derivatives, oslo bØrs september 2010 · this report will not be updated if any changes occur due...
TRANSCRIPT
Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.
The OBX index increased in September by 8.6% to 349.95 points. The index is up 3% so
far this year.
The average number of contracts traded in September was 47 918 contracts/day (2010
average: 55 334).
The premium turnover for stock options fell by 19% to 67 MNOK, whereas the stock
forward exposure fell by 6% to 639 MNOK. As for the OBX products, the future turnover
decreased by 8% to 23 BNOK, and the index options increased 13% to 38 MNOK.
The most traded stock option in September was Statoil with 16 MNOK or 23% of the
stock option premium turnover. Yara and Seadrill followed.
Statoil, Norsk Hydro and Seadrill were the most traded stock forwards. Statoil was the
most traded with 325 MNOK, 51% of the total.
Expirations in September: OBX, Statoil, Norske Skog, Tomra, Marine Harvest and
Seadrill.
Expirations next month (21 October): OBX, Statoil, Acergy, Orkla, Telenor, Renewable
Energy Corp., Royal Caribbean Cruises, TGS Nopec Geophysical, Petroleum Geo Services.
For more detailed information, please read ahead
This summary continues with a presentation of general statistics, followed by a product-
and volatility overview towards the end. We hope to see you back in the derivatives
market next month.
DERIVATIVES, OSLO BØRS SEPTEMBER 2010
0
5 000
10 000
15 000
20 000
25 000
30 000
35 000
40 000
45 000
50 000
55 000
60 000
65 000
70 000
75 000
80 000
Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10
Co
ntr
acts
/ d
ay
Contract Distribution
Index Futures
Single Stock
Fwd/FutOBX Index Options
Stock Options
TURNOVER - CONTRACTS/DAY (average)
STOCK OPTIONS
10 821
OBX - OPTIONS
3 043
STOCK FWD/FUT
3 599
OBX - FUTURES
30 456
Contracts/day last month
STOCK OPTIONS
12 671
OBX - OPTIONS
3 032
STOCK FWD/FUT
5 592
OBX - FUTURES
34 039
Contracts/day YTD 2010
4
LIQUIDITY - OPTION PREMIUM DISTRIBUTION
35.9 %
14.8 %
13.9 %
13.7 %
4.6 %
4.4 %
2.2 %
1.8 %
1.8 %
1.4 %
1.4 %
1.3 %
0.9 %
0.9 %
0.8 %
0.1 %
Option Premium last monthOBX - options
Statoil
Yara International
Seadrill
Norsk Hydro
Renewable Energy Corp.
Orkla
DnB NOR
Norske Skog
Storebrand
Royal Caribbean C.
Telenor
Petroleum Geo-Services
Acergy
Marine Harvest Group
Tomra
29.9 %
18.6 %
16.4 %
5.8 %
5.8 %
5.4 %
4.2 %
2.8 %
2.8 %
2.6 %
2.0 %
1.4 %
0.9 %
0.6 %
0.5 %0.1 %
Option Premium YTD 2010
OBX - options
Yara International
Statoil
Seadrill
Norsk Hydro
Renewable Energy Corp.
Telenor
Petroleum Geo-Services
Orkla
DnB NOR
Acergy
Royal Caribbean Cruises
Marine Harvest Group
Norske Skog
Storebrand
Tomra
5
SINGLE STOCK FORWARD/FUTURE - EXPOSURE DISTRIBUTION
50.9 %
11.7 %
10.1 %
7.9 %
5.7 %
5.6 %
1.7 %1.7 %
1.2 %1.1 %
0.9 %
0.8 %
0.6 %
0.1 %
0.1 %
0.0 %
Stock Fwd/Fut Premium last month
Statoil
Norsk Hydro
Seadrill
Telenor
Yara International
Royal Caribbean C.
Orkla
Petroleum Geo-Services
DnB NOR
Renewable Energy Corp.
Storebrand
Marine Harvest Group
Acergy
TGS Nopec Geo.
Norske Skog
Tomra
35.1 %
14.5 %
9.9 %
8.6 %
8.6 %
6.7 %
4.6 %
3.8 %
2.0 %
1.9 %
1.1 %
1.1 %
0.8 %
0.7 %
0.5 %
0.1 %
0.0 %
Stock Fwd/Fut Premium YTD 2010
Statoil
Norsk Hydro
Telenor
Seadrill
Yara International
Royal Caribbean Cruises
Renewable Energy Corp.
Orkla
DnB NOR
Petroleum Geo-Services
TGS Nopec Geo.
Marine Harvest Group
Storebrand
Acergy
Tandberg
Norske Skog
Tomra
6
PREMIUM - SINGLE STOCK DERIVATIVES
119
9297
148
91
83
131
142
89
73
83
67
0
100 000
200 000
300 000
400 000
500 000
600 000
0
20
40
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80
100
120
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160
Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10
Op
en
In
tere
st
(a
vg
) -
Co
ntr
acts
Tu
rn
ove
r P
re
miu
m M
NO
K
Single Stock Options
Turnover premium/month - Stock Options
Open Interest (avg) - Stock Options
1 0
03
806
982
1 1
30
785
686
1 2
22
860
619
642
682
639
0
50 000
100 000
150 000
200 000
250 000
300 000
0
200
400
600
800
1 000
1 200
1 400
Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10
Op
en
In
tere
st
(a
vg
) -
Co
ntr
acts
Tu
rn
ove
r P
re
miu
m M
NO
K
Single Stock Forwards & Futures
Turnover premium/ month - Single Stock Fwds
Open Interest (avg) - Single Stock Fwds
7
PREMIUM - OBX DERIVATIVES
57
3820
32
59
19 21
6870
56
50
38
0
10 000
20 000
30 000
40 000
50 000
60 000
70 000
0
10
20
30
40
50
60
70
80
Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10
Op
en
In
tere
st
(a
vg
)-
Co
ntr
acts
Tu
rn
ove
r P
re
miu
m M
NO
K
OBX - Index Options
Turnover premium/ month - OBX-indexoptions
Open Interest (avg) - OBX-indexoptions
21 7
96
21 2
35
19 2
10
24 1
73
22 8
71
23 2
91
23 8
00
26 6
62
24 1
67 20 6
72
24 9
54
23 0
76
180 000
190 000
200 000
210 000
220 000
230 000
240 000
250 000
0
5 000
10 000
15 000
20 000
25 000
30 000
Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10
Op
en
In
tere
st
(a
vg
)-
Co
ntr
acts
Tu
rn
ove
r e
xp
osu
re
MN
OK
OBX - Index Futures
Turnover exposure/month - OBX-indexfutures
Open Interest (avg) - OBX-indexfutures
8
BROKER STATISTICS - SEPTEMBER 2010
41.2 %
26.8 %
6.5 %6.4 %
3.8 %
3.7 %
3.3 %
3.0 %
2.5 %
1.3 %
0.7 %
0.6 %
0.3 %
Options
DnB NOR
Non-Norwegian
Handelsbanken
SEB Enskilda
Pareto
Nordea
Nordnet
Argo
Carnegie
Net Fonds
Fondsfinans
First
Danske Bank
98.3 %0.8 %
0.6 %
0.2 %
0.1 %
Stock Forwards & Futures
DnB NOR
Terra Markets
Handelsbanken
Nordea
First
9
45.0 %
35.6 % 6.8 %
4.8 %
2.9 %
2.2 %
2.0 %
0.2 %
0.2 %
0.1 %
0.1 %
OBX Futures
DnB NOR
Handelsbanken
Non-Norwegian
Erik Penser
Argo
SEB Enskilda
Nordea
Fondsfinans
ABG Sundal Collier
Terra Markets
Nordnet
10
The OBX Index consists of the 25 most traded securities in the OSEBX Index. The constituents are selected on the basis of six months
turnover rating. It is a semi-annually revised free float adjusted total return index (dividend adjusted) with composition changes and
cappings implemented on the third Friday in June and December. In the period between the composition review dates, the number of
shares for each constituent is fixed with exception of cappings and continuous adjustments for corporate actions. The OBX Index is a
tradable index with exchange traded futures and options available.
OBX INDEX - CONSTITUENTS AND OTHER INFORMATION
30.09.10: 349.95 All time high (22.05.08 close): 462.70
11
The current OBX Index composition can be found below. The Derivatives department at Oslo Børs distributes a daily report with information on the OBX Index and its components. If you would like to receive this daily update, please contact [email protected].
12
OSLO BØRS - LISTED DERIVATIVES OPEN INTEREST - OPTIONS AND OBX FUTURES ONLY
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Norske Skog (NSG)
NORSKE SKOG is one of the world's
biggest producers of publication paper, with 14 paper mills in 11 countries and a production capacity of around 4.5 mill. tonnes per year. Home: www.norskeskog.com
Sector: Paper Products 15105020 Last (NOK): 12.10
ISIN: NO 000 413 5633 Avg.Imp.Vol last
month: 62 %
Reuters: NSG.OL Expiry: Mar, Jun, Sep,
Dec
Bloomberg: NSG NO Open Int (avg): 12 473
Liquidity: Tradable in blocks of
1000-2000 contracts.
OBX Weight: N/A O/I avg. 2010: 16 821
Domicile: Norway Derivatives: Options & Fwd/Fut Market Maker(s): 4
Marine Harvest Group
(MHG)Sector : Packaged Foods & Meats
30202030 Last (NOK): 5.32
ISIN: NO 000 305 4108 Avg.Imp.Vol last month: 36 %
Reuters : MHG.OL Expiry: Mar, Jun, Sep, Dec
Bloomberg : MHG NO Open Int (avg): 63 362
OBX Weight: 2.06% O/I avg. 2010: 63 687
Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 3
Norsk Hydro (NHY) Sector : Aluminium 15104010 Last (NOK): 36.78ISIN: NO 000 505 2605 Avg.Imp.Vol last month: 38 %
Reuters : NHY.OL Expiry: Feb, May, Aug, Nov
Bloomberg : NHY NO and NOHYF US Open Int (avg): 58 857
OBX Weight : 4.11% O/I avg. 2010: 58 685
Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 6
NORSK HYDRO is a global supplier of
aluminium and aluminium products. Based
in Norway, the company employs 25,000
people in more than 30 countries.
Home: www.norskhydro.com
Liquidity: Tradable in blocks of 3000
contracts.
MARINE HARVEST is the world's leading
seafood company. They offer customers
and consumers a wide range of seafood
products and produce one fourth of the
world's farmed salmon. The company is
present in 18 countries and has 7500
employees worldwide.
Home: www.marineharvest.com
Liquidity: Tradable in blocks of 10 000
contracts.
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15
16
17
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Argo Securities: OBX, DNBNOR, NHY, ORK, RCL, SDRL, STL, TEL
DnB NOR Markets: OBX, ACY, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TAA, TEL, TOM, YAR, RCL, TGS
Handelsbanken Capital Markets: OBX, ACY, DNBNOR, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TEL, TOM, YAR, RCL, TGS
Nordea Markets: OBX, ACY, NHY, NSG, ORK, PGS, REC, STL, TEL, TOM
SEB Enskilda: OBX, DNBNOR, NHY, STL, TEL
Timber Hill Europe: OBX, DNBNOR, MHG, NHY, NSG, ORK, SDRL, STB, STL, TEL, TOM, YAR
MARKET MAKERS
Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.
19
Daily Volatilities = average of Last Bid+Offer vol. for ATM CALLS and PUTS for the nearest two months. Lack of data may occur, thus volatilities should be seen as indicative.
OPTIONS - ATM IMPLIED VOLATILITIES
10 %
20 %
30 %
40 %
50 %
60 %
70 %
80 %
90 %
OBX ATM Implied Vol
20 %
40 %
60 %
80 %
100 %
120 %
ACY ATM Implied Vol
20 %
40 %
60 %
80 %
100 %
120 %
DNBNOR ATM Implied Vol
Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.
20
20 %
40 %
60 %
80 %
100 %
120 %
140 %
MHG ATM Implied Vol
20 %
30 %
40 %
50 %
60 %
70 %
80 %
90 %
100 %
NHY ATM Implied Vol
40 %
50 %
60 %
70 %
80 %
90 %
100 %
110 %
120 %
130 %
NSG ATM Implied Vol
Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.
21
20 %
30 %
40 %
50 %
60 %
70 %
80 %
ORK ATM Implied Vol
20 %
30 %
40 %
50 %
60 %
70 %
80 %
PGS ATM Implied Vol
20 %
30 %
40 %
50 %
60 %
70 %
80 %
RCL ATM Implied Vol
Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.
22
50 %
60 %
70 %
80 %
90 %
100 %
110 %
120 %
130 %
REC ATM Implied Vol
30 %
40 %
50 %
60 %
70 %
80 %
90 %
100 %
110 %
120 %
SDRL ATM Implied Vol
30 %
40 %
50 %
60 %
70 %
80 %
90 %
100 %
110 %
120 %
130 %
STB ATM Implied Vol
Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.
23
20 %
30 %
40 %
50 %
60 %
70 %
80 %
90 %
STL ATM Implied Vol
20 %
30 %
40 %
50 %
60 %
70 %
80 %
90 %
TEL ATM Implied Vol
20 %
30 %
40 %
50 %
60 %
70 %
80 %
90 %
TOM ATM Implied Vol
Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.
24
30 %
40 %
50 %
60 %
70 %
80 %
90 %
100 %
YAR ATM Implied Vol