Statistics. September Interest Rate Derivatives. Index Derivatives. Equity Derivatives

Transcription

1 Statistics September 24 Interest Rate Derivatives Index Derivatives Equity Derivatives

2 BOURSE DE MONTRÉAL INC. - September 24 Monthly s Year-to-Date s Month End Interest Interest Rate % % % Interest Interest % Interest % Derivatives Sept. 24 Sept. 23 variation Aug. 24 variation Jan-Sept. 24 Jan-Sept. 23 variation Sept. 24 Sept. 23 variation Aug. 24 variation BAX 687,11 591, % 693,6 -.9% 5,489,421 5,16,68 9.4% 189,351 23, % 233, % OBX 19,52 22,3-12.5% 33, % 215, ,62-25.% 28,32 39, % 92, % CGB 27, , % 381, % 2,13,739 1,825, % 133,894 66, % 144, % CGZ (6) 17,376 N/A N/A 34, % 158,783 N/A N/A 6,285 N/A N/A 8, % OBA (5) % % % % % ONX(3) 2-1.% N/A 1,48 5, % 1 N/A N/A Sub Total 931, , % 1,143, % 7,969,382 7,135, % 357, , % 479, % Index Derivatives SXF 27,73 29, % 67, % 1,436,543 1,222, % 94,333 88, % 97,237-3.% SXA(2) % 4-15.% 361 1,23-7.7% % 5-1.% SXB(2) 87 N/A N/A % 25 N/A N/A SXH(2) 1,1-1.% N/A 68 5, % 5-1.% 3-1.% SXY(2) N/A 15-1.% % N/A 17-1.% SXO (Long Term included) 4,688 4, % 5,152-9.% 3,117 32,33-6.8% 6,181 4, % 5, % Sub Total 275, ,172-7.% 72, % 1,468,274 1,262, % 1,539 93, % 12, % ETF Options XIU (Long Term included) 1,251 14, % 4, % 97,79 9, % 22,267 29, % 23,19-3.3% XGD/XGL (4) 3,731 2,724 2, % 36,615 7,48 4 4,32 2, ,63-7.1% XFN (4) 1,74 12, , % 25,212 68, ,27 26, , % XIT (4) 832 2, % 8,85 8,448 1,77 3, , % XEG (4) 3, , % 22,735 2,26 1 4,638 1, , % Sub Total 19,39 32, % 11, % 19, ,19 7.6% 34,554 63, % 41, % Equity Derivatives Equity Options 52, , % 481,19 4.5% 5,814,798 4,454,17 3.5% 794,535 87,15-1.6% 8, % LongTerm Options 31,445 35,32-1.2% 33, % 536,39 223, % 142,289 98, % 126, % Sub Total 534, , % 514, % 6,35,837 4,677, % 936,824 96,12 3.4% 927,129 1.% TOTAL 1,76,631 1,763, % 1,742,883 1.% 15,978,939 13,252, % 1,429,848 1,399, % 1,55,58-7.8% BAX: Three-month Canadian Bankers' Acceptance Futures OBX: Options on Three-month Canadian Bankers' Acceptance Futures SXF: S&P Canada 6 Futures CGB: Ten-year Government of Canada Bond Futures OBA : Canada Government Bonds 5 1/4 % June 212 SXA : S&P/TSX Capped Gold Index CGF: Five-year Government of Canada Bond Futures ONX : 3-Day Overnight Repo Rate Futures SXB : S&P/TSX Capped Financials Index SXH : S&P/TSX Capped Information Technology Index SXY : S&P/TSX Capped Energy Index XIU: Options on iunits S&P/TSE 6 Index Participation Fund 2 - Listed on April 29, Listed on April 21, Listed on June 3, 24 XGD: iunits S&P/TSX Capped Gold Index Fund 3 - Listed on June 14, Listed on June 23, 23 XFN: iunits S&P/TSX Capped Financials Index Fund All reported futures and options figures represent cleared data as provided by the Canadian Derivatives Clearing Corporation (CDCC). XIT: iunits S&P/TSX Capped Information Technology Index Fund XEG: iunits S&P/TSX Capped Energy Index Fund

3 BOURSE DE MONTRÉAL INC. Historical Interest Rate Derivative Statistics Futures Contracts 24 YTD Interest Interest Interest Interest Interest Interest BAX 5,489, ,351 6,578, ,95 4,789, ,87 4,234, ,352 4,992, ,927 6,47, ,852 CGB 2,13, ,894 2,397,119 77,177 1,83,42 63,542 1,835,229 59,642 1,51,264 55,649 1,598,463 29,594 CGZ 158,783 6,285 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A ONX 1,48 6,55 6,817 4 N/A N/A N/A N/A N/A N/A TOTAL 7,753, ,53 8,981, ,82 6,599, ,812 6,69, ,994 6,494,443 24,576 7,669, ,63 Futures Options OBX 215,787 28,32 341,245 31,572 57,95 17,5 89,339 3,62 249,976 51,73 168,93 27,963 TOTAL 215,787 28,32 341,245 31,572 57,95 17,5 89,351 3,62 249,976 51,73 171,57 27,963 Bond Options OBA , N/A N/A N/A N/A N/A N/A N/A N/A TOTAL , , , , , BAX: Three-month Canadian Bankers' Acceptance Futures ONX : 3-Day Overnight Repo Rate Futures OBX: Options on Three-month Canadian Bankers' Acceptance Futures CGB: Ten-year Government of Canada Bond Futures OGB: Options on the Ten-year Government of Canada Bond Future CGF : Five-year Government of Canada Bond Futures Historical Index Derivative Statistics Futures Contracts 24 YTD Interest Interest Interest Interest Interest SXF 1,436,543 94,333 1,681,994 16,641 1,45,86 67,625 1,174,328 53,541 1,272,244 66, ,58 5,419 SXA 361 1, N/A N/A N/A N/A N/A N/A SXB N/A N/A N/A N/A N/A N/A SXH 68 6,89 5 7,71 1,375 N/A N/A N/A N/A N/A N/A SXY N/A N/A N/A N/A N/A N/A TOTAL 1,438,157 94,358 1,69,9 17,245 1,458,942 69, 1,174,328 53,541 1,272,244 66, ,58 5,419 Options on Index Derivatives SXO 3,117 6,181 38,221 1,285 47,749 4,251 35,585 4,69 93,998 7,559 42,31 24,815 XIU 97,79 22,267 13,58 3, ,325 18,45 127,731 8,48 121,757 18,348 N/A N/A XGD 36,615 4,32 18,199 3,752 N/A N/A N/A N/A N/A N/A N/A N/A XFN 25,212 2,27 11,914 5,618 N/A N/A N/A N/A N/A N/A N/A N/A XIT 8,85 1,77 9,721 1,535 N/A N/A N/A N/A N/A N/A N/A N/A XEG 22,735 4,638 1,917 6,38 N/A N/A N/A N/A N/A N/A N/A N/A TOTAL 22,563 4,735 39,48 49,67 285,74 22,71 163,316 13,17 215,755 25,97 42,31 24,815 SXF: S&P Canada 6 Futures XIU: Options on iunits S&P/TSE 6 Index Participation Fund SXA, SXB, SXH, SXY : Futures on S&P/TSE sectorial indices Historical Equity Derivative Statistics Equity Options 24 YTD Interest Interest Interest Interest Interest Interest Equity Options 5,814, ,535 6,53, ,411 6,86, ,823 5,99, ,8 4,753, ,923 1,439, ,291 Long TermOptions 536,39 142,289 31, , ,82 66,119 13,249 46,34 17,535 54,37 44,849 18,41 TOTAL 6,35, ,824 6,355, ,411 6,252, ,823 5,23, ,42 4,861,3 632,96 1,484, ,71

4 BOURSE DE MONTRÉAL INC. - averages - September 24 Index and Equity Derivatives Trading Days Interest Rate Derivatives Sponsored Options / XIU Sect. iunits OBA CGZ Total January February March April May June July August Septmber October November December Interest Rate Ave. Daily volume Daily Ave. % Daily Ave. % Daily Ave. Daily Ave. % Daily Ave. % Derivatives Sept. 24 Sept. 23 variation Aug. 24 variation Jan-Sept. 24 Jan-Sept. 23 variation Jan-Aug. 24 variation BAX 32,719 28, % 33,3 -.9% 28,892 26, % 28, % OBX 93 1, % 1, % 1,136 1, % 1, % CGB 9,888 7, % 18, % 11,72 9, % 11,22-1.3% CGZ (6) 827 N/A N/A 1, % 1,512 N/A N/A 1, % OBA (5) % N/A 1 N/A % ONX(3) 1-1.% N/A % % Sub Total (*) 44,367 36, % 54, % 41,944 37, % 41,643.7% Index Derivatives SXF 12,892 13, % 3, % 7,561 6, % 6, % SXA(2) % 2-15.% % 2-1.8% SXB(2) 4 N/A N/A % 93.5% SXH(2) 52-1.% N/A % % SXY(2) N/A 5-1.% % % SXO (Long Term included) % % % % Sub Total (*) 13,121 14,13-7.% 3, % 7,728 6, % 7,58 9.5% ETF Options XIU (Long Term included) % % % % XGD/XGL (4) % % XFN (4) % % XIT (4) % % XEG (4) % % Sub Total (*) 97 1, % % 1, % 1,14-1.2% Equity Derivatives Equity Options 23,947 3,53-2.3% 22,91 4.5% 3,64 23, % 31, % Long Term Options 1,497 1, % 1, % 2,821 1, % 2, % Sub Total (*) 25,445 31, % 24,59 3.8% 33,425 24, % 34, % TOTAL (*) 83,84 83, % 82,994 1.% 84,1 7, % 84,132.% * - This number is based on the number of total traded contracts 2 - Listed on April 29, Listed on April 21, Listed on May 3, 24 divided by the number of trading days during the same period 3 - Listed on June 14, Listed on June 23, 23 All reported futures and options figures represent cleared and compensated data as provided by the Canadian Derivatives Clearing Corporation (CDCC).

5 Bourse de Montréal Inc. - Monthly Options Summary - September 24 Equity Options Value Transactions Interest Calls Puts Total Calls Puts Total Calls Puts Total Sept. 3, 24 1 Abitibi-Consolidated Inc A 5, ,66 288,31 92,38 38, ,816 2 Barrick Gold Corporation ABX 11,622 4,444 16,66 1,37, ,579 2,76, ,96 3 Agnico-Eagle Mines Ltd. AGE 1, ,447 97,26 32, , ,4 4 Alcan Aluminium Limitee AL 7,426 5,676 13,12 2,96,834 1,179,895 3,276, ,14 17,453 5 Ati Technologies Inc. ATY 8,348 1,734 1,82 849,35 217,28 1,66, ,288 6 Bombardier Inc.Cl.B SV BBD.B 24,632 1,455 35,87 893,562 77,181 1,663, , ,946 7 BCE Inc. BCE 6,334 3,89 9, , ,965 1,15, ,17 8 Ballard Power Systems BLD 4, ,51 312,755 37,85 35, ,625 9 Bank of Montreal BMO 4,63 1,722 5,785 97,82 559,72 1,53, ,51 1 Brascan Corp. BNN 1, , ,84 77,45 315, , Bank of Nova-Scotia BNS 9,641 3,654 13,295 1,583,98 467,715 2,51, , Biovail Corporation BVF 4,539 1,476 6,15 653, ,85 92, ,1 13 CAE Inc. CAE 1, ,898 51,666 32,7 84, , Cameco Corp. CCO 2, , ,26 273,565 1,22, ,1 15 CI Fund Management CIX ,1 1, Celestica Inc. SV CLS 6,269 3,733 1,2 71,747 1,167,57 1,869, ,18 17 CDN Imperial Bank of Comm. CM 6,128 8,18 14,38 2,255,489 2,3,49 4,258, ,75 18 Canadian Natural Resources CNQ 12,495 4,65 16,56 3,651,1 775,965 4,426, ,248 1, Canadian National Railway CNR/CNX 1, ,62 399, ,96 576, ,634 2 Canadian Pacific Railway CP 1, ,48 141,19 53,5 194, , Cognos CSN 1, , ,38 133,145 46, , Dofasco Inc. DFS 2, , ,3 4, , , Encana Corporation ECA 17,76 4,958 22,34 3,61, ,814 4,577,313 1, ,782 3, Fairmont hotels and Resorts FHR ,23 18,61 68, FalconBridge Ltée FL 2, ,98 41,765 66,87 477, , Goldcorp Inc. G 6,172 1,57 7, , ,97 642, , CGI Inc.(Groupe) Cl A SV GIB.A ,467 4,115 29, , Glamis Gold GLG ,78 27, Great-West Lifeco GWO ,65 1, ,359 3 BCE Emergis Inc. IFM ,53 2, 35, , IAMGold Corp. IMG , ,88 52,65 165, ,65 32 Imperial Oil Limited IMO 1, ,736 25, ,98 384, , Quebecor World SV IQW ,95 9,75 79, JDS Uniphase Canada Ltd. JDU ,53 3,45 36, , Kinross K 8,815 1,6 9, ,27 84, , ,79 36 Loblaw Companies Ltd. L ,33 2,35 124, , ,6 37 Manitoba Telecom Services (*) MBT ,375 25,16 49, MDS Inc. MDS ,485 24,83 44, Manulife Financial MFC 3,821 1,34 5, , ,995 1,135, ,34 4 Magna International Cl A MG.A 1, ,28 294, ,315 89, , Meridian Gold MNG 1, ,21 194,415 69,71 264, , Molson Inc. MOL 1, ,367 14,265 84,2 224, , Inco Ltd. N 7,276 3,73 1,979 1,637,2 89,85 2,447, ,49 12, National Bank of Canada NA 1, , ,48 156,6 455, ,52 45 Nova Chemicals Corp. NCX 2, , ,855 18, , ,73 46 Noranda Inc. NRD 4,436 1,972 6,48 511,28 266,64 777, , Neurochem Inc. NRM 1, , ,45 55,69 237, ,21 48 Nortel Networks Corp. NT 87,82 24, ,496 2,835,219 2,838,121 5,673,34 2, , , Nexen Inc. NXY 1, ,61 266,55 134,6 4, ,14 5 Text Corp. OTC , , , , ,64 51 Pan American Silver Corp. PAA ,273 12,92 35, , , Petro-Canada Com/Var PCA 14,341 8,14 22,481 4,33,9 1,14,33 5,47,42 1, ,58 13, Precision Drilling Corp. PD 2,618 1,258 3,876 1,1,875 28,975 1,381, , Placer Dome Inc. PDG 11,887 6,895 18,782 2,44,45 784,55 2,828, ,159 3, Groupe Jean Coutu (*) PJC ,4 6 2, QLT Phototherapeutics Inc. QLT 3,82 1,669 4, ,676 57,53 1,7, , Rogers Communication ClB RCI.B 1, ,118 14,75 67, , ,79 58 Research In Motion RIM 8,26 5,927 14,133 7,9,16 1,731,358 8,821,518 1, ,989 7, Royal Bank of Canada RY 9,876 4,952 14,828 1,932,337 1,462,785 3,395, ,37 39,139 6 Sherritt Int. S ,95 11, Shaw Communications SJR ,15 31,86 56, Sun Life Financial SLF 2, ,67 298, ,145 52, , Suncor Energy Inc. SU 1,141 3,399 13,54 1,757,71 417,93 2,175, , Sierra Wireless Inc. SW 2,34 1,7 3,311 47,53 483, , , Telus Corp. T 3, , ,3 52,3 34, , TransAlta Corporation TA 1, ,13 49,657 36,565 86, , Toronto-Dominion Bank TD 7,56 2,371 9,931 1,621, ,35 2,13, , Teck Cominco Ltd. TEK 3, , , ,18 677, ,17 69 Canadian Pacific Ships TEU 1,825 1,588 3, , ,25 331, ,711 7 Talisman Energy Inc. TLM 1,95 8,649 19,599 1,81,355 1,3,535 3,11, , Thomson Corporation TOC ,17 87,935 61, , , TransCanada Corp. TRP 4,8 97 4, ,481 99,64 473, ,66 73 Wesjet Airlines Ltd. WJA ,19 17,65 27, Sous - total 383, ,15 534,341 56,96,568 25,973,168 82,933,736 23,764 8,675 32, ,824 NOTE : Long termoptions included in the volume (*) listed on Sept. 27, 24

6 Bourse de Montréal Inc. - Monthly Options Summary - September 24 Futures/Bond/Index/iUnits Value Transactions Interest Calls Puts Total Calls Puts Total Calls Puts Total Sept. 3, 24 1 BAX Options BAX Options OBX 12,28 7,24 19,52 1,177,375 2,137, 3,314, Cda Bond Options JN OBA ,5 5, S+P/CDA 6 Index S+P/CDA 6 Index SXO 935 3,753 4,688 2,911,335 1,135,38 4,46, ,181 4 Units S&P/TSE 6 fund i6 Units XIU 5,824 4,5 9,829 1,69, ,53 1,365, ,742 Gold XGD/XGL 2, ,151 55,84 71,52 577, ,638 Financial Services XFN ,74 56,36 65,85 122, ,27 IT XIT 2,346 1,385 3, ,32 189,59 624, ,32 Energy XEG ,99 12,7 62, ,77 Sub Total 24,642 18,257 42,899 6,25,795 3,912,998 1,118, ,357 67,611 Grand Total 47, , ,24 63,166,363 29,886,166 93,52,529 24,678 9,118 33,796 1,4,435 NOTE : Leaps included

7 Bourse de Montréal Inc. - Canadian Equity Options Market Trading by Sector September 24 Sectors Sept. Trade (%) Aug. Change Sept. - Aug. (%) 16, Traded volume distribution per sector Materials 112, % 111,822.74% Industrials 53, % 86, % Telecommunications 16, % 11, % Consumer Discretionary 4,254.8% 6, % Energy 11, % 7, % Financials 7, % 78, % Health Care 12, % 15, % Technology 152, % 127, % Utilities 7, % 5, % Consumer Staples 3,697.69% 1, % Total 534,341 1.% 12, 8, 4, Materials Industrials Telecomm. Consumer Discretionary Energy Financials Health Care Technology Utilities Consumer Staples Sectors January to September 24 Jan- Sept. Trade (%) Jan- Aug. Change Jan- Sept. / Jan- Aug. Materials 1,292, % 1,179, % Industrials 753, % 7, % Telecommunications 171, % 155, % Consumer Discretionary 72, % 68, % Energy 699, % 597, % Financials 948, % 877,914 8.% Health Care 173, % 161, % Technology 2,121, % 1,969, % Utilities 91, % 83, % Consumer Staples 27,142.43% 23, % Total 6,35,837 1.% 2,, 1,6, 1,2, 8, 4, Materials Industrials Traded volume distribution per sector Telecomm. Consumer Discretionary Energy Financials Health Care Technology Utilities Consumer Staples * Sector breakdowns are based on the S&P/TSX Indices

8 BAX Three-Month Canadian Bankers' Acceptance Futures Interest BAX - and Interest 7, 6, 5, 4, 3, 2, 1, CGB Ten-Year Government of Canada Bond Futures Interest 4, CGB - and Interest 35, 3, 25, 2, 15, 1, 5,

9 SXF S&P Canada 6 Index Futures Interest 36, 32, 28, 24, 2, 16, 12, 8, 4, SXF - and Interest Equity Options Interest Equity Options - and Interest 1,2, 1,, 8, 6, 4, 2,

10 DELIVERABLE BOND ISSUES AND THEIR CONVERSION FACTORS (As of Sept. 1, 24) TEN-YEAR GOVERNMENT OF CANADA BOND FUTURES - CGB Government of Canada Bonds Outstanding Sept-4 Dec-4 Mar-5 June-5 Coupon Maturity (CAN $ million) 5 1/4% June 1, , % June 1, 214 1, TOTAL OUTSTANDING DELIVERABLE BONDS 22,367 22,367 22,367 22,367 (CAN $ million) Conversion factors computed with a yield equal to 6%. TWO-YEAR GOVERNMENT OF CANADA BOND FUTURES - CGZ Government of Canada Bonds Outstanding Sept-4 Dec-4 Mar-5 June-5 Coupon Maturity (CAN $ million) 3% June 1, 26 7, S/O S/O 5 3/4% September 1, 26 9, S/O 4 1/2% September 1, 27 1,4 S/O S/O TOTAL OUTSTANDING DELIVERABLE BONDS 16,839 16,839 19,72 1,4 (CAN $ million) Conversion factors computed with a yield equal to 6%. Note: This table is subject to the Rules of Bourse de Montréal Inc. and of the Canadian Derivatives Clearing Corporation.