Derivative Instruments
The volume of trading in all derivative instruments was 1 million instruments in November 2008. The monthly volume of trading was over 1 million for the tenth time in the history of trading in derivative instruments on the WSE (twice in 2007, eight times in 2008). The number of open interest in all derivative instruments was 138 thousand instruments at the end of November. It was the highest end-of-month number of open interest in the history of the WSE.
- The volume of trading in all derivative instruments is 11.8 million instruments year to date. The average monthly volume was 1.07 million instruments.
- The volume of trading in stock futures contracts is over 300 thousand contracts year to date (305,997 contracts). It was 2.5 times higher than the volume in 2007 (the volume was 114,021 contracts in 2007).
- The volume of trading in currency futures contracts is 121.5 thousand contracts year to date. It was 20 times higher than the volume in 2007 (the volume was 6.1 thousand contracts in 2007).
Structured Products
The value of trading in structured products was PLN 11.77 million in November, including PLN 1.03 million in bonds and PLN 10.74 million in certificates (the value of trading in structured products is close to PLN 138 million year to date). The volume of trading was over 124 thousand products (the volume is 970 thousand products year to date).
- Barclays Capital Agricultural Commodity Markets structured bonds were introduced to trading on the WSE on 14 November, the issuer’s seventh structured product listed on the WSE.
- BZ WBK Friendly Planet structured certificates were introduced to trading on 17 November, BNP Paribas’ third certificate on the WSE.
- There were 45 structured products listed on the WSE at the end of November, including 10 structured bonds and 35 structured certificates.
Table 1
Volume of trading (including block trades) in November 2008, January – November 2008, and December 2007 – November 2008 (last 12 months), and the number of open positions at the end of November 2008, by derivative instrument category.
|
No. |
Instrument |
Volume of trading (units) |
Number of open inerest, end of November 2008
(units) |
||
|
November 2008 |
January – November
2008 |
December 2007 - November
2008 |
|||
|
1 |
WIG20 CONTRACTS |
925 531 |
10 990 124 |
11 787 040 |
97 938 |
|
2 |
mWIG40 CONTRACTS |
1 738 |
23 778 |
25 682 |
718 |
|
3 |
TECHWIG CONTRACTS |
0 |
1 141 |
1 422 |
0 |
|
4 |
STOCK CONTRACTS |
31 629 |
305 997 |
325 110 |
3 500 |
|
5 |
CURRENCY CONTRACTS |
17 010 |
121 530 |
123 513 |
883 |
|
6 |
WIG20 OPTIONS |
25 861 |
307 478 |
338 311 |
26 457 |
|
7 |
WIG20 PARTICIPATION UNITS |
1 973 |
28 699 |
30 563 |
8 666 |
|
|
TOTAL |
1 003 742 |
11 778 747 |
12 631 641 |
138 162 |
NL – not listed
Figure 1
Annual volume of trading (including block trades) in all derivative instruments listed on the WSE (million instruments).
 |
Source: WSE data
Figure 2
Number of open interest in derivative instruments at the end of the year between 1998 and November 2008 (thousand instruments).
 |
Source: WSE data
Figure 3
Number of WSE Listed Structured Products (January-November 2008)
 |
