September 2007 was the another month of very high turnover on WSE derivative instruments. The turnover on WIG20 futures contracts and on all other derivatives during the nine months of 2007 exceeded the turnover generated in the whole year 2006.
DURING THE FIRST NINE MONTHS IN 2007 THE TURNOVER VOLUME WAS HIGHER THAN IN THE WHOLE 2006.
The turnover volume on WIG20 futures contracts in the period of January until September 2007 exceeded 6.64 mln. contracts (in the whole 2006 the turnover amounted 6.24 mln. contracts). The turnover on all derivatives from the beginning of the year 2007 exceeded 7 mln. contracts.- The turnover volume on the whole WSE derivatives market (futures contracts, options and IPUs) in September 2007 amounted more than 977 thousands contracts (the daily average volume was 49 thousands contracts). Since the beginning of the year (9 quotation months) the turnover volume exceeded 7 mln. contracts – it was near to 300 thousands more than in the whole 2006 (the turnover volume in 2006 amounted 6.7 mln. contracts). The turnover volume for the last 12 quotation months (October 2006 – September 2007) amounted almost 8.5 mln. contracts.
- In September the turnover volume on stock futures raised significantly – it achieved the level of 7,730 contracts and was the highest since June 2006. This situation was caused by the unification of number of shares per one contract. Since 24 September 2007 the number of shares per one contract amounts 100. As an effect of that operation during the first week of being in force of the new parameter, the turnover volume on futures contracts amounted 4,703 contracts. To compare the average monthly turnover volume in this year was 5,471 contracts.
- On 13 September 2007, 8 series of structured certificates of Raiffeisen Centrobank AG (RCB), Vienna, entered the WSE market. The RCB certificates give the exposure on foreign indices and commodities, like gold and oil. A very new aspect is the possibility of having the exposure on Ukrainian and Kazakh market.
- Since 1 October 2007 the standards for EURO and USD exchange rate futures contracts changed. There are currently 4 series of each futures contract (which expire in four subsequent months of the March quarterly cycle: March, June, September, December). The futures contracts expire on the third (until now on the fourth) Friday of these months. Trading in the series of contracts which expire on that days shall end at 10:30. From 1 October 2007 until the end of June 2008 the Exchange do not collect the fees for turnover on currency futures contracts (the NDS do not collect the fees from 1 September 2007 until 30 June 2008).
- The highest turnover volume since June 2004 was noticed on the WIG20 IPUs - the turnover volume amounted 3,484 contracts.
- The turnover value on all derivatives was also very high. It amounted almost 67 bill. PLN in September 2007. The turnover value from the beginning of the year amounted almost 465 bill. PLN and exceeded already the derivatives turnover value of the whole 2006 (378 bill. PLN) by 23%.
- Also record-breaking was the derivatives turnover volume participation indicator with reference to turnover volume on cash market. In September 2007 this indicator for the futures contracts on WIG20 index amounted 400.5%, which means that the turnover on these futures contracts was almost four times higher than on stocks which are included into the WIG20 index. For the options on the WIG20 index the indicator amounted 17.37%.
- The investor’s activity was also very high in September 2007. In this month 7,190 investors made transactions on the futures contracts on WIG20 index. It was almost the same number as in the record-breaking month of August 2007.
Table 1
Trading volumes (incl. block trades) in September 2007, from January to September 2007 and from October 2006 to September 2007 (last 12 months), and number of open positions as at the end of September 2007 for derivative instruments.
|
No. |
Instruments |
Trading volume (instruments) |
No.
of open positions at end of September 2007 (positions) |
||
|
September 2007 |
Jan.-Sep.
2007 |
Oct.
2006 – Sep. 2007 |
|||
|
1 |
WIG20 FUTURES |
923
030 |
6
638 523 |
8
010 210 |
43 905 |
|
2 |
mWIG40 FUTURES |
2 083 |
10
272 |
10 524 |
254 |
|
3 |
TECHWIG FUTURES |
619 |
7
107 |
9 556 |
129 |
|
4 |
STOCK FUTURES |
7 730 |
51 495 |
68 431 |
2767 |
|
5 |
CURRENCY FUTURES |
283 |
2 340 |
2 974 |
277 |
|
6 |
BOND FUTURES |
10 |
1 947 |
3 318 |
300 |
|
7 |
WIG20 INDEX UNITS |
3 484 |
14 525 |
18 144 |
7 652 |
|
8 |
WIG20 OPTIONS |
40 284 |
310 241 |
370 718 |
16 640 |
|
|
TOTAL |
977 523 |
7 036 523 |
8 495 554 |
71 924 |
Chart No. 1
Annual turnover volume (incl. block-trades) on all derivatives since 1998 and the turnover volume in the period of January-September 2007 (in mln. instruments).
 |
Chart No. 2
Open interests at year’s end on all derivative products since 1998 and at the end of September 2007 (in thousand instruments).
 |
