DERIVATIVES, OSLO BØRS SEPTEMBER 2010
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.
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 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10
TURNOVER - CONTRACTS/DAY (average)
Contracts/day last month
OBX - FUTURES 30 456
STOCK OPTIONS 10 821 STOCK FWD/FUT 3 599
OBX - OPTIONS 3 043
Contracts/day YTD 2010
OBX - FUTURES 34 039
STOCK OPTIONS 12 671
STOCK FWD/FUT 5 592
OBX - OPTIONS 3 032
LIQUIDITY - OPTION PREMIUM DISTRIBUTION
Option Premium last month OBX - options Statoil 13.7 % Yara International 13.9 % Seadrill 4.6 % 4.4 % Norsk Hydro 2.2 % Renewable Energy Corp. 1.8 % Orkla 1.8 % DnB NOR 1.4 % 14.8 % 1.4 % Norske Skog 1.3 % Storebrand 0.9 % 0.9 % Royal Caribbean C. 0.8 % Telenor 0.1 % Petroleum Geo-Services
Acergy
Marine Harvest Group 35.9 % Tomra
Option Premium YTD 2010 5.8 % OBX - options Yara International 16.4 % 5.8 % 5.4 % Statoil
Seadrill
4.2 % Norsk Hydro
2.8 % Renewable Energy Corp. 2.8 % Telenor
Petroleum Geo-Services 2.6 % 2.0 % Orkla
1.4 % DnB NOR
0.9 % Acergy 0.6 % 18.6 % 0.5 % Royal Caribbean Cruises 0.1 % Marine Harvest Group
Norske Skog
Storebrand 29.9 % Tomra
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SINGLE STOCK FORWARD/FUTURE - EXPOSURE DISTRIBUTION
Stock Fwd/Fut Premium last month
10.1 %
7.9 % Statoil 11.7 % Norsk Hydro Seadrill 5.7 % Telenor Yara International Royal Caribbean C. 5.6 % Orkla 1.7 % Petroleum Geo-Services 1.7 % DnB NOR 1.2 % 1.1 % Renewable Energy Corp. 0.9 % Storebrand 0.8 % Marine Harvest Group 0.6 % Acergy 0.1 % 0.1 % TGS Nopec Geo. 0.0 % Norske Skog 50.9 % Tomra
Stock Fwd/Fut Premium YTD 2010
8.6 % Statoil 8.6 % Norsk Hydro Telenor 9.9 % 6.7 % Seadrill
Yara International 4.6 % Royal Caribbean Cruises 3.8 % Renewable Energy Corp.
2.0 % Orkla
1.9 % DnB NOR
1.1 % Petroleum Geo-Services
1.1 % TGS Nopec Geo. 0.8 % Marine Harvest Group 14.5 % 0.7 % Storebrand
0.5 % Acergy 0.1 % Tandberg 0.0 % Norske Skog
Tomra 35.1 %
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PREMIUM - SINGLE STOCK DERIVATIVES
Single Stock Options
160 600 000
140 148 142 500 000
120 131
119 400 000 100
97 Contracts - 80 92 300 000 91 89 83 83 73 60 67 200 000
40 Turnover Premium MNOK
100 000 Open Open Interest (avg) 20
0 0 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10
Turnover premium/month - Stock Options Open Interest (avg) - Stock Options
Single Stock Forwards & Futures
1 400 300 000
1 200 1 222
250 000 1 130
1 000 1 003
200 000
860 982
800 Contracts
- 785
806 150 000 686
600 619
639 682
100 000 642
400 Turnover Premium MNOK
50 000
200 Open Interest (avg)
0 0 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10
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 59 50 57 56 40 000
50 Contracts - 40
38 30 000 30
20 000 20 Turnover Premium MNOK 38 20 19 21 32 10 000 Open Interest(avg) 10
0 0 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Turnover premium/ month - OBX-indexoptions Open Interest (avg) - OBX-indexoptions
OBX - Index Futures
30 000 250 000
240 000
25 000
26 662
24 167
24 954 23 076
24 173 230 000
22 871 23 291
20 000
20 672 21 235
23 800 220 000
21 796 Contracts
15 000 - 19 210 210 000
10 000
200 000 Turnover exposureMNOK
5 000 Open Interest(avg) 190 000
0 180 000 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10
Turnover exposure/month - OBX-indexfutures Open Interest (avg) - OBX-indexfutures
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BROKER STATISTICS - SEPTEMBER 2010
Options 6.4 % 6.5 % 3.8 %
3.7 % 3.3 %
DnB NOR 3.0 % Non-Norwegian Handelsbanken 26.8 % 2.5 % SEB Enskilda 1.3 % Pareto 0.7 % Nordea Nordnet 0.6 % Argo Carnegie Net Fonds 0.3 % Fondsfinans First Danske Bank
41.2 %
Stock Forwards & Futures
DnB NOR
98.3 % Terra Markets 0.8 % Handelsbanken 0.6 % Nordea 0.2 % First 0.1 %
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OBX Futures
35.6 % 6.8 %
4.8 % DnB NOR 2.9 % Handelsbanken Non-Norwegian 2.2 % Erik Penser Argo 2.0 % SEB Enskilda 0.2 % Nordea 0.2 % Fondsfinans 0.1 % ABG Sundal Collier Terra Markets 0.1 % Nordnet
45.0 %
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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.
30.09.10: 349.95 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): 5.32 (MHG) seafood company. They offer customers 30202030 and consumers a wide range of seafood ISIN: NO 000 305 4108 Avg.Imp.Vol last month: 36 % 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): 63 362 Home: www.marineharvest.com
Liquidity: Tradable in blocks of 10 000 OBX Weight: 2.06% O/I avg. 2010: 63 687 Domicile: Norway contracts. Derivatives : Options & Fwd/Fut Market Maker(s): 3
Norsk Hydro (NHY) Sector : Aluminium 15104010 Last (NOK): 36.78 NORSK HYDRO is a global supplier of aluminium and aluminium products. Based ISIN: NO 000 505 2605 Avg.Imp.Vol last month: 38 % in Norway, the company employs 25,000 Reuters : NHY.OL Expiry: Feb, May, Aug, Nov people in more than 30 countries. Home: www.norskhydro.com Bloomberg : NHY NO and NOHYF US Open Int (avg): 58 857
Liquidity: Tradable in blocks of 3000 OBX Weight : 4.11% O/I avg. 2010: 58 685 contracts. Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 6
Norske Skog (NSG) Sector: Paper Products 15105020 Last (NOK): 12.10 NORSKE SKOG is one of the world's Avg.Imp.Vol last ISIN: NO 000 413 5633 62 % biggest producers of publication paper, month: with 14 paper mills in 11 countries and Expiry: Mar, Jun, Sep, a production capacity of around 4.5 mill. Reuters: NSG.OL tonnes per year. Dec Home: www.norskeskog.com Bloomberg: NSG NO Open Int (avg): 12 473
Liquidity: Tradable in blocks of OBX Weight: N/A O/I avg. 2010: 16 821 Domicile: Norway 1000-2000 contracts. Derivatives: Options & Fwd/Fut Market Maker(s): 4
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MARKET MAKERS
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
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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 %
ACY 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 19 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 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.
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 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.
REC ATM Implied Vol 130 % 120 % 110 % 100 % 90 % 80 % 70 % 60 % 50 %
SDRL ATM Implied Vol 120 % 110 % 100 % 90 % 80 % 70 % 60 % 50 % 40 % 30 %
STB ATM Implied Vol 130 % 120 % 110 % 100 % 90 % 80 % 70 % 60 % 50 % 40 % 30 %
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.
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 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.
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 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.