Warsaw Stock Exchange Derivatives Market In October 2011

• The volume of trading in all derivatives was 1.23 million instruments in October, an increase of 15% year on year.
• The number of open interest was 171.3 thousand at the end of October.

WIG20 futures

• The volume of trading in WIG20 futures was 1.1 million contracts in October, an increase of 13% year on year;
• The number of open interest in WIG20 futures was 92.4 thousand contracts at the end of October.

Options

• The volume of trading in WIG20 index options was 41.6 thousand options in October;
• The incremental volume of trading in options was 815 thousand options year to date, which was 140 thousand options more than the annual volume of 2010;
• The volume of trading in the last 12 months (November 2010 – October 2011) was 955 thousand options, which was 41% more than the annual volume of trading in 2010;
• The number of open interest in options was 54.5 thousand options at the end of October.

Single stock futures

• The volume of trading in single stock futures was 64.3 thousand contracts in October, an increase of 91% year on year;
• The incremental volume of trading was 624.7 thousand contracts year to date, which was 66% more than the annual volume of trading in 2010;
• The number of open interest in single stock futures was 7.7 thousand contracts at the end of October;
• The single stock futures which generated the highest monthly volume of trading:

No.            Underlying stock                 Volume of trading (#) in October 2011

1. KGHM SA                          22 959
2. PKO BP SA                        18 907
3. PKN ORLEN SA                   10 101
4. PETROLINVEST SA              5 643
5. Grupa LOTOS SA                2 046

Currency futures

• The most traded currency futures in October were USD/PLN futures: the volume of trading in USD/PLN futures was 14.5 thousand contracts, the highest volume this year;
• The incremental volume of trading in currency futures was 167 thousand contracts year to date, which was over 47.9 thousand contracts more than the annual volume of trading in 2010;
• The number of open interest in currency futures was 3.8 thousand contracts, an increase of 81.4% year on year.

Volume of trading in stock-based derivatives in CEE in January – September 2011

• The volume of trading in stock-based derivatives on the WSE represented 76.11% of the volume of trading in CEE;
• The volume of trading in index options on the WSE represented 96.9% of the volume of trading in CEE;
• The volume of trading in index futures represented 82.5% of the volume of trading in CEE.

Table 1

Volume of trading on CEE securities exchanges:

• in January-September 2011;
• percentage share of exchanges in the volume of trading.

Source: Exchange websites, FESE

For more statistics, see Table 2 and Figures 1 and 2 click here.