JPX Derivatives Market Highlights

Transcription

1 Market Overview JPX Derivatives Market Highlights January 1, 217 December 31, 217 TOPIX and Trading Value of TSE 1st Section (Daily Average) TOPIX Trading Value (points) TOPIX Trading Value (1st sec.) ( trillion) 2,5 Bankruptcy of Lehman Brothers Landslide Victory of the LDP (Oct 22, 217) 5. (Sep 15, 28) Consumption Tax Increased from 5% to 8% U.S. Presidential Election (Apr 1, 214) (Nov 8, 216) 2, Landslide Victory of the LDP Brexit Referendum 4. (Dec 16, 212) (Jun 23, 216) 1,5 3. 1, JGB and Interest Rate. JGB ( ) Index 1-year JGB 2-year JGB Introduction of Quantitative and Qualitative Monetary Easing by BOJ (Apr 4, 213) Bankruptcy of Lehman Brothers (Sep 15, 28) 1-year Interest Rate 2-year Interest Rate Introduction of additional QQE by BOJ (Oct 31, 214) Introduction of negative interest rate by BOJ (Jan 29, 216) Introduction of yield curve control by BOJ (Sep 21, 216) Interest Rate (%) *Source:Ministry of Finance Nikkei 225 ADV by Type of (Nikkei 225 ) 16, (End of /) 8,.2% 14.1% 14, 12, 1, 8, 6, 7, 6, 5, 4, 3, 7.7% 217 City/Regional Banks,etc..8% 2.% Insurance Firms.1% 3.7% 4, 2, 2, 1,.4% % 1 January, 218

2 Index Nikkei 225 mini ADV by Type of (Nikkei 225 mini) 1,6, 1,4, 1,2, 1,, 8, 6, 4, 2, (End of /) 1,2, 1,, 8, 6, 4, 2, 75.3%.1% % City/Regional Banks,etc..1%.1%.1%.4% 19.5% TOPIX ADV by Type of (TOPIX ) 18, (End of /) 8,.1% 18.4% 16, 14, 12, 1, 8, 6, 4, 2, , 6, 5, 4, 3, 2, 1, 75.1% 217 City/Regional Banks,etc..7% 2.8% Insurance Firms.3% 2.%.1%.7% mini-topix ADV by Type of (mini-topix ) 3, 25, 2, (End of /) 12, 1, 8,.1% 7.%.8%.4% 15, 1, 5, 6, 4, 2, 83.1% 217.3% 8.4% JPX-Nikkei 4 ADV by Type of (JPX-Nikkei 4 ) 7, (ly) (End of /ly) 35,.1% 6, 5, 3, 25, 22.5% 4, 3, 2, 2, 15, 1, 7.% % 3.3% 1, ,.1% 1.7% 2 January, 218

3 Index TSE Mothers Index ADV by Trade Type of (TSE Mothers Index ) 3, (End of /) 9,.1% 2,5 1,5 1, 8, 7, 6, 5, 4, 3, 28.7% %.6% , 1, 36.8%.5% Business Firms 1.1% Nikkei 225 VI ADV by Type of (Nikkei VI ) 1, (End of /) 8, 9 7, , 5, 5 4 4, 3, , 1, % 19.3%.1%.3% % 4.3% DJIA ADV by Trade Type of (DJIA ) 6 5 (End of /) 2,5 2,.1% 1.2% 2.6% ,5 1, 49.8% % Nikkei 225 Dividend Index ADV TSE REIT Index ADV 6 (End of /) 16, 3,5 (End of /) 3, , 12, 1, 8, 6, 4, 2, 3, 2,5 2, 1,5 1, 5 25, 2, 15, 1, 5, January, 218

4 Index Nikkei 225 ADV by Type of (Nikkei 225 ) 3, 25, 2, (Put) (Call) (End of /) 4,, 3,5, 3,, 2,5,.2% 11.7% City/Regional Banks,etc. 1.4%.8% Insurance Firms.1% 15, 1, 5, 2,, 1,5, 1,, 5, 73.7% 217.1%.8% % Nikkei 225 Weekly ADV TOPIX ADV 3, 2,5 2, 1,5 1, 5 (Put) (Call) (End of /) 7, 6, 5, 4, 3, 2, 1, 2, , 1,5 1, 5 (Put) (Call) (End of /) 9, 8, 7, 6, 5, 4, 3, 2, 1, Single Stock Single Stock ADV by Trade Type of (Single Stock ) 9, 8, 7, 6, 5, 4, 3, 2, 1, (Put) (Call) (End of /) , 5, 4, 3, 2, 1, Other Institutions 4.3% 9.5% 28.% % Business Firms 12.7% by Underlying Securities(217) Rank Code Underlying Security Nikkei 225 Exchange Traded Fund SoftBank Group Corp. OLYMPUS CORPORATION SONY CORPORATION NEXT FUNDS JPX-Nikkei Index 4 Exchange Traded Fund Sumitomo Metal Mining Co.,Ltd. BRIDGESTONE CORPORATION Sumitomo Mitsui Financial Group,Inc. Mazda Motor Corporation Asahi Group Holdings, Ltd. Trading Volume 13,816 85,177 74,823 65,724 53,534 52,85 39,84 34,6 33,485 33,128 Share 11.3% 9.3% 8.2% 7.2% 5.8% 5.8% 4.4% 3.7% 3.7% 3.6% HV (Top 3 by Underlying Securities) HV (2d,%) Nikkei 225 Exchange Traded Fund(1321) OLYMPUS CORPORATION(7733) SoftBank Group Corp.(9984) January, 218

5 JGB 1-year JGB ADV by Type of (1-year JGB ) 6, (End of /) 14, 1.3% 32.% 5, 12, 4, 3, 2, 1, 8, 6, 4, 54.5% 217 1, 2, Banks 12.2% mini-1-year JGB ADV 2-year JGB ADV (End of /) (End of ) on JGB on JGB ADV by Type of ( on JGB ) 14, 12, 1, (Put) (Call) (End of /) 25, 2,.4% 23.8% 8, 15, 6, 1, 47.7% 217 4, 2, 5, Banks 28.% S&P/JPX JGB VIX 1-year JGB ly and Volume S&P/JPX JGB VIX(%) S&P/JPX JGB VIX 1-year JGB Price ( ) (CALL) , Vol. (CALL) 153 8, 151 4, (PUT) Vol. (PUT) CALL Vol. 8, 6, 4, 2, , 8, 12, PUT 2, 4, 6, 8, 5 January, 218

6 Contract Specifications Product Nikkei 225 Trading Hours Tick Size (point/ ) No. of Margin per Unit ( ) Vendor Code Unit Contract Auction Block Auction Block s (As of the end of Dec. 217) Bloomberg Reuters QUICK 1 * 1, 13 63, NKA<INDEX> #JNI: Nikkei 225 mini 5 * , NOA<INDEX> #JNM: TOPIX.5 * 1, 5 465, TPA<INDEX> #JTI: mini-topix.25 * 1, 3 46,5 TMIA<INDEX> #JTM: JPX-Nikkei 4 5 * , JPWA<INDEX> #JN4F: TSE Mothers Index 1 * 1, 5 42, MROA<INDEX> #JMI: TOPIX Core3 8:45~15:15 8:2~16:.5 * 1, 3 22, TPCA<INDEX> #JTC: TSE REIT Index 16:3~ 5:3 16:15~ 5:3.5 * 1, 3 25,5 TREA<INDEX> #JRT: TOPIX Banks Index (GMT) (GMT).1 * 1, 3 67, TZA<INDEX> #JBK: RN Prime Index 23:45~ 6:15 23:2~ 7: 7:3~2:3 7:15~2:3.5 * 1, 5 345, AZA<INDEX> #JRN: Nikkei 225 Dividend Index (ET) (ET).1.1 * 1, 8 (*1) 12,7 INTA<INDEX> #JND: :45~ 1:15 18:2~ 2: TOPIX Dividend Index 2:3~15:3 2:15~15:3.1 * 1, 8 (*1) 9, TDIA<INDEX> #JTD: TOPIX Core3 Dividend Index.1 * 1, 8 (*1) 7,9 TCDA<INDEX> #JRD: DJIA 1 * ,6 ODAA<INDEX> #JDI: India Nifty5 1 * ,7 ONYA<INDEX> #JNF: FTSE China 5 Index 5 * 1 4 6, OFCA<INDEX> #JFC: TAIEX 8:45~15:15 N/A 1 * ,3 OFTA<INDEX> #TJW: Nikkei 225 VI 9:~15:15 16:3~19: 8:2~16: 16:15~19:.5 * 1, 8 27,5 JVIA<INDEX> #JNV: year JGB 8:45~11:2 12:3~15:2 15:3~ 5:3 8:2~15:15 15:25~ 5:3.1 * 1,, 3 12, JJA<CMDTY> #JMB: year JGB (GMT).1 * 1,, 3 45, JBA<CMDTY> #JGB: (GMT) 23:45~ 2:2 23:2~ 6:15.1 3:3~ 6:2 6:25~2:3 6:3~2:3 mini-1-year JGB.5 * 1, 3 45, MJBA<CMDTY> #JGM: (ET) (ET) 18:45~21:2 18:2~ 1:15 22:3~ 1:2 1:25~15:3 2-year JGB 1:3~15:3.1 * 1,, 3 1,24, JJAA<CMDTY> #JTB: (*1) 9 contract months between Jan. to Mar. Nikkei 225 Product TOPIX Regular Weekly JPX-Nikkei 4 Single Stock Trading Hours Tick Size (point/ ) No. of Minimum No. of Vendor Code Unit Contract Auction Block Auction Block s Prices Bloomberg Reuters QUICK 9:~15:15 16:3~ 5:3 (GMT) :~ 6:15 7:3~2:3 (ET) 19:~ 1:15 2:3~15:3 9:~11:35 12:3~15:15 8:2~16: 16:15~ 5:3 (GMT) 23:2~ 7: 7:15~2:3 (ET) 18:2~ 2: 2:15~15:3 8:2~16: <depending on the option price> 5 or less : 1 above 5 to 1, : 5 above 1, : 1 <depending on the option price> 2pts or less :.1 above 2pts :.5 <depending on the option price> 5pts or less : 1 above 5pts : 5 depending on the option price.1 <depending on the trading unit of the underlying> even number:.1 odd number: 1 * 1, 19 Nearest 4 weekly contracts (except for the 2nd Friday) * 1, 19 nearest 3 contract months : 49 (ATM±24) the other contract months : 33 (ATM±16) 17 (ATM±8) nearest 3 contract months : 19 (ATM±9) the other contract months : 13 (ATM±6) * 1, (ATM±8) * minimum trading unit of the underlying 4 5 (ATM±2) NKY<INDEX> OMON Week1 WNKYA <Index> Week3 WNKYC <Index> Week4 #JNI*.OS Week1 # JNI1W*.OS Week3 # JNI3W*.OS Week4 WNKYD <Index> # JNI4W*.OS Week5 Week5 WNKYE <Index> # JNI5W*.OS TPX<INDEX> OMON JPNK4<INDEX> OMON #JTI*.OS #JN4O*.OS (security code) #(security <EQUITY>OMON code)*.os OP2@ OPW@ OPT@ OP4@ KO@15 on JGB 8:45~11:2 12:3~15:2 15:3~ 5:3 8:2~15:15 15:25~ 5:3.1.1 * 1,, 3~4 21 (ATM±1) JBA<CMDTY> OMON #JGB+ GB@ 6 January, 218

7 Trading Fees (as of December, 217) Products Exchange Trading Fees (Reference)Clearing Fees of JSCC Nikkei 225 Volume Discount Table (*1) () (Prop) (Customer) - 1, : 7 11 more than 1, - 5, : 35 7 more than 5, - 1, : 2 4 more than 1, - : per contract 13 per contract Nikkei 225 mini TOPIX mini-topix TSE Mothers Index TOPIX Core3 TSE REIT Index Volume Discount Table (*1) () (Prop) (Customer) - 1, : 7 11 more than 1, - 5, : 6 8 more than 5, - 1,, : 4 6 more than 1,, - : Volume Discount Table (*1) () (Fee) - 1, : 55 more than 1, - 3, : 35 more than 3, - : 3 7 per contract JPX-Nikkei 4 7 per contract TOPIX Banks Index Nikkei 225 Dividend Index TOPIX Dividend Index TOPIX Core3 Dividend Index 55 per contract Nikkei 225 VI 8 per contract DJIA India Nifty5 FTSE China 5 Index TAIEX 7 per contract (currently discounted from the fees on the volume discount (*1)) () (Fee) up to 5, : 4 more than 5, : 2 4 per contract RN Prime Index 29 per contract 95 per contract 1-year JGB 5-year JGB 2-year JGB Trade by of on JGB 82 per contract Trade by of on JGB 2 per contract 13 per contract 2 per contract 57 per contract 2 per contract 6 per contract 2 per contract 13 per contract 2 per contract 57 per contract 1 per contract 3 per contract 2 per contract 1 per contract 5 per contract 45 per contract 16 per contract 45 per contract 49 per contract Physical delivery 1 per contract Physical delivery 132 per contract mini-1-year JGB 2 per contract 5 per contract Final settlement 15 per contract Volume Discount Table (*1) (*2) (Trading Value) (Fee).5 bps per Trading Value (*3) Regular - 1 bil. :5. bps more than 1 bil bil. :3.5 bps Nikkei 225 Weekly TOPIX JPX-Nikkei 4 Single Stock more than 25 bil bil. :2.5 bps more than 35 bil. - :1.5 bps 4 per contract 4 per contract on JGB 4 per contract (Trading unit of the underlying security) (Fee) less than 1 : 1 more than or equal to 1 but less than 1 : 5 more than or equal to 1 : bps per amount of money transferred by exercise of options contract (*3) 1 per contract 13 per contract 1 per contract 1 per contract (Trading unit of the underlying security) (Fee) less than 1 : 1 more than or equal to 1 but less than 1 : 5 more than or equal to 1 : 1 (Trading unit of the underlying security) (Fee) (*4) less than 1 : 1 more than or equal to 1 but less than 1 : 5 more than or equal to 1 : 1 1 per contract 1 per contract (*1) Volume discount is applied based on the monthly average trading volume or value over the three months from the month four months prior to the object month of fee calculation to the month two months prior to the object month of fee calculation. (*2) The maximum fee is 35 per trading unit. The minimum fee is 5 per trading unit. (*3) The maximum clearing fee is 35 per trading unit for regular trades and 385 per trading unit for exercises. (*4) Clearing fees for cash trading (trading value of cash trading by exercise.4 bp) will be required additionally. Note: Give-up fees ( 5 per contract) will be charged on the clearing broker. For Nikkei 225 mini, mini-topix, JPX-Nikkei Index 4, TSE Mothers Index, TOPIX Core3, TSE REIT Index, Dividend Index, and mini-1-year JGB, give-up fees are 1 per contract. 7 January, 218

8 Trading Data (217) Equity Bond Products Change Trading Value Volume Nikkei ,54, % 467,19, ,373 Nikkei 225 mini 219,518,5-6.2% 445,77, ,633 TOPIX 24,392, % 397,628,38 665,746 mini-topix 3,624, % 5,978,867 31,128 JPX-Nikkei 4 7,669, % 11,167,497 14,19 TSE Mothers Index 254, % 276,566 8,168 TOPIX Core3 2,83-48.% 2, TSE REIT Index 36, % 523,675 23,91 TOPIX Banks Index 172, % 323,298 21,484 Nikkei 225 Dividend Index 6, % 2,57 7,722 Nikkei 225 VI 17,6-78.2% 2, DJIA 71, % 156,66 1,14 India Nifty % TAIEX % 1 Nikkei ,88, % 5,869,14 1,17,497 2,86,75 Weekly 493, % 21,97 29,526 2,229 TOPIX 259, % 79,942 48,289 76,958 Single Stock 915, % 13,22 94,637 78,82 1-year JGB 8,19, % 1,233,261,553 96,251 mini-1-year JGB 1, % 24, year JGB % 46,695 1 on JGB 861, % 76,858 37,431 2,995 Total 322,48,62-4.5% 2,567,62,788 1,35,854 4,354,739 (Contracts, million) Trading Records Nikkei Historical (Contracts, ) (Date) (Contracts, ) (Date) Highest Daily 473,769 (Mar 7, 217) 739,99 (Dec 7, 1999) Lowest Daily 15,763 (Dec 26, 217) (Jan 31, 1994) Highest 595,169 (Dec 4, 217) 684,617 (Mar 14, 28) Lowest 354,229 (Sep 8, 217) 1,45 (Sep 9, 1988) Highest Price 23,43 (Nov 9, 217) 39,82 (Dec 27, 1989) Lowest Price 18,19 (Apr 17, 217) 6,83 (Oct 28, 28) Contact: JPX (Japan Exchange Group) TOPIX 217 Historical (Contracts, points) (Date) (Contracts, points) (Date) 942,81 (Dec 5, 217) 942,81 (Dec 5, 217) 26,573 (Dec 27, 217) (Jan 31, 1994) 798,553 (Dec 6, 217) 816,96 (Jun 1, 215) 56,142 (Feb 6, 217) 11,183 (Dec 8, 1988) 1,848. (Nov 9, 217) 2,956. (Dec 18, 1989) 1,45. (Apr 17, 217) 687. (Mar 13, 29) 1-year JGB 217 Historical (Contracts, ) (Date) (Contracts, ) (Date) 162,17 (Jun 8, 217) 211,11 (Jun 7, 27) 11,93 (Aug 7, 217) (Oct 25, 1985) 12,998 (Dec 5, 217) 31,415 (Feb 8, 2) 77,29 (Mar 21, 217) 14,585 (Dec 12, 1985) (Sep 8, 217) (Jul 28, 216) (Feb 3, 217) 87.8 (Sep 27, 199) Osaka Exchange,Inc. - JPX Group Derivatives Business Development Dept. Tel:+81-() mkt-dept@jpx.co.jp London Representative Office Tel:+44-() admin@jpxldn.co.uk New York Representative Office Tel: contact@jpxnyrep.com Singapore Branch Tel: mkt-dept@jpx.co.jp Beijing Representative Office Tel: tsebjrep@tsebjrep.com.cn Hong Kong Representative Office Tel: mkt-dept@jpx.co.jp Disclaimer: The descriptions in this publication are intended solely for the purpose of providing information on futures and options. 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