GIELDA PAPIEROW WARTOSCIOWYCH WARSZAWIE : Derivatives Market
January 10, 2013 at 07:52 pm IST
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2013-01-10 14:22:49
Derivatives Market
Warsaw, 10 January 2013
Derivatives Market in 2012.
Press Release
The volume of trading in all derivatives was 11.3 million instruments in 2012 v. 15.6 million instruments in 2011.
The number of open interest was 147.9 thousand at the end of 2012.
WIG20 futures
The volume of trading in WIG20 futures was 9.08 million contracts in 2012;
The number of open interest in WIG20 futures was 89.9 thousand contracts at the end of 2012.
Options
The volume of trading in WIG20 options was 715.4 thousand options in 2012;
The number of open interest in WIG20 options was 14.5 thousand options at the end of 2012.
Single stock futures
The volume of trading in single-stock futures was 540.3 thousand contracts in 2012;
The number of open interest in single-stock futures was 8.2 thousand contracts at the end of 2012;
The most traded single-stock futures by monthly volume were:
No
Underlying stock
Trading volume (#) in 2012
1.
KGHM SA
130 402
2.
PKO BP SA
124 202
3.
PETROLINVEST SA
77 190
4.
PKN ORLEN SA
68 866
5.
GRUPA LOTOS SA
30 927
Currency futures
The volume of trading in currency futures was 960.9 thousand contracts* in 2012;
The most traded currency futures in 2012 were USD/PLN futures. The volume of trading in USD/PLN futures was 821.8 thousand contracts, representing 85.5% of the volume of trading in all currency futures;
The number of open interest in currency futures was 24.1 thousand contracts at the end of 2012.
* The standard specification of all listed currency futures was amended as of 1 May 2012. The amendment involved a change of the trading unit (contract size), which was divided by 10. Under the new rules, each futures contract corresponds to 1,000 currency units (USD, EUR, or CHF), as compared to 10,000 before the change. The significant increase in the trading volume and the number of open interest in currency futures in 2012 was mainly a result of the change. Please note that the currency futures contract size before the change corresponds to 10 contracts after the change.
More statistics
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Derivative instruments are the most effective tool which can be used to manage specific risks. Derivatives based on indices and single stocks can be used to manage market risk, for instance to hedge an existing equities portfolio against a decrease in value. Currency futures can be used to hedge against the risk of disadvantageous changes of an exchange rate. This means that derivatives can be used for instance by entities which hold specific currency positions with respect to the following exchange rates: USD/PLN, EUR/PLN, CHF/PLN. Particularly important are options, which provide great flexibility in building hedging strategies. The WSE lists options which expire on four different dates; many series of call and put options with different strike prices are available for each expiry date. The diversity of available instruments opens great opportunities for hedging strategies. Options can be used to build hedging strategies according to different market scenarios and at a different cost of hedging.
Derivative instruments are also an effective investment tool. Derivatives can be profitable when the value of the underlying instrument increases or decreases. Investments in derivatives involve a high leverage. Again, options are particularly important due to their flexibility. Options can be used not only to invest in an expected change of value of the underlying instrument but also a change of market volatility etc. Arbitrage strategies, employed mainly by institutional investors, are a special variety of investment strategies.
Gielda Papierow Wartosciowych w Warszawie SA (Warsaw Stock Exchange, GPW) is a Poland-based stock exchange. It is a parent entity of WSE Group that offers products and services within its trading markets of equity, derivate, fixed income and structured products. It also distributes market data. The Company has two business lines: Financial market, which includes trading in equities, derivatives, fixed-income and other instruments, listing, and information services; and Commodity market, which includes trading in electricity and property rights in certificates of origin, operation of a register of certificates of origin, clearing, trade and technical trade operator services. As of December 31, 2011, it operates two wholly owned subsidiaries, WSEInfoEngine SA, providing data transmission and information services; and Instytut Rynku Kapitalowego WSE Research SA, engaged in publishing; as well as 92.47%-owned BondSpot SA.