Jan-9 Jul-9 Jan-1 Jul-1 Jan-9 Jul-9 Jan-1 Jul-1 Number of Contracts Traded (') Number of Contracts Open (') Jan-9 Jul-9 Jan-1 Jul-1 Jan-9 Jul-9 Jan-1 Jul-1 Number of Contracts Traded (') Number of Contracts Open (m) DERIVATIVES EQUITY AND INDEX OPTIONS ASX Options Statistics and Analysis December 216 Average Daily Volume (ADV) and Open Interest (OI) Single Stock Options ADV (adj) Single Stock Options OI (adj) 9 8 7 6 5 4 3 2 1-2 18 16 14 12 1 8 6 4 2 8 7 6 XJO Options ADV 1,2 1, XJO Options OI 5 8 4 3 2 6 4 1 2 - 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 pre-may 211 were adjusted by a factor of 1.
December 216 Top Classes by Volume RANK Dec-16 VOLUME % MKT OPEN INTEREST VOL/OP SHARE VOLUME DLR* PUT/ CALL Net Calls** Net Puts** 1 XJO 883,216 9.2% 71,24 126.% n/a n/a 117.7% -7,974-7,48 2 BHP 747,315 7.8% 734,627 11.7% 183,161, 4.8% 51. -6,349-17,989 3 FMG 693,411 7.2% 491,351 141.1% 367,73, 18.9% 148. 8,73 6,348 4 TLS 6,34 6.3% 952,834 63.% 456,61, 13.2% 45.1% -31,466-5,888 5 CBA 479,144 5.% 316,44 151.4% 55,977, 85. 51.9% -3,86 514 6 QBE 4,547 4.2% 368,727 18. 155,468, 25.8% 17.4% 1,124-8,156 7 RIO 381,398 4.% 217,267 175. 42,861, 89.% 96.% -3,442-13,365 8 STO 368,43 3.8% 315,694 116. 275,34, 13.4% 11.9% -1,21-19,453 9 ANZ 355,713 3.7% 367,84 96.9% 12,488, 29. 36.7% -1,342 17,97 1 NCM 35,674 3.7% 229,185 153.% 9,378, 38.8% 97.1% 17,757-2,86 11 ORG 314,636 3.3% 26,21 152.7% 147,937, 21.3% 1.8% -2,86-668 12 LLC 294,842 3.1% 148,252 198.9% 4,589, 72. 2.3% -1,771 1,684 13 NAB 267,838 2.8% 353,532 75.8% 99,327, 27.% 41.4% -1,333 9,28 14 SCG 261,724 2.7% 148,882 175.8% 27,882, 9.7% 24.2% 1,591 1,559 15 WBC 249,342 2. 31,956 8.2% 15,651, 23. 62.8% -19,22 2,65 16 S32 21,99 2.1% 155,643 129.7% 461,31, 4.4% 48.2% 6,499-1,758 17 MQG 21,474 2.1% 117,62 171.3% 21,388, 94.2% 77.2% -412 2,16 18 WPL 183,466 1.9% 146,776 125.% 56,769, 32.3% 66.4% -1,149-4,273 19 QAN 173,848 1.8% 19,259 159.1% 154,839, 11.2% 17.9% -17,435-1,582 2 FXJ 171,43 1.8% 13,734 165.3% 131,5, 13.1% 179.8% -12,78-4,5 21 CSL 161,689 1.7% 14,896 154.1% 21,744, 74.4% 99.1% -6,599-4,382 22 WOW 153,349 1. 14,44 19. 55,944, 27.4% 87.3% -5,857-4,277 23 BXB 15,911 1. 16,56 141. 61,822, 24.4% 8. -5,78 26 24 WES 122,336 1.3% 17,935 113.3% 45,123, 27.1% 78.% -3,446-1,452 25 AMP 112,623 1.2% 226,867 49. 15,543, 7. 48.4% -22,43-677 26 AWC 87,62.9% 1,568 87.1% 222,985, 3.9% 27.7% 5,269 3,85 27 MPL 83,73.9% 14,759 59. 12,636, 6.9% 212. -17,589 8,491 28 RRL 75,377.8% 48,275 156.1% 97,539, 7.7% 11.9% -1,62 336 29 WFD 65,754.7% 52,58 126.3% 123,259, 5.3% 37.4% -2,786-1,884 3 SYD 6,851. 65,352 93.1% 196,731, 3.1% 52.1% -3,72-1,427 Market^ 9,59,21 1.% 8,984,657 16.7% 7,2,236, 13.3% 59.1% -3,389-13,165 * 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 double-sided
December 216 Market Share by Value and Volume Traded Top 1 Brokers by Value Top 1 Brokers by Volume 3% 2% 4% 8% Merrill Lynch UBS Pershing Shaw ABN AMRO Clear Macquarie Retai Commonwealth Bell Potter Deutsche 4% 9% 11% 32% 11% Pershing UBS Commonwealth Deutsche SILA Macquarie Retai BTIG Bell Potter Shaw Top 5 Market Makers by Value Top 5 Market Makers by Volume 11% 17% 32% Eclipse HK MM Susquehanna Liquid Capital IMC Pacific Metark Trading 1% 1% 9% 3% Eclipse HK MM Susquehanna Timber Hill R Liquid Capital Metark Trading 29% Top 5 LEPO Participants by Value Top 5 LEPO Particpants by Volume 2% 1% 3% 1 4 Morgan Stnly WM Credit Suisse Phillip Capital Patersons 33% 5 Morgan Stnly WM Credit Suisse Phillip Capital Patersons NOTE: The above charts include contracts traded in both Single Stock and Index options LEPOs are excluded from these charts
December 216 Top 1 Call and Put Options Contracts 5, 4, 3, 2, 1, -1, -2, -3, -4, Call Option Contracts (excluding Market Makers) BHP LLC QBE ORG XJO SCG CBA ANZ FMG WBC 2, 1, -1, -5, Contracts Long (Bought) Contracts Short (Sold) Net Dec 216 (RHS) Net Nov 216 (RHS) -2, 4, 3, 2, 1, -1, -2, -3, -4, Put Option Contracts (excluding Market Makers) XJO FMG FXJ BHP RIO STO WPL TLS NCM CBA 4, 3, 2, 1, -1, -2, -3, -4, -5, Contracts Long (Bought) Contracts Short (Sold) Net Dec 216 (RHS) Net Nov 216 (RHS) NOTE: The charts above show the number of contracts bought and sold by non-market-making participants in the top 1 underlying securities
Jan-9 Jul-9 Jan-1 Jul-1 Jan-9 Jul-9 Jan-1 Jul-1 S&P/ASX 2 Net bought (written) contracts Jan-9 Jul-9 Jan-1 Jul-1 DERIVATIVES EQUITY AND INDEX OPTIONS December 216 5 S&P/ASX 2 VIX 4 3 2 1 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. 12 Put-Call Indicators 1% 7 P/C Volume % P/C OI %
December 216 Volume, Value and Open Interest Volume PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO ASX INDEX OPTION INDEX LEPO Dec-16 6,29,593 3,56,617 9,59,21 7,383,481 1,323,513 882,44 776 Nov-16 5,348,85 4,377,345 9,726,15 8,454,942 79,122 1,191,41 685 Variance 12.7% -18.7% -1.4% -12.7% 1572.7% -25.9% 13.3% Nov-15 3,67,275 3,396,467 7,66,742 6,6,59 57,938 1,1,98 765 Variance 64.3% 4.8% 35.7% 22.9% 2184.4% -11.9% 1.4% Cal Yr to date 59,418,148 42,621,75 12,39,223 85,174,9 4,718,149 12,138,93 8,54 Fin Yr to date 29,741,7 21,8,79 5,821,86 43,24,437 2,216,694 5,577,13 2,852 Value ($m) PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO Dec-16 2,656 457 3,113 832 1,699 541 4 Nov-16 825 511 1,336 644 161 57 25 Variance 222.% -1. 133.% 29.3% 957.7% 6.8% 62.9% Nov-15 659 745 1,44 633 9 641 39 Variance 33.1% -38. 121.8% 31.4% 1793.8% -15. 1. Cal Yr to date 15,345 7,643 22,988 8,689 6,11 7,89 397 Fin Yr to date 7,72 2,722 1,442 3,978 3,243 3,92 129 Open Interest PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO Dec-16 5,367,846 3,616,811 8,984,657 7,619,412 664,5 7,838 42 Nov-16 6,225,654 4,51,813 1,736,467 8,947,195 838,4 95,735 137 Variance -13.8% -19.8% -16.3% -14.8% -2.8% -26.3% 193.4% Nov-15 6,167,964 4,491,466 1,659,43 8,648,241 1,184,15 825,213 1,826 Variance -13.% -19. -15.7% -11.9% -43.9% -15.1% -78.% Cal Yr to date 5,367,846 3,616,811 8,984,657 7,619,412 664,5 7,838 42 Fin Yr to date 5,367,846 3,616,811 8,984,657 7,619,412 664,5 7,838 42 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: +61 2 9227 696 Email: Greg.Pill@asx.com.au http://www.asx.com.au/products/exchange-traded-options.htm