DERIVATIVES, OSLO BØRS FEBRUARY 2011
The OBX index increased in February by 3.8% to 408.31 points. The index is up 2.0% in 2011.
The average number of contracts traded in February was 54 022 contracts/day (2011 average: 57 032).
The premium turnover for stock options increased by 1% to 171 MNOK, whereas the stock forward exposure increased by 10% to 1 750 MNOK. As for the OBX products, the future turnover decreased by 5% to 20 BNOK, and the index options decreased by 3% to 26 MNOK.
The most traded stock option in February was Statoil with 62 MNOK or 36% of the stock option premium turnover. Yara and Norsk Hydro followed.
Statoil, Yara and Norsk Hydro were the most traded stock forwards. Statoil was the most traded with 525 MNOK, 30% of the total.
Expirations in February: OBX, Statoil, Storebrand, DnB NOR, Norsk Hydro and Yara International.
Expirations next month (17 March): OBX and all listed stock derivatives.
As of Monday 14 February, Oslo Børs included DnB NOR, Norsk Hydro, Orkla, Renewable Energy Corp, Telenor, Yara and Statoil in an expiration cycle with expiration every month.
In conjunction with the inclusion of more underlying instruments in the group with expiration every month, Oslo Børs has reorganized the group structure. Contracts will now be listed in two different expiration groups. Group one, with expiration every month, will have contracts with a term of 3 months expiring in January, February, April, May, July, August, October and November and a term of 12 months expiring in March, June, September and December. Group two, with expiration every third month, will have contracts with a term of 6 months expiring in March, June, September and December.
As of Friday 4 February Oslo Børs listed options and forwards/futures on Aker Solutions ASA (AKSO). The contracts are listed in expiration group 2 (March, June, September, December).
As of Thursday 24 February Oslo Børs changed the strike intervals for stock options, reducing the intervals in the range NOK 160 – NOK 360.
It is dividend season, please keep in mind that the holder of a Norwegian call option must exercise the option 2 trading days prior to the ex-dividend date for right to dividend.
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.
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.
Contract Distribution
80 000
75 000
70 000
65 000
60 000
55 000
50 000
45 000
40 000 Index Futures 35 000 Single Stock 30 000 Fwd/Fut Contracts/day OBX Index Options 25 000 Stock Options 20 000
15 000
10 000
5 000
0 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Jan 11 Feb 11
TURNOVER - CONTRACTS/DAY (average)
Contracts/day last month
OBX - FUTURES 24 295
STOCK FWD/FUT 10 042
STOCK OPTIONS 17 252
OBX - OPTIONS 2 434
Contracts/day YTD 2011
OBX - FUTURES 24 461
STOCK FWD/FUT 11 545
STOCK OPTIONS OBX - OPTIONS 18 460 2 566
LIQUIDITY - OPTION PREMIUM DISTRIBUTION
Statoil Option Premium last month Yara International
13.2 % OBX - options 10.5 % Norsk Hydro
Seadrill 3.5 % 25.2 % DnB NOR
2.8 % Telenor 2.3 % Royal Caribbean C. 2.2 % Norske Skog 1.8 % 1.5 % Renewable Energy Corp. 1.5 % Petroleum Geo-Services
1.3 % Statoil Fuel & Retail
1.3 % Orkla
0.5 % Storebrand 0.3 % Gjensidige Forsikring 0.3 % 0.2 % Aker Solutions 0.1 % Subsea 7
0.0 % Marine Harvest Group 31.6 % Tomra
Option Premium YTD 2011 Statoil Yara International 13.4 % 7.5 % OBX - options
3.8 % Norsk Hydro Orkla 22.0 % 3.4 % Telenor 2.5 % Renewable Energy Corp.
2.5 % Royal Caribbean C. 2.5 % Norske Skog 2.0 % Seadrill
1.9 % Petroleum Geo-Services 1.8 % DnB NOR Statoil Fuel & Retail 0.7 % Storebrand 0.5 % Subsea 7 0.3 % 0.3 % Gjensidige Forsikring 0.1 % Aker Solutions 0.1 % Marine Harvest Group 34.6 % 0.0 % Tomra
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SINGLE STOCK FORWARD/FUTURE - EXPOSURE DISTRIBUTION
Stock Fwd/Fut Premium last month Statoil
9.2 % Yara International 8.1 % Norsk Hydro
Petroleum Geo-Services 12.8 % 5.7 % Royal Caribbean C.
Renewable Energy Corp. 4.3 % Orkla
4.1 % Seadrill DnB NOR 2.7 % Subsea 7 2.3 % Telenor
2.2 % Gjensidige Forsikring
1.2 % Aker Solutions
0.4 % Norske Skog 16.8 % 0.1 % Marine Harvest Group 0.1 % Statoil Fuel & Retail 0.0 % Storebrand 0.0 % 0.0 % TGS Nopec Geo. 30.0 % 0.0 % Tomra
Stock Fwd/Fut Premium YTD 2011 Statoil Norsk Hydro 8.2 % 7.6 % Yara International 10.1 % Renewable Energy Corp.
6.1 % Telenor 12.2 % Petroleum Geo-Services 5.1 % Royal Caribbean C.
Orkla 3.4 % DnB NOR 3.3 % Seadrill
1.9 % Subsea 7 Gjensidige Forsikring 0.8 % Norske Skog 0.2 % Aker Solutions 0.2 % Storebrand 13.4 % 0.2 % 0.1 % Marine Harvest Group 0.0 % Statoil Fuel & Retail
0.0 % TGS Nopec Geo. 0.0 % 27.1 % Tomra
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PREMIUM - SINGLE STOCK DERIVATIVES
Single Stock Options
180 700 000
160 169 600 000 171 140 147 142 500 000 120 131 127
100 400 000 Contracts -
93 80 89 300 000 83 83 60 73 67 200 000
Turnover Premium MNOK 40
100 000 Open Interest (avg) 20
0 0 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Jan 11 Feb 11
Turnover premium/month - Stock Options Open Interest (avg) - Stock Options
Single Stock Forwards & Futures
2 000 450 000
1 800 400 000
1 600 1 750
1 585 350 000
1 400 300 000
1 200
1 222 1 237
250 000 Contracts -
1 000 968 200 000
800 1 048 860
682 150 000 686
600 639
619 642
Turnover Premium MNOK 100 000
400 Open Open Interest (avg) 200 50 000
0 0 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Jan 11 Feb 11
Turnover premium/ month - Single Stock Fwds Open Interest (avg) - Single Stock Fwds
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PREMIUM - OBX DERIVATIVES
OBX - Index Options
80 70 000
70 60 000 70 68 60 50 000 56 50
50 40 000
Contracts - 40
30 000 38 30 29 30 27 20 000 20 26 Turnover Premium MNOK 21
19 Open Interest(avg) 10 000 10 14
0 0 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Jan 11 Feb 11 Turnover premium/ month - OBX-indexoptions Open Interest (avg) - OBX-indexoptions
OBX - Index Futures
30 000 300 000
25 000 250 000
24 954
23 291
26 662
24 167
23 800
23 076 20 672
20 000 20 813 200 000
19 686
20 631
19 807
Contracts 19 228 15 000 150 000 -
10 000 100 000 Turnover exposureMNOK
5 000 50 000 Open Interest(avg)
0 0 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Jan 11 Feb 11
Turnover exposure/month - OBX-indexfutures Open Interest (avg) - OBX-indexfutures
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BROKER STATISTICS - FEBRUARY 2011
Options
14.7 % 4.0 % Non-Norwegian 3.7 % DnB NOR 3.5 % 23.6 % SEB Enskilda 3.1 % Nordea 1.7 % 1.5 % Handelsbanken 1.4 % Net Fonds 0.4 % 0.1 % Pareto 0.1 % Argo 0.1 % Nordnet
Carnegie
First
Fondsfinans
Danske Bank 42.1 % ABG Sundal Collier
Stock Forwards & Futures
DnB NOR 1.8 % Terra Markets 0.9 % 0.9 % Argo 95.5 % 0.4 % 0.4 % Handelsbanken 0.1 % First
Nordnet
Nordea
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OBX Futures
10.5 % 12.4 % Handelsbanken 6.0 % DnB NOR
5.6 % Non-Norwegian 24.5 % Nordea 3.0 % Erik Penser 1.0 % 0.3 % Argo 0.2 % SEB Enskilda 0.1 % ABG Sundal Collier
Nordnet
First
Fondsfinans 36.2 %
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OBX INDEX - CONSTITUENTS AND OTHER INFORMATION
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.
28.02.11: 408.31 All time high (22.05.08 close): 462.70
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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].
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OSLO BØRS - LISTED DERIVATIVES OPEN INTEREST - OPTIONS AND OBX FUTURES ONLY
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Marine Harvest Group Sector : Packaged Foods & Meats MARINE HARVEST is the world's leading Last (NOK): 6.32 (MHG) seafood company. They offer customers 30202030 and consumers a wide range of seafood ISIN: NO 000 305 4108 Avg.Imp.Vol last month: 26 % products and produce one fourth of the world's farmed salmon. The company is Reuters : MHG.OL Expiry: Mar, Jun, Sep, Dec present in 18 countries and has 7500 employees worldwide. Bloomberg : MHG NO Open Int (avg): 26 810 Home: www.marineharvest.com
Liquidity: Tradable in blocks of 10 000 OBX Weight: 2.31% O/I avg. 2011: 25 788 Domicile: Norway contracts. Derivatives : Options & Fwd/Fut Market Maker(s): 3
Norsk Hydro (NHY) NORSK HYDRO is a global supplier of Sector : Aluminium 15104010 Last (NOK): 45.50 aluminium and aluminium products. Based ISIN: NO 000 505 2605 Avg.Imp.Vol last month: 32 % in Norway, the company employs 25,000 Reuters : NHY.OL Expiry: Each Month people in more than 30 countries. Home: www.norskhydro.com Bloomberg : NHY NO and NOHYF US Open Int (avg): 64 772
Liquidity: Tradable in blocks of 3000 OBX Weight : 6.34% O/I avg. 2011: 65 941 contracts. Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 6
Sector: Paper Products Norske Skog (NSG) Last (NOK): 20.60 15105020 NORSKE SKOG is one of the world's Avg.Imp.Vol last biggest producers of publication paper, ISIN: NO 000 413 5633 65 % with 14 paper mills in 11 countries and a month: production capacity of around 4.5 mill. Expiry: Mar, Jun, Sep, Reuters: NSG.OL tonnes per year. Dec Home: www.norskeskog.com Bloomberg: NSG NO Open Int (avg): 21 153
Liquidity: Tradable in blocks of OBX Weight: N/A O/I avg. 2011: 16 287 Domicile: Norway 2000-3000 contracts. Derivatives: Options & Fwd/Fut Market Maker(s): 4
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14
15
16
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Gjensidige Forsikring Sector : Multi-line Insurance Last (NOK): 66.10 (GJF) GJENSIDIGE FORSIKRING is Norway's 40301030 largest general insurance company. The group also offers banking, pension, saving ISIN: NO 0010582521 Avg.Imp.Vol last month: 22 % products and health care services in Reuters : GJF.OL Expiry: Mar, Jun, Sep, Dec Norway. Home: www.gjensidige.com Bloomberg : GJF NO Open Int (avg): 6 276
OBX Weight : 1.93% O/I avg. 2011: 5 580 Liquidity: Tradable for volumes around 1000 contracts. Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 3
Sector : Oil & Gas Equipment & Aker Solutions (AKSO) Last (NOK): 122.20 AKER SOLUTIONS is Norway's largest Services 10101020 general insurance company. The group also ISIN: NO 0010215684 Avg.Imp.Vol last month: 34 % offers banking, pension, saving products Reuters : AKSO.OL Expiry: Mar, Jun, Sep, Dec and health care services in Norway. Home: www.gjensidige.com Bloomberg : AKSO NO Open Int (avg): 690
OBX Weight : 2.89% O/I avg. 2011: 767 Liquidity: Tradable for volumes around 1000 contracts. Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 2
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MARKET MAKERS
Argo Securities: OBX, DNBNOR, MHG, NHY, ORK, RCL, SDRL, STL, TEL, SFR, GJF
DnB NOR Markets: OBX, SUBC, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TAA, TEL, TOM, YAR, RCL, TGS, SFR, GJF, AKSO
Handelsbanken Capital Markets: OBX, SUBC, DNBNOR, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TEL, TOM, YAR, RCL, TGS, SFR, GJF, AKSO
Nordea Markets: OBX, SUBC, 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
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OPTIONS - ATM IMPLIED VOLATILITIES
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.
OBX ATM Implied Vol 90 % 80 % 70 % 60 % 50 % 40 % 30 % 20 % 10 %
SUBC ATM Implied Vol
120 %
100 %
80 %
60 %
40 %
20 %
DNBNOR ATM Implied Vol
120 %
100 %
80 %
60 %
40 %
20 %
Disclaimer: All information in this presentation is obtained from documents already available to 20 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.
MHG ATM Implied Vol
140 % 120 % 100 % 80 % 60 % 40 % 20 %
NHY ATM Implied Vol 100 % 90 % 80 % 70 % 60 % 50 % 40 % 30 % 20 %
NSG ATM Implied Vol 130 % 120 % 110 % 100 % 90 % 80 % 70 % 60 % 50 % 40 %
Disclaimer: All information in this presentation is obtained from documents already available to 21 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.
ORK ATM Implied Vol 80 %
70 %
60 %
50 %
40 %
30 %
20 %
PGS ATM Implied Vol 80 %
70 %
60 %
50 %
40 %
30 %
20 %
RCL ATM Implied Vol 80 %
70 %
60 %
50 %
40 %
30 %
20 %
Disclaimer: All information in this presentation is obtained from documents already available to 22 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.
REC ATM Implied Vol 130 % 120 % 110 % 100 % 90 % 80 % 70 % 60 % 50 % 40 %
SDRL ATM Implied Vol 120 % 110 % 100 % 90 % 80 % 70 % 60 % 50 % 40 % 30 % 20 %
STB ATM Implied Vol 140 %
120 %
100 %
80 %
60 %
40 %
20 %
Disclaimer: All information in this presentation is obtained from documents already available to 23 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.
STL ATM Implied Vol 90 % 80 % 70 % 60 % 50 % 40 % 30 % 20 %
TEL ATM Implied Vol 90 % 80 % 70 % 60 % 50 % 40 % 30 % 20 %
TOM ATM Implied Vol 90 % 80 % 70 % 60 % 50 % 40 % 30 % 20 %
Disclaimer: All information in this presentation is obtained from documents already available to 24 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.
YAR ATM Implied Vol 100 % 90 % 80 % 70 % 60 % 50 % 40 % 30 %
Disclaimer: All information in this presentation is obtained from documents already available to 25 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.