DERIVATIVES EQUITY AND INDEX OPTIONS ASX Options Statistics and Analysis January 2015

Transcription

1 ASX Options Statistics and Analysis Average Daily Volume and Open Interest Single Stock Options ADV (adj) Single Stock Options OI (adj) Number of Contracts Traded 9, 8, 7, 6, 5, 4, 3, 2, 1, Number of Contrcts Traded 2,, 18,, 16,, 14,, 12,, 1,, 8,, 6,, 4,, 2,, XJO Options ADV XJO Options OI 7, 8, Number of Contracts Traded 6, 5, 4, 3, 2, 1, Number of Contracts Traded 7, 6, 5, 4, 3, 2, 1, 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 Top Classes by Volume RANK VOLUME % MKT OPEN INTEREST VOL/OP SHARE VOLUME DLR* PUT/ CALL Net Calls** Net Puts** 1 TLS 1,124, % 1,87, % 423,, 26.6% 68.2% 12,721 23,233 2 BHP 774,17 8.9% 731, ,, 46.9% 91.3% 36,896 2,312 3 CBA 733, % 553, % 58,974, 124.3% 66.1% 316 5,412 4 XJO 721, % 596, % n/a n/a 129.1% 2,16 9,71 5 FMG 479,21 5.5% 745,7 64.3% 61,, 8.% , RIO 398, % 28, % 4,764, % 6,172 1,832 7 NAB 36,38 4.2% 477, % 19,, 33.1% ,271 18,314 8 ANZ 334, % 412, % 97,511, 34.3% 99.5% 2,131 23,813 9 WBC 3, % 377, % 12,, 29.5% 66.2% 13,474 24,429 1 NCM 252, % 32,2 83.6% 95,768, 26.4% 53.6% 9,197 9, WOW 239, , % 8,493, % 9,554 6, STO 179, % 289, % 137,, 13.1% 142.4% 2,942 4, WPL 17,83 2.% 198, % 61,232, 27.9% 142.2% 5, ORG 164, % 217, % 74,321, 22.1% 137.3% 1, ARI 147, , ,, 2.1% 61.% 42,242 1, AWC 146, , % 279,, 5.2% 74.3% 13,63 4,75 17 MQG 123,31 1.4% 1, % 25,244, % 2, CSL 116, % 75, ,298, 57.6% 69.4% 2,146 1,19 19 QBE 111,15 1.3% 195, ,899, 12.6% 13. 1,293 1,612 2 WES 17, % 166, % 4,859, 26.3% 45. 9,935 1, AMP 14, % 217, % 123,, 8.5% 63.9% 6,487 1, QAN 99,43 1.1% 126, % 197,, 5.% 136.4% 4,997 8, WFD 97, % 12, % 121,, 8.1% 93.3% 7,562 2, OSH 86,3 1.% 126, ,, 7.5% 124.3% 4,939 3, BXB 73,81.9% 163,85 45.% 64,944, 11.4% 91.2% 4,8 7, IAG 69,61. 13, % 12,, % 35 4, IPL 65, , % 16,, 6.2% 14. 8,165 5,85 28 FXJ 65,289. 9, % 112,, % 5,461 34,76 29 RMD 58, , % 154,, % 418 9,335 3 SCG 54,65.6% 169, % 238,, 2.3% 19. 1, Market^ 8,664,845 1.% 11,47,78 76.% 7,111,199, 12.2% 85.3% 27,539 1,79 * 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

3 Market Share by Value and Volume Traded 3% 3% 3% 4% 2% Top 1 Brokers by Value 23% D2MX Pty Ltd BBY Top 1 Brokers by Volume 5% 3% 5% Macquarie Retai BBY 6% 15% 2 Macquarie Retai Shaw Pershing Commonwealth BGC (Sec) Aus Deutsche 5% 6% 1% 31% 12% Shaw Commonwealth Pershing ETrade Deutsche Patersons Top 5 Market Makers by Value Top 5 Market Makers by Volume 14% 11% 9% 14% 2 Susquehanna IMC Pacific Liquid Capital Timber Hill R 1 1% 3% Susquehanna Timber Hill R Liquid Capital WMM 25% 2 Top 5 LEPO Participants by Value Top 5 LEPO Particpants by Volume 11% 2% 5% 5% 14% 16% 22% Phillip Capital Credit Suisse 21% 3 Credit Suisse Phillip Capital 1 23% NOTE: The above charts include contracts traded in both Single Stock and Index options LEPOs are excluded from these charts

4 Top 1 Call and Put Options Contracts Call Option Contracts (excluding Market Makers) 35, 6, 25, 15, 3, 5, 5, TLS CBA BHP XJO NAB FMG WBC RIO ANZ NCM 15, 3, 25, 35, Contracts Long (Bought) Contracts Short (Sold) Net Jan 215 (RHS) Net Dec 214 (RHS) 6, Put Option Contracts (excluding Market Makers) 25, 6, 2, 15, 4, 1, 5, 5, 1, TLS XJO BHP FMG CBA RIO ANZ ORG NAB WBC 2, 2, 15, 2, 25, Contracts Long (Bought) Contracts Short (Sold) Net Jan 215 (RHS) Net Dec 214 (RHS) 4, 6, NOTE: The charts above show the number of contracts bought and sold by nonmarketmaking participants in the top 1 underlying securities

5 S&P/ASX 2 VIX Options Net Buy/Sell Volume (excluding market makers) S&P/ASX 2 6, 5, 4, 3, 2, 1, 1, 5, 5, 1, Net bought (written) contracts Net Bought (Written) Calls Net Bought (Written) Puts S&P/ASX2 NOTE: Single Stock options expressed in terms of 1, per contract in above chart. 125% PutCall Indicators 1% 75% 5% P/ C Volume % P/C OI %

6 Volume, Value and Open Interest Volume PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO ASX INDEX OPTION INDEX LEPO 4,677,19 3,987,655 8,664,845 7,821, ,16 721,36 12 Dec14 6,5,29 5,55,157 11,555,366 9,449,57 1,11,211 1,94, Variance 22.1% 28.2% 25.% 17.2% 87.9% 34.1% 6.3% 4,777,111 4,563,958 9,341,69 8,638, ,819 53, Variance 2.1% 12.6% 7.2% 9.5% 28.9% 35.9% 55. Cal Yr to date 4,677,19 3,987,655 8,664,845 7,821, ,16 721,36 12 Fin Yr to date 38,428,82 34,367,279 72,796,81 63,15,461 3,444,493 6,334,795 1,332 Value ($m) PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO 1, , Dec14 1,744 1,89 2,833 1,2 1, Variance % 43.1% 2.1% 68.1% % , Variance 1.5% 1.1% 7.3% 9.4% 4.% 5.9% 63.5% Cal Yr to date 1, , Fin Yr to date 11,31 4,388 15,69 5,344 6,726 3, Open Interest PERIOD CALL PUT OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO 6,313,872 5,93,26 11,47,78 9,673,999 1,136,63 596,416 6 Dec14 6,133,579 5,25,927 11,159,56 9,448,574 1,153, ,52 83 Variance 2.9% 1.3% 2.2% 2.4% 1.5% 7.% 27. 6,688,578 5,416,366 12,14,944 1,834, , ,19 66 Variance 5.6% 6.% % % Cal Yr to date 6,313,872 5,93,26 11,47,78 9,673,999 1,136,63 596,416 6 Fin Yr to date 6,313,872 5,93,26 11,47,78 9,673,999 1,136,63 596,416 6 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 and Equity Derivatives Phone: Greg.Pill@asx.com.au