Warsaw Stock Exchange Derivative Instruments Market In November 2007

November 2007 was another month of a very high volume of trading on the WSE derivative instruments market. The volume of trading in WIG20 futures contracts and the total volume of trading in all derivative instruments in November was over 1 million contracts within one month for the second time in history.

The volume of trading in WIG20 futures contracts was over 8.5 million contracts in January-November 2007 (the volume was 6.24 million contracts in all of 2006). The total volume of trading in all derivative instruments was over 9 million instruments year to date.

1. The volume of trading in all derivative instruments (contracts, options, index participation units) was over 1,028 thousand instruments in November 2007 (the average daily volume was close to 49 thousand instruments); the volume exceeded 9 million instruments year to date (11 months of trading), which was over 2.3 million contracts more than the annual volume of 2006 (the annual volume in 2006 was 6.7 million instruments). The volume of trading was over 9.5 million derivative instruments (9,563,546 instruments) in the last 12 months of trading (December 2006 – November 2007).
2. After a sharp increase in October, the volume of trading in stock futures contracts grew further in November, reaching 22,115 contracts, the highest volume in the history of trading. This was a result of the unification of the ratio of shares per contract (“multiplier”). The multiplier is 100 for all stock futures contracts as of 24 September 2007. The growing volume of trading was also driven by a reduction of contract trading fees charged by some brokerage houses (following a WSE reduction of contract trading fees).
3. BM XTB, an fx futures contracts market maker, started its operation on 26 November 2007. Combined with a reduction of fees charged by the WSE and the National Depository of Securities (no fee charged until the end of June 2008), this drove the volume of trading to 1,250 contracts in November, the highest volume since September 2001. The market maker is obligated to place buy and sell orders on both sides of the order book with a 60 pips spread for the two series with the nearest expiry dates for at least 50 contracts (EUR 500,000 or US$ 500,000 respectively).
4. The value of trading was also high: over PLN 70 billion for all derivative instruments in November. The value of trading was nearly PLN 607 billion year to date, over 58% more than the annual value of trading in derivative instruments in 2006 (PLN 378 billion).
5. The number of open positions in all derivative instruments was very high at 114,179 positions at the end of November, historically the highest number of open positions at the end of the month.
6. Trading in Raiffeisen Centrobank certificates was also high. The number of transactions was 4 times as high as in October, the volume of trading grew by a factor of 14 month on month, and the value of trading was 6 times as high as in October 2007.

Table 1

Volume of trading (including block trades) in November 2007, in January-November 2007, and between December 2006 and November 2007 (last 12 months), and the number of open positions at the end of November 2007, by derivative instrument category.

Figure 1

Annual volume of trading (including block trades) in all derivative instruments since 1998, and the volume of trading in January-November 2007 (million instruments)

Figure 2

Total number of open positions in all derivative instruments at the end of the year since 1998, and at the end of November 2007 (thousand positions)

Structured Products: November 2007

1. Structured products (total):

2. Raiffeisen Centrobank products:

3. Deutsche Bank products: