategies. Options can be used to build hedging strategies according to different market scenarios and at a different cost of hedging.

Derivative instruments are also an effective investment tool. Derivatives can be profitable when the value of the underlying instrument increases or decreases. Investments in derivatives involve a high leverage. Again, options are particularly important due to their flexibility. Options can be used not only to invest in an expected change of value of the underlying instrument but also a change of market volatility etc. Arbitrage strategies, employed mainly by institutional investors, are a special variety of investment strategies.