OREANDA-NEWS. January 11, 2008. The past year 2007 set more records of the derivatives instruments market.

The volume of trading in all derivative instruments was 9.9 million contracts, up by close to 50% year on year (the volume of trading was 6.7 million contracts in 2006).

The value of trading in all derivative instruments was PLN 675 billion, up by close to 80% year on year (the value of trading was PLN 381 billion in 2006).

1. WIG20 contracts were the most popular instruments: the volume of trading was over 9.3 million contracts in 2007, representing 94% of the total volume of trading on the derivative instruments market:

The average monthly volume of trading was around 0.8 million futures contracts; the highest monthly volume of trading in 2007 was 1,051,685 futures contracts (August 2007), for the first time exceeding the mark of 1 million instruments per month.

The average daily volume of trading grew to 37.5 thousand contracts in 2007 (compared to 24.9 thousand contracts in 2006).

The daily volume of trading in contracts hit the historical high in 2007:

On 19 December 2007, the volume of trading was 96,148 contracts, including 5,950 contracts in block trades (the volume of trading in all derivative instruments was 99,326 contracts on that day);

The highest volume of trading in session transactions (excluding block trades) was 90,198 contracts reported also on 19 December 2007.

Contracts hit a record-high number of open positions at the end of the month: 77,685 contracts at the end of January 2007.

There were 321 block trades in WIG20 contracts totalling 160,857 futures contracts.

The average monthly ratio of the value of trading in WIG20 contracts to the value of trading in shares of companies comprised by the WIG20 index was 266%; in other words, the value of trading in contracts was 2.5 times higher than the value of trading on the cash market.

Transactions in contracts were made by 6.7 thousand investors on average every month.

2. WIG20 options remained very popular in 2007. The volume of trading in WIG20 options was 399,113 options, up by 26% year on year (316,840 options in 2006):

The average daily volume of trading grew significantly to 1,603 options in 2007 (compared to 1,267 options in 2006).

Options hit a record-high monthly volume of trading at 48,765 options in August 2007, and a record-high number of open positions at the end of the month at 43,691 options at the end of August 2007.

The average monthly volume of trading was 33,259 options (compared to 26,000 options in 2006).

There were 13 block trades in WIG20 options totalling 4,200 options.

The average monthly ratio of the value of trading in WIG20 options to the value of trading in shares of companies comprised by the WIG20 index was 12%.

Over 900 investors on average were actively trading in options every month.

3. Trading in stock futures contracts grew significantly following the unification of the multiplier (the number of shares per contract) at 100 as of 24 September 2007:

The total volume of trading in stock futures contracts was 114,021 contracts in 2007.

The average monthly volume of trading in stock futures contracts was 20.8 thousand contracts in October-December 2007 (the first full months of the applicability of the new multipliers); by comparison, the average monthly volume of trading in stock futures contracts was 5.5 thousand contracts in January-August; thus, the volume of trading almost quadrupled.

The number of active investors grew. The average number of investors was around 700 per month in January-August, compared to over 1,000 investors in November.

4. Trading in mWIG40 index futures contracts also grew significantly. The total volume of trading was 16.6 thousand contracts in 2007, compared to 2.5 thousand and 1.7 thousand contracts in 2005 and 2006 respectively.

5. Trading in currency futures contracts grew after the brokerage house DM X-Trade Brokers SA became a market maker for the contracts as of 26 November 2007. The volume of trading was 1,250 and 1,983 contracts in November and December respectively; by comparison, the average volume of trading was 287 contracts per month in January-October. The volume of trading in November and December represented 53% of the total volume of trading in 2007.

6. The highlights of the year on the derivative instruments market include:

19 March 2007: increase of the number of WIG20 option series introduced to trading with a new expiry date. According to the new trading rules, 9 option series (compared to 4 option series previously) are introduced to trading for each option type (call and sell option).

24 September 2007: unification of the multiplier (number of shares per stock futures contract). Currently all stock futures contracts are based on the same multiplier of 100. As a result of the change, the volume of trading in contracts almost quadrupled.

1 October 2007: change of the cycle of expiration of currency futures contracts. Currently contracts expire in the four nearest months of the March quarterly cycle (the series remain in trading for 12 months). The last trading day was changed to the third Friday of the expiry month (previously trading ended on the day preceding the fourth Friday of the expiry month).

15 October 2007: increase of the number of expiry dates of WIG20 contracts and options. Currently both types of instruments expire in the four nearest months of the March quarterly cycle (the series remain in trading for 12 months).

22-23 November 2007: the first Central & Eastern Europe Derivatives Forum was held. The goal of the Forum is to serve as a platform of the exchange of information and experience concerning the derivatives instrument market in Central Europe. The Forum gathered a large group of participants.

26 November 2007: The brokerage house DM X-Trade Brokers SA became a market maker for currency futures contracts. As a result, the volume of trading in currency futures contracts grew 94% year on year (trading in November and December represented 53% of total trading in 2007).

Securities lending and short sale:

The Financial Market Development Council at the Ministry of Finance (involving WSE representatives) drafted a list of legislative amendments (including the Securities Law, the Investment Fund Law, and the Civil Law Transactions Tax Law) which may help to stimulate short sale and securities lending in the Polish market. The draft amendments were tabled to Parliament and are pending adoption.

The law firm Weil, Gotshal & Manges was commissioned by the WSE to draft a model securities lending agreement. The consultations involved the key institutions of the Polish capital market. The draft agreement is available at the WSE website www.gpw.pl.

The development of securities lending and short sale will be crucial to the growth of the derivatives instruments market.
Training:

The WSE in co-operation with the Foundation for Capital Market Education offered free-of-charge training for investors on:

- options (including advanced training offered by BRE Bank market maker);
- futures contracts (including separate training on currency futures contracts offered jointly with BM XTB SA).
The WSE in co-operation with the Stock Exchange Paper Parkiet and Raiffeisen Centrobank AG (RCB), Vienna, offered training on structured products.