In September 2008, the total volume of trading in all derivative instruments was 1.22 million instruments, the second highest monthly volume of trading in WSE history (the record-high volume of trading at 1.32 million instruments was recorded in January 2008). The number of open interest was 69 thousand instruments at the end of September.
- The total volume of trading in derivative instruments year to date was 9.2 million instruments, equal to 93% of the total volume in all of 2007. The volume of trading was 12.1 million instruments in the past 12 months.
- The monthly volume of trading in currency futures contracts was record-high at 23,814 contracts in September 2008. The volume of trading in currency futures contracts was 72,516 instruments year to date. By comparison, the volume of trading was 6,101 currency futures contracts in all of 2007.
- A record-high daily volume of trading in currency futures contracts at 1,587 contracts was reported on 10 September 2008.
- The monthly volume of trading in stock futures contracts was record-high at 36,115 contracts in September 2008. The volume of trading was 220 thousand contracts year to date, almost double the total volume of trading in all of 2007.
- The volume of trading in WIG20 options was 31,878 options in September 2008, the second highest volume of trading in 2008. The volume of trading was 244,041 options year to date.
Structured products:
The value of trading in structured products was PLN 12.62 million in September, including PLN 914 thousand in notes and PLN 11.7 million in certificates (the value of trading was almost PLN 100 million year to date). The volume of trading was over 110.87 thousand products (the volume of trading was almost 581 thousand products year to date).
Barclays Bank PLC Luxury Goods structured notes based on a basket of luxury goods stocks were introduced to exchange trading on 8 September. The issuer’s New Energy notes based on the New Energy WilderHill EUR Index were introduced to trading on 30 September. The underlying instrument of the notes is the New Energy WilderHill EUR Index comprised of stocks of 91 renewable energy companies in different countries.
At the end of September, 42 structured products were listed on the WSE, including 9 structured notes and 33 structured certificates.
Major events
- Derivative instruments market sessions have been extended by 30 minutes as of 1 September 2008. Now sessions start at 8:30 (previously at 9:00) and end at 16:30 (no change).
- The abbreviated names of all futures contracts were changed after the session of 19 September. The number of digits designating the expiry year of futures contracts used in the abbreviated names of contracts was increased. Previously the abbreviated names only included one, last digit of the expiry year. The new structure includes the two last digits of the expiry year (for example, the abbreviated contract name FW20Z8 was changed to FW20Z08).
- Swiss franc (CHF) and British pound (GBP) futures contracts were introduced to exchange trading on 30 September 2008. The specification of the contracts is identical to previously listed futures contracts. XTB is the market animator for the contracts.
Table 1
Volume of trading (including block trades) in September 2008, January – September 2008, and October 2007 – September 2008 (last 12 months), and the number of open interest at the end of September 2008, by derivative instrument category.
Source: WSE dataNo.
Instrument
Volume of trading (#)
Number of open interest, end of September 2008
(#)
September 2008
January-September
2008
October 2007 – September 2008
1
WIG20 CONTRACTS
1 123 991
8 638 480
11 330 463
41 618
2
mWIG40 CONTRACTS
3 330
18 237
24 571
404
3
TECHWIG CONTRACTS
-
1 141
2 721
-
4
STOCK CONTRACTS
36 115
220 006
282 532
3 311
5
CURRENCY CONTRACTS
23 814
72 516
76 277
1443
6
WIG20 OPTIONS
31 878
244 041
332 913
14 756
7
WIG20 PARTICIPATION UNITS
2 375
19 932
27 665
7 540
TOTAL
1 221 503
9 214 353
12 077 142
69 072
Figure 1
Annual volume of trading (including block trades) in all derivative instruments listed on the WSE (million instruments)
Source: WSE data
Figure 2
Total number of open interest in derivative instruments at the end of the year between 1998 and September 2008 (thousand instruments).
Source: WSE data
Figure 3
Number of WSE Listed Structured Products (January-September 2008)
