ASX EQUITY DERIVATIVES Options and Futures Statistics March 2018

Transcription

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 Jan/15 Jul/15 Jan/16 Jul/16 Jan/17 Jul/17 Jan/18 Jan9 Jul9 Jan1 Jul1 Jan11 Jul11 Jan12 Jul12 Jan13 Jul13 Jan14 Jul14 Jan15 Jul15 Jan16 Jul16 Jan17 Jul17 Jan18 Number of Contracts Traded (') Number of Contracts Open (') Notional value ($b) Jan/9 Jul/9 Jan/1 Jul/1 Jan/11 Jul/11 Jan/12 Jul/12 Jan/13 Jul/13 Jan/14 Jul/14 Jan/15 Jul/15 Jan/16 Jul/16 Jan/17 Jul/17 Jan/18 Jan/9 Jul/9 Jan/1 Jul/1 Jan/11 Jul/11 Jan/12 Jul/12 Jan/13 Jul/13 Jan/14 Jul/14 Jan/15 Jul/15 Jan/16 Jul/16 Jan/17 Jul/17 Jan/18 Number of Contracts Traded (') Number of Contracts Open (m) Notional value ($b) ASX EQUITY DERIVATIVES Options and Futures Statistics March 218 Average Daily Volume (ADV) and Open Interest (OI) Single Stock and XJO traded on ASX Single Stock Options ADV (adj) Single Stock Options OI (adj) and Notional Value OI SS SS Notional Value ($b) XJO Options ADV XJO Options OI and Notional Value 8 1, , Index Option OI XJO Notional Value ($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 Jan/15 Apr/15 Jul/15 Oct/15 Jan/16 Apr/16 Jul/16 Oct/16 Jan/17 Apr/17 Jul/17 Oct/17 Jan/18 Open Interest (') 214 Q1 214 Q2 214 Q3 214 Q4 215 Q1 215 Q2 215 Q3 215 Q4 216 Q1 216 Q2 216 Q3 216 Q4 217 Q1 217 Q2 217 Q3 217 Q4 218 Q1 A$ b Jan15 Apr15 Jul15 Oct15 Jan16 Apr16 Jul16 Oct16 Jan17 Apr17 Jul17 Oct17 Jan18 No. Contracts Traded (') ADV (Hundreds) ASX EQUITY DERIVATIVES SPI 2 INDEX FUTURES (AP) March 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 1,8 1,5 1, Night Day Rolling 3 month ADV (RHS) AP Futures Quarterly Notional Value $6 $5 $4 $3 $2 $1 $ AP Futures Open Interest * partial quarter

3 ASX EQUITY DERIVATIVES SPI 2 INDEX FUTURES (AP) March 218 Roll Volume SPI 2 Futures (AP) traded on ASX 24 Roll Volume v Total Volume (roll months only) 2,,. 1,8,. 1,6,. 1,4,. 1,2,. 1,,. 8,. 6,. 4,. 2,. 8% 7% 5% 4% 3% 2% 1% % Mar15 Jun15 Sep15 Dec15 Mar16 Jun16 Sep16 Dec16 Mar17 Jun17 Sep17 Dec17 Mar18 NonRoll Volume Roll Volume % Roll Volume to Total Volume

4 ASX EQUITY DERIVATIVES March 218 Options Top Classes by Volume RANK Mar18 VOLUME % MKT OPEN INTEREST VOL/OP SHARE VOLUME DLR* PUT/ CALL Net Calls** Net Puts** 1 XJO 1,17, % 957, % n/a n/a 154.1% 11,165 18,967 2 TLS 727, ,15, ,525, 12.% ,828 51,15 3 FMG 631,28 8.3% 544, ,169, 16.3% 185.7% 18,92 35,87 4 BHP 548, % 493, % 16,495, n/a 77.7% 16,438 37,233 5 RIO 448, , % 46,423, % 11,256 22,133 6 CBA 352, , % 6,241, 58.5% 79.4% 8,32 1,98 7 WBC 27, , % 136,94, 19.8% 76.1% 15,136 17,359 8 NAB 269, , % 113,278, 23.8% 14.8% 11 15,79 9 S32 257,84 3.4% 229, % 553,562, 4.7% 135.1% 53,411 9,31 1 ANZ 215, % 235, ,432, % 3,96 16, NCM 194, , % 65,224, 29.8% 125.7% 1,12 8, QBE 178,39 2.4% 154, % 114,327, , 7, WPL 175, % 174, ,675, 27.1% 18.8% 14,931 1, STO 173, % 28, % 19,335, % 13, CSL 143, , % 18,7, % MQG 117, , % 17,828, 66.% , TCL 9, % 18, ,54, 8.7% 27.4% 1,43 3, OSH 89, % 195, % 1,754, ,51 19 WES 84,72 1.1% 11, % 5,21, 16.7% 78.2% 3,219 2,4 2 GMG 76,14 1.% 43, % 79,35, ,76 21 AMP 65, , % 183,217, % 1,155 4, BXB 64, , ,133, 7.% 58.1% 3,33 1,29 23 HVN 62,663.8% 61, % 86,789, 7.2% 89.8% 4,881 6, WOW 6,282.8% 114, ,768, % 4,69 5,95 25 SYD 58,792.8% 57, ,15, 6.8% 65.8% 6,945 4, BSL 57,987.8% 5, % 75,18, 7.7% ,377 3, AWC 55,23.7% 93, % 36,165, 1.8% 16.8% 3,58 2, ORG 51,635.7% 214, % 79,251, 6.5% 42.3% 3, MPL 49,784.7% 7, ,91, 3.5% 115.1% 687 5,737 3 AGL 48, , % 43,54, 11.3% 87.2% 1, Market^ 7,586,25 1.% 8,415, % 7,336,334, 1.3% 98.4% 34,472 42,934 * 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

5 ASX EQUITY DERIVATIVES March 218 Options Market Share by Value and Volume Traded Top 1 Brokers by Value Top 1 Brokers by Volume 4% 3% 5% 7% 7% 8% 1% 35% Shaw BTIG D2MX Pty Ltd UBS Bell Potter Phillip Capital Commonwealth ABN AMRO Clear Merrill Lynch Macquarie Retai 5% 5% 4% 4% 5% 1% 11% 38% Commonwealth Shaw Bell Potter D2MX Pty Ltd SILA UBS Morgan Stnly WM Macquarie Retai BTIG AIEX Top 5 Market Makers by Value Top 5 Market Makers by Volume 12% 17% 8% 25% 2 Eclipse HK MM Susquehanna Liquid Capital Metark Trading Mako APAC 8% 15% 22% 1 3% Eclipse HK MM Susquehanna Metark Trading UBS WMM Liquid Capital Top 5 LEPO Participants by Value Top 5 LEPO Particpants by Volume 11% 7% 17% 47% Morgan Stnly WM Credit Suisse Morgans Susquehanna Macquarie Insto 12% 21% 5% 4% 4% 54% Morgan Stnly WM Credit Suisse Phillip Capital Macquarie Insto Pershing NOTE: The above charts include contracts traded in both Single Stock and Index options LEPOs are excluded from these charts

6 ASX EQUITY DERIVATIVES March 218 Top 1 Call and Put Options Contracts 3, 2, 1, Call Option Contracts (excluding Market Makers) 7, 6, 5, 4, 3, 1, 2, TLS XJO BHP CBA FMG WBC RIO NAB ANZ STO 2, 1, 1, 2, 3, Contracts Long (Bought) Contracts Short (Sold) Net Mar 218 (RHS) Net Feb 218 (RHS) 3, 4, 3, 2, 1, 1, 2, 3, 4, Put Option Contracts (excluding Market Makers) XJO FMG RIO TLS BHP CBA S32 NAB QBE WBC 4, 3, 2, 1, 1, 2, 3, 4, 5, 6, Contracts Long (Bought) Contracts Short (Sold) Net Mar 218 (RHS) Net Feb 218 (RHS) NOTE: The charts above show the number of contracts bought and sold by nonmarketmaking participants in the top 1 underlying securities

7 Jan9 Jul9 Jan1 Jul1 Jan11 Jul11 Jan12 Jul12 Jan13 Jul13 Jan14 Jul14 Jan15 Jul15 Jan16 Jul16 Jan17 Jul17 Jan18 Jan9 Jul9 Jan1 Jul1 Jan11 Jul11 Jan12 Jul12 Jan13 Jul13 Jan14 Jul14 Jan15 Jul15 Jan16 Jul16 Jan17 Jul17 Jan18 S&P/ASX 2 Net bought (written) contracts Jan9 Jul9 Jan1 Jul1 Jan11 Jul11 Jan12 Jul12 Jan13 Jul13 Jan14 Jul14 Jan15 Jul15 Jan16 Jul16 Jan17 Jul17 Jan18 ASX EQUITY DERIVATIVES March 218 S&P/ASX 2 VIX Options Net Buy/Sell Volume (excluding market makers) 7, 1, 6, 5, 5, 4, 3, 5, 2, 1, Net Bought (Written) Calls Net Bought (Written) Puts S&P/ASX2 (LHS) 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 %

8 ASX EQUITY DERIVATIVES March 218 Options Volume, Value and Open Interest Volume PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO ASX INDEX OPTION INDEX LEPO Mar18 3,824,294 3,761,956 7,586,25 6,287, ,392 1,16,3 1,64 Feb18 4,148,957 3,644,366 7,793,323 6,297, ,67 1,343, Variance 7.8% 3.2% 2.7%.2% 85.% 24.4% 171. Mar17 5,174,98 4,494,54 9,669,484 8,58, , ,458 3,4 Variance 26.1% 16.3% 21.5% 26.1% % 46. Cal Yr to date 11,446,338 1,556,28 22,2,366 18,35, ,767 3,216,733 2,44 Fin Yr to date 37,85,72 31,899,465 69,75,185 58,75,147 1,81,72 9,138,579 14,757 Value ($m) PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO Mar , Feb , Variance 45.7% 16.8% % 174.5% 31.4% 174. Mar17 1, , Variance 42.5% 27.1% 27.8% % 6.3% 44.8% Cal Yr to date 2,279 1,552 3,831 1, , Fin Yr to date 7,753 3,87 11,623 4,44 2,621 4, Open Interest PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO Mar18 4,677,297 3,738,651 8,415,948 6,958, , , Feb18 5,344,328 4,359,82 9,74,148 8,123, ,2 1,83,25 1,123 Variance 12.5% 14.2% 13.3% 14.3%.8% 11.7% 41.8% Mar17 5,684,2 4,27,232 9,711,432 8,332,91 643, ,82 1,575 Variance 17.7% 7.2% 13.3% 16.5% 22.3% 3.4% 58.5% Cal Yr to date 4,677,297 3,738,651 8,415,948 6,958, , , Fin Yr to date 4,677,297 3,738,651 8,415,948 6,958, , , 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