ASX EQUITY DERIVATIVES Options and Futures Statistics August 2018
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- Percival Gallagher
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1 Options and Futures Statistics August 218 Average Daily Volume (ADV) and Open Interest (OI) Single Stock and XJO traded on ASX Number of Contracts Traded (') Single Stock Options ADV (adj) Jan/9 Jul/9 Jan/1 Jul/1 Jan/11 Jul/11 Jan/12 Jul/12 Jan/13 Jul/13 Jan/14 Jul/14 Number of Contracts Open (m) Single Stock Options OI (adj) and Notional Value Jan/9 Jul/9 Jan/1 Jul/1 Jan/11 Jul/11 Jan/12 Jul/12 Jan/13 Jul/13 Jan/14 Jul/14 OI SS SS Notional Value ($b) Notional value ($b) XJO Options ADV XJO Options OI and Notional Value 8 1,2 9 Number of Contracts Traded (') Number of Contracts Open (') 1, Jan/9 Jul/9 Jan/1 Jul/1 Jan/11 Jul/11 Jan/12 Jul/12 Jan/13 Jul/13 Jan/14 Jul/14 Jan9 Jul9 Jan1 Jul1 Jan11 Jul11 Jan12 Jul12 Jan13 Jul13 Jan14 Jul14 Jan15 Jul15 Jan16 Jul16 Jan17 Jul17 Jan18 Jul18 Notional value ($b) Index Option OI XJO Notional Value ($b) NOTE: For comparison purposes, Single Stock ETO volumes and Open Interest (OI) were retrospectively adjusted due to the 1, to 1 contract size conversion. Single Stock ETO volumes and Open Interest premay 211 were adjusted by a factor of 1.
2 SPI 2 INDEX FUTURES (AP) August 218 Average Daily Volume (ADV), Notional Value and Open Interest (OI) SPI 2 Futures (AP) traded on ASX 24 AP Futures Volume and ADV 2,1 7 No. Contracts Traded (') 1,8 1,5 1, ADV (Hundreds) Jan15 Apr15 Jul15 Oct15 Jan16 Apr16 Jul16 Oct16 Jan17 Apr17 Jul17 Oct17 Jan18 Apr18 Jul18 Night Day Rolling 3 month ADV (RHS) AP Futures Quarterly Notional Value $7 $6 $5 A$ b $4 $3 $2 $1 $ 214 Q1 214 Q2 214 Q3 214 Q4 215 Q1 AP Futures Open Interest Apr/15 Oct/15 Apr/ Q2 Oct/ Q3 215 Q4 Apr/ Q1 216 Q2 Oct/17 Apr/ Q3 216 Q4 217 Q1 217 Q2 217 Q3 217 Q4 218 Q1 218 Q2 218 Q3* * partial quarter Open Interest (')
3 August 218 Options Top Classes by Volume RANK Aug18 VOLUME % MKT OPEN INTEREST VOL/OP SHARE VOLUME DLR* PUT/ CALL Net Calls** Net Puts** 1 TLS 1,243, ,164, % 926,213, 13.4% ,425 8,837 2 XJO 968, ,7, % N/A N/A 17.3% 3,546 6,368 3 FMG 556, , ,776, ,464 4 BHP 465, ,79 9.% 148,798, 31.3% 68.8% 1,559 9,3 5 CBA 457,97 5.5% 269, % 86,174, 53.1% 8. 9,356 11,39 6 RIO 391, , % 53,989, % 1,255 14,896 7 WBC 236, % 345,5 68.5% 151,67, ,78 19,554 8 S32 213, , % 45,541, % 8,559 34,289 9 NAB 212,23 2.5% 277, % 114,699, 18.5% 61.4% 2,69 1,392 1 STO 198,19 2.4% 177, % 13,855, 15.1% 28.% 4,284 8,66 11 AMP 195,61 2.3% 317, ,826, 7.1% 33. 5,667 65, WES 174,31 2.1% 121, % 53,1, 32.8% 45.1% 3,89 9, ANZ 168,327 2.% 269, % 122,723, % 85 6,28 14 MQG 164,177 2.% 74, ,31, 19.2% , CSL 155, , ,123, 77.3% 95.3% NCM 15, % 152, % 52,825, % 5,857 11, ORG 142, , % 183,334, 7.8% ,257 13, AZJ 12, % 254, % 111,947, 1.8% 52.5% 3,318 2, TCL 114, % 117, % 85,13, 13.5% 19.2% 2, QBE 114, % 122, % 143,265, 8.% 36. 1,284 2, WPL 13, % 124, % 56,111, 18.4% 75.8% 2,782 1, BXB 1, % 147, % 111,373, 9.1% 42.5% 4,818 7, WOW 1, % 124, ,699, , AMC 97, % 148, ,762, 6.8% 64. 2,287 1, MPL 75,2. 67, ,883, % 4,97 1, LLC 74, , % 39,471, % 1, AGL 72, , % 55,168, 13.2% , IFL 69,149.8% 77, % 44,268, % 4,731 29, SUN 62,59. 64, ,686, 7.% 13.2% 2,215 1,5 3 AWC 6,9. 29, % 284,731, 2.1% 56.% 5,67 2,447 Market^ 8,335,668 1.% 9,135, % 8,12,618, 1.4% 82.2% 22,3 27,539 * Derivatives Liquidity Ratio (DLR) is options volume (in shares) / volume of underlying security ** The net calls/puts are the number of options contracts bought minus the number of options contracts sold, excluding Market Makers ^ ETO classes only included NOTE: Figures for the above charts are doublesided
4 August 218 Options Market Share by Value and Volume Traded Top 1 Brokers by Value Top 1 Brokers by Volume 4% 4% 5% 33% 13% Shaw CommSec Bell Potter CMC Markets Phillip Capital ABN AMRO Clear Morrison Macquarie Retail AIEX UBS 5% 4% 3%3% 4% 4% 12% 13% 3 CommSec Shaw AIEX Bell Potter UBS BTIG Goldman Sachs CMC Markets Morrison Phillip Capital Top 5 Market Makers by Value Top 5 Market Makers by Volume 11% 1 23% 31% Eclipse IMC Pacific Metark Trading 1% 12% 25% 1 2 Eclipse Metark Trading Liquid Capital Top 5 LEPO Participants by Value Top 5 LEPO Particpants by Volume 8% 14% 22% 21% 2 Morgan Stnly WM Macquarie Insto Pershing 35% 5% 3% 44% Morgan Stnly WM Macquarie Insto Pershing NOTE: The above charts include contracts traded in both Single Stock and Index options LEPOs are excluded from these charts
5 August 218 Top 1 Call and Put Options Contracts 4, 3, 2, Call Option Contracts (excluding Market Makers) 3, 1, 1, 2, 3, 4, 5, 6, TLS XJO BHP CBA STO FMG TCL RIO NAB WBC 3, 6, 9, 12, 15, 18, Contracts Long (Bought) Contracts Short (Sold) Net Aug 218 (RHS) Net Jul 218 (RHS) 3, 2, 1, 1, 2, 3, Put Option Contracts (excluding Market Makers) XJO FMG TLS RIO CBA BHP MQG AMP WBC S32 3, 2, 1, 1, 2, 3, 4, 5, 6, 7, Contracts Long (Bought) Contracts Short (Sold) Net Aug 18 (RHS) Net Jul 218 (RHS) NOTE: The charts above show the number of contracts bought and sold by nonmarketmaking participants in the top 1 underlying securities
6 August 218 S&P/ASX 2 VIX NOTE: Single Stock options expressed in terms of 1, per contract in above chart. 125% PutCall Indicators 1% 75% 5% Jan9 Jul9 Jan1 Jul1 Jan11 Jul11 Jan12 Jul12 Jan13 Jul13 Jan14 Jul14 Jan15 Jul15 Jan16 Jul16 Jan17 Jul17 Jan18 Jul18 Jan9 Jul9 Jan1 Jul1 Jan11 Jul11 Jan12 Jul12 Jan13 Jul13 Jan14 Jul14 Jan15 Jul15 Jan16 Jul16 Jan17 Jul17 Jan18 Jul18 Options Net Buy/Sell Volume (excluding market makers) 7, 1, S&P/ASX 2 6, 5, 4, 3, 5, 5, Net bought (written) contracts 2, 1, Jan9 Jul9 Jan1 Jul1 Jan11 Jul11 Jan12 Jul12 Jan13 Jul13 Jan14 Jul14 Jan15 Jul15 Jan16 Jul16 Jan17 Jul17 Jan18 Jul18 Net Bought (Written) Calls Net Bought (Written) Puts S&P/ASX2 (LHS) P/C Volume % P/C OI %
7 August 218 Options Volume, Value and Open Interest Volume PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO ASX INDEX OPTION INDEX LEPO Aug18 4,574,668 3,761, 8,335,668 7,215, , , Jul18 3,351,156 2,893,168 6,244,324 5,249,6 67, ,492 8 Variance 36.5% 3.% 33.5% 37.5% % Aug17 5,527,391 4,58,529 9,585,92 8,574,391 81, ,292 2,618 Variance 17.2% 7.3% 13.% 15.8% 85.5% 4.5% 95.4% Cal Yr to date 32,484,232 26,953,346 59,437,578 49,518,478 1,492,719 8,42,46 6,335 Fin Yr to date 7,925,824 6,654,168 14,579,992 12,464, ,368 1,895, Value ($m) PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO Aug , Jul , Variance 3.2% 26.3% 9.4% 17.3% 55.% Aug , Variance 3.1% % 16.% % 95.% Cal Yr to date 7,275 3,282 1,557 3,769 2,763 3, Fin Yr to date 1, , Open Interest PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO Aug18 5,58,398 4,77,99 9,135,497 7,631, ,37 1,7, Jul18 4,912,485 3,899,141 8,811,626 7,37, ,115 1,14, Variance 3.% % 16.4%..% Aug17 5,851,18 4,599,817 1,45,997 9,98, , ,854 1,363 Variance 13.5% 11.4% % % 51.4% Cal Yr to date 5,58,398 4,77,99 9,135,497 7,631, ,37 1,7, Fin Yr to date 5,58,398 4,77,99 9,135,497 7,631, ,37 1,7, ASX takes no responsibility for any errors or omissions contained within this document and will not be liable for any reason including without limitation negligence, for losses, consequential or otherwise, arising from in connection with decisions made in reliance upon this information. More information Gregory Pill Manager, Equity Derivatives Dawn Lay Manager, Index & Equity Futures Sales Phone: Phone: Greg.Pill@asx.com.au dawn.lay@asx.com.au
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