GPW Introduces Modifications To The Derivatives Market

• GPW introduces futures on high-tech stocks, including game developers: Livechat, Playway and Ten Square Games
• The calculation and publication rules for the mWIG40, WIG20TR, mWIG40TR and sWIG80TR indices will be modified
• KDPW_CCP started to publish intraday margins for all index and single-stock futures as of August 2018

New single-stock futures

On 24 September 2018, the Warsaw Stock Exchange (GPW) will introduce three futures expiries for each of the three selected high-tech stocks. The selected stocks:Livechat, Playway and Ten Square Games, are all listed on the GPW Main Market. The new futures expiries will be December 2018, March 2019, and June 2019. The multiplier (number of shares per contract) is 100 for all three underlyings.

“Single-stock futures allow investors to use leverage in order to actively turn a potential profit on an increase, as well as a decrease of the stock price and to hedge against price risk of the underlying. The introduction of additional single-stock futures follows objectives of the strategic initiative focused on developing the derivatives market. However, the GPW initiative also involves development of investment products with a completely new structure, underlying, and investment opportunities which address the needs of investors,” said Izabela Olszewska, GPW Management Board Member. 

LiveChat is an IT operator active on the global market. It offers a SaaS (Software as a Service) product, supporting messaging between visitors to a website and the website owner. LiveChat Software has more than 25,000 clients in over 150 countries. The stock is part of the mWIG40 index.

Playway is a leading developer and publisher of computer and mobile games in Poland. Since its inception in 2011, the company has developed and published 50 games. The stock is part of the sWIG80 index and will move to mWIG40 on 24 September 2018.

Ten Square Games is one of the biggest developers and publishers of mobile games in Poland. The company specialises in hobby games. Ten Square Games products are available on mobile platforms, including iOS and Android, and via online portals. The stock is part of the mWIG40 index.

In January 2019, GPW and KDPW_CCP plan to introduce single-stock futures with multipliers of 1 and 10. By extending the range of available single-stock futures, GPW is in line with investor expectations.

New index calculation and publication rules

The calculation and publication rules for the mWIG40, WIG20TR, mWIG40TR and sWIG80TR indices will be modified as of 24 September 2018.

Table 1. Index calculation and publication rules

Source: GPW

“The higher publication frequency of the mWIG40 index will allow individual investors who open positions in mWIG40 futures to make more effective investment decisions. Investors in the derivatives market will be able to react faster to price movements of stocks in the mWIG40 index portfolio,” said Izabela Olszewska. 

With the change of publication frequency of the WIG20TR and mWIG40TR indices from single auction to continuous, GPW wants to make the SME segment more attractive to potential ETF issuers. Investing in EFTs on GPW represents passive investment in an index, offers a transparent investment strategy and reduces the cost of investment thanks to relatively low management fees.

Publication of intraday margins for all index and single-stock futures

KDPW_CCP started publishing intraday margins for all index and single-stock futures as of August 2018. Intraday parameters are published to meet the needs of KDPW_CCP clearing members (banks and brokers) in view of the different treatment of clients declaring the intention to open and close futures positions during the same day. This eliminates the entry barrier for individual investors posed by relatively high initial margins. The modifications will allow more active investors to open high-volume positions and close them within the same day based on the same cash pool or to release cash for investment on other GPW-operated markets.

“The publication of intraday margins by KDPW_CCP for all index and single-stock futures supports clearing members who allow clients to deposit smaller margins where they open and close positions within the same day. This is expected to boost derivatives trade volumes and grow its scale, making it more attractive to domestic and international investors alike,” said Sławomir Panasiuk, Vice-President of the Management Board of KDPW_CCP. 

Intraday margins for index futures are now 2.70% for WIG20 (PLN 1,195 for U18 expiry) and 2.40% for mWIG40 (PLN 949 for U18 expiry) as of 18 September 2018. The resulting leverage is 1/37 for FW20 and 1/42 for FW40.

The average intraday margin for single-stock futures is 7.29% compared to the average EOD (End of Day) margin of 11.29%.

Table 2. Examples of margins and leverage

Source: www.kdpwccp.pl; based on the closing price of series U18 single-stock futures at the session on 17 September 2018.