ASX Monthly Activity Report For November 2007

ASX Limited (ASX) announces its monthly activity information for cash and derivatives markets for November 2007.

Trading activity across the group was very strong in November. Volatility was driven by the re-emergence of sub-prime fears and credit concerns in the United States, the lead-up to the 24 November Federal election and market sentiment towards Australia’s official cash rate, including a 25 basis point increase on 7 November.

The successful launch of exchange-traded contracts for difference (CFDs) on 5 November also contributed positively to overall activity. Trading volumes and open interest increased throughout the month, and the bid-ask spreads for many CFDs were close to parity with the securities in the underlying market.

• Total cash markets trades for November 2007 were a record 7.8 million (2% higher than the previous record of 7.7 million set in August 2007), up 112% on the previous corresponding period (pcp). Record average daily trades of 355,817 were 112% up on pcp.
• Total cash market traded value was $153.3 billion in November 2007, up 42% on pcp, with a daily average value of $7.0 billion, up 42% on pcp.
• The second-largest and third-largest trading days in cash market history were recorded in November 2007. On 8 November 450,330 trades were executed and on 30 November 465,046 trades were executed.
• Total warrants trades for November 2007 were a record 99,231, up 14.3% on the previous record of 86,842 trades set in August 2007, and valued at a monthly record of $1.8 billion, up 39.8% on the previous monthly value record of $1.3 billion set in October 2007. This included new daily records for number of warrants trades of 5,857 on 15 November and for value of trades of $297.1 million on 16 November.

• Equity derivatives volume (excluding SPI 200) for November was 2.1 million contracts, up 4% on pcp, with a daily average of 93,604 contracts, up 4% on pcp.
• Total futures and options derivatives contracts volume (excluding equity derivatives and CFDs) for November 2007 was 7.8 million, up 48% on the pcp, with a notional value of $3.7 trillion. Average daily contracts during November 2007 of 353,691 were up 48% on pcp.
• A daily record for 10 Year Government Bond futures of 91,899 contracts was achieved on 8 November 2007, representing a notional value of $9.2 billion. This is an increase of 2.3% on the previous record traded on 17 August 2007.
• A suite of equity, indices, foreign exchange and commodity CFDs began trading in November 2007. In total, 4,660 CFD trades, comprising a volume of 4,760,437 contracts, were transacted. The total notional value of all CFD trades for November was $153.8 million, and the value of CFD open interest at the end of November was $38.3 million.

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