.jpg)
Derivative Instruments
The volume of trading in all derivative instruments was 1.22 million instruments in March 2009. It was the third highest volume of trading in all derivative instruments in the history of the WSE (the highest volume was 1.56 million instruments in October 2008). The number of open interest remained high at 111.5 thousand instruments at the end of March.
It should be noted in particular that the volume of trading in stock futures contracts was record-high at 54.9 thousand contracts. This came among others as a result of a new model of co-operation initiated in February 2009 between the WSE and selected market makers supporting the liquidity of stock futures contracts. Two market makers are currently actively participating in the model.
The detailed statistics of derivative instruments are presented in Table 1.
Major events in MarchAs of 9 March 2009, the WSE publishes information on concentration of interest (LOP) on futures contracts (index and single-stock futures). Presented data include the number of securities accounts (portfolios understood as sub-accounts under the National Depository for Securities (KDPW S.A.) procedure of granting the Client Identification Number – NIK) on which the number of open interest on a given futures contracts series is greater than 20% of the total number of open interest on a given series. The information is published only if the total number of open interest is over 30 thousand. The information is published at www.wse.com.pl under the tab [Quotations] -> [Session Results].
Structured Products
The value of trading was PLN 16.46 million in March, including PLN 0.41 million on bonds and PLN 16.05 million on certificates. The volume of trading was over 273 thousand products.
The seventh series of structured certificates issued by Deutsche Bank AG, London was introduced to trading on 19 March.
At the end of March 2009, the WSE listed 56 structured products, including 10 bonds and 46 certificates (35 structured certificates, 1 bonus structured certificate, 1 guaranteed structured certificate, 2 short structured certificates, 7 express structured certificates).
Table 1
Volume of trading (including block trades) in March 2009, in January-March 2009, and between April 2008 and March 2009 (last 12 months) as well as the number of open interest at the end of March 2009, by derivative instrument category.
|
No. |
Instrument |
Volume of trading (#) |
Number of open interest, end of Mar 2009
(#) |
||
|
Mar 2009 |
Jan – Mar
2009 |
Apr 2008 –
Mar 2009 |
|||
|
1 |
WIG20 CONTRACTS |
1 104 707 |
2 753 419 |
11 071 386 |
76 773 |
|
2 |
mWIG40 CONTRACTS |
2 572 |
6 337 |
25 404 |
523 |
|
3 |
TECHWIG CONTRACTS |
N/L |
N/L |
246 |
N/L |
|
4 |
STOCK CONTRACTS |
54 893 |
130 025 |
384 031 |
5 751 |
|
5 |
CURRENCY CONTRACTS |
22 392 |
69 790 |
191 798 |
2533 |
|
6 |
WIG20 OPTIONS |
32 615 |
87 284 |
326 243 |
13 642 |
|
7 |
WIG20 INDEX PARTICIPATION UNITS |
6 400 |
14 134 |
37 334 |
12 287 |
|
|
TOTAL |
1 223 579 |
3 060 989 |
12 036 442 |
111 509 |
N/L – not listed
Figure 1
Number of structured products listed on the WSE (Jan 2008 – Mar 2009)
 |
