- The volume of trading in all derivatives was 1.25 million instruments in June, the highest monthly trading volume in 2012.
- The volume of trading in all derivatives was 5.95 million instruments in January – June 2012.
- The number of open interest was 161.1 thousand at the end of June.
WIG20 futures
- The volume of trading in WIG20 futures was 1.0 million contracts in June, the highest monthly trading volume in 2012;
- The volume of trading in WIG20 futures was 5.1 million contracts in January – June 2102;
- The number of open interest in WIG20 futures was 98.2 thousand contracts at the end of June, very close to the number of open interest at the end of June 2011.
Options
- The volume of trading in WIG20 options was 65.3 thousand options in June, the highest monthly trading volume in 2012;
- The volume of trading in WIG20 options was 297.7 thousand options in January – June 2012;
- The number of open interest in WIG20 options was 26.5 thousand options at the end of June.
Single-stock futures
- Futures for a new underlying, the shares of the company SYNTHOS SA, were introduced to trading in June. The WSE lists futures on shares of 23 companies;
- The volume of trading in single-stock futures was 38.9 thousand contracts in June;
- The number of open interest in single-stock futures was 8.7 thousand contracts at the end of June;
- The most traded single-stock futures were:
No. Underlying Trading volume (#) in June 2012
- KGHM SA 8 417
- PKN ORLEN SA 6 656
- PKOBP SA 6 430
- PETROLINVEST SA 5 632
- GRUPA LOTOS SA 2 715
Currency futures
- The volume of trading in currency futures was 113.4 thousand contracts in June;
- The most traded currency futures in June were USD/PLN futures. The volume of trading in USD/PLN futures was 97 thousand contracts, representing 85% of the volume of trading in all currency futures;
- The number of open interest in currency futures was 16.4 thousand contracts at the end of June.
For more statistics, see Table 1 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.
Table 1
Volume of trading (including block trades):
- in June 2012;
- in January-June 2012;
- in the last 12 months (July 2011 – June 2012);
- number of open interest (NOI) at the end of June 2012.
|
No. |
INSTRUMENT |
|
NOI |
||||||||||
|
VOLUME OF TRADING |
(#) |
||||||||||||
|
(#) |
|
||||||||||||
|
JUNE |
JANUARY-JUNE |
LAST 12 MONTHS |
2011 |
CHANGE |
end of JUNE |
||||||||
|
2012 |
2011 |
CHANGE |
2012 |
2011 |
CHANGE |
(JUL'11 - JUN'12) |
(%) |
2012 |
2011 |
CHANGE |
|||
|
(%) |
(%) |
|
(%) |
||||||||||
|
1 |
WIG20 FUTURES |
1 021 297 |
1 076 856 |
-5,16% |
5 058 805 |
6 267 020 |
-19,28% |
12 434 067 |
13 642 282 |
-8,86% |
98 174 |
98 623 |
-0,46% |
|
2 |
mWIG40 FUTURES |
1 262 |
2 721 |
-53,62% |
7 643 |
14 921 |
-48,78% |
22 161 |
29 439 |
-24,72% |
300 |
874 |
-65,68% |
|
3 |
SINGLE STOCK FUTURES |
38 929 |
57 639 |
-32,46% |
268 408 |
351 733 |
-23,69% |
654 417 |
737 742 |
-11,29% |
8 708 |
9 196 |
-5,31% |
|
4 |
CURRENCY FUTURES |
113 407* |
18 138 |
525,25%* |
300 395* |
68 815 |
336,53%* |
431 070* |
199 490 |
116,09%* |
16 441* |
3 818 |
330,62%* |
|
5 |
WIG20 OPTIONS |
65 316 |
89 729 |
-27,21% |
297 730 |
508 079 |
-41,40% |
687 452 |
897 801 |
-23,43% |
26 508 |
72 591 |
-63,48% |
|
6 |
WIG20 INDEX PARTICIPATION UNITS |
6 033 |
4 025 |
49,89% |
17 118 |
26 636 |
-35,73% |
40 522 |
50 040 |
-19,02% |
11 008 |
12 631 |
-12,85% |
|
|
TOTAL |
1 246 244 |
1 249 108 |
-0,23% |
5 950 099 |
7 237 204 |
-17,78% |
14 269 689 |
15 556 794 |
-8,27% |
161 139 |
197 733 |
-18,51% |
Source: WSE
* The standard specification of all listed currency futures was amended as of 1 May 2012. The amendment involved a change of the trading unit (contract size), which was reduced by 10. Under the new rules, each futures contract corresponds to 1,000 currency units (USD, EUR, or CHF), as compared to 10,000 before the change. The significant increase in the trading volume and the number of open interest in currency futures in June 2012 was mainly a result of the change. Please note that the currency futures contract size before the change corresponds to 10 contracts after the change.
Figure 1
Annual volume of trading (including block trades) in all derivative instruments listed on the WSE in 1998 – June 2012 (million instruments).
Source: WSE
Figure 2
Total number of open interest in all derivative instruments at year-end and at the end of June 2012 (thousand instruments).
Source: WSE
