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October 2007 was another month of 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 year to date (10 months of trading) exceeded the annual volumes of 2006.
The volume of trading in WIG20 futures contracts was over 7.5 million contracts in January-October 2007 (the volume was 6.24 million contracts in all of 2006). The total volume of trading in all derivative instruments was over 8 million instruments year to date.- The volume of trading in all derivative instruments (contracts, options, index participation units) was over 980 thousand instruments in October 2007 (the average daily volume was close to 43 thousand instruments); the volume exceeded 8 million instruments year to date (10 months of trading), which was over 1.3 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 million derivative instruments in the last 12 months of trading (November 2006 – October 2007).
- The volume of trading in stock futures contracts grew sharply in October, reaching 21,298 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. In the first full month after the introduction of the new multiplier, the volume of trading in contracts was more than 4 times higher than the average monthly volume of trading in contracts in the previous 9 months (January-September 2007).
- The standard specification of EUR and US$ exchange rate futures contracts was modified as of 1 October. Currently there are 4 series of each of these contracts in trading (expiring in the months of the March quarterly cycle, comprising: March, June, September, and December). The contracts expire on the third (previously on the fourth) Friday of the month. Trading in expiring series ends at 10:30 on the last trading day. The WSE charges no fee for trading in currency futures contracts between 1 October 2007 and the end of June 2008 (the National Depository for Securities charges no fee between 1 September 2007 and 30 June 2008). As a result of these initiatives, the volume of trading in currency contracts grew in October and reached 528 contracts, the highest volume since September 2005.
- The value of trading was also high: close to PLN 72 billion for all derivative instruments in October. The value of trading was nearly PLN 537 billion year to date, over 42% more than the annual value of trading in derivative instruments in 2006 (PLN 378 billion).
- The number of open positions in all derivative instruments was very high at 11,472 positions at the end of October, modestly below the record-high number of 112,480 open positions at the end of May 2007.
Table 1
Volume of trading (including block trades) in October 2007, in January-October 2007, and between November 2006 and October 2007 (last 12 months), and the number of open positions at the end of October 2007, by derivative instrument category.
No. |
Instrument |
Volume of trading
(#) |
Number of open
positions, end of Oct 2007 (#) |
||
Oct 2007 |
Jan-Oct 2007 |
Nov 2006 – Oct 2007 |
|||
1 |
WIG20 CONTRACTS |
928 691 |
7 567 214 |
8 511 603 |
72 720 |
2 |
mWIG40 CONTRACTS |
941 |
11 213 |
11 393 |
243 |
3 |
TECHWIG CONTRACTS |
731 |
7 838 |
9 587 |
127 |
4 |
STOCK CONTRACTS |
21 298 |
72 793 |
85 027 |
3 812 |
5 |
CURRENCY CONTRACTS |
528 |
2 868 |
3 354 |
360 |
6 |
BOND CONTRACTS |
0 |
1 947 |
2 718 |
300 |
7 |
WIG20 INDEX
PARTICIPATION UNITS |
2 589 |
17 114 |
20 037 |
7 166 |
8 |
WIG20 OPTIONS |
26 155 |
336 396 |
373 707 |
26 744 |
|
TOTAL |
980 933 |
8 017 456 |
9 018 641 |
111 472 |
Source: WSE
Figure 1
Annual volume of trading (including block trades) in all derivative instruments since 1998, and the volume of trading in January-October 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 October 2007 (thousand positions)
 |
