DERIVATIVES, OSLO BØRS AUGUST 2011
The OBX was down in August to 349.68 points (-8,84%). The index is down 13.44% in 2011.
The average number of contracts traded in August was 55 204 contracts/day (2011 average: 59 130).
The premium turnover for stock options increased by 208% to 149 MNOK, whereas the stock forward exposure decreased by 4% to 643 MNOK. As for the OBX products, the future turnover increased by 51% to 25 BNOK, and the index options increased by 332% to 77 MNOK.
The most traded stock option in August was Statoil with 60 MNOK or 40% of the stock option premium turnover. Yara and Norsk Hydro followed.
Statoil, Norsk Hydro and Yara international were the most traded stock forwards. Statoil was the most traded with 211 MNOK, 33% of the total.
Expirations in September: OBX, AKSO, DNBNOR, MHG, NSG, NHY, ORK, PGS, REC, RCL, SDRL, SFR, STB, STL, SUBC, TEL, TOM and YAR.
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.
TURNOVER - CONTRACTS/DAY (average)
LIQUIDITY - OPTION PREMIUM DISTRIBUTION
4
SINGLE STOCK FORWARD/FUTURE - EXPOSURE DISTRIBUTION
5
PREMIUM - SINGLE STOCK DERIVATIVES
6
PREMIUM - OBX DERIVATIVES
7
BROKER STATISTICS - JULY 2011
8
9
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 July 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. 29.07.11: 349.68 All time high (22.05.08 close): 462.70
10
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].
OSLO BØRS - LISTED DERIVATIVES OPEN INTEREST - OPTIONS AND OBX FUTURES ONLY
11
12
Marine Harvest Group Sector : Packaged Foods & Meats MARINE HARVEST is the world's leading Last (NOK): 2.97 (MHG) seafood company. They offer customers 30202030 and consumers a wide range of seafood ISIN: NO 000 305 4108 Avg.Imp.Vol last month: 52 % 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): 38 839 Home: www.marineharvest.com
Liquidity: Tradable in blocks of 10 000 OBX Weight: 2.50% O/I avg. 2011: 55 267 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): 30.38 aluminium and aluminium products. Based ISIN: NO 000 505 2605 Avg.Imp.Vol last month: 45 % 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): 77 387
Liquidity: Tradable in blocks of 3000 OBX Weight : 6.51% O/I avg. 2011: 63 237 contracts. Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 6
Norske Skog (NSG) Sector: Paper Products 15105020 Last (NOK): 4.96 NORSKE SKOG is one of the world's biggest producers of publication paper, ISIN: NO 000 413 5633 Avg.Imp.Vol last month: 94 % with 14 paper mills in 11 countries and a Expiry: Mar, Jun, Sep, Reuters: NSG.OL production capacity of around 4.5 mill. Dec tonnes per year. Home: www.norskeskog.com Bloomberg: NSG NO Open Int (avg): 10 986
Liquidity: Tradable in blocks of OBX Weight: N/A O/I avg. 2011: 17 690 Domicile: Norway 2000-3000 contracts. Derivatives: Options & Fwd/Fut Market Maker(s): 4
13
14
15
16
17
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, NHY, STL, TEL, YAR
Timber Hill Europe: OBX, DNBNOR, MHG, NHY, ORK, SDRL, STB, STL, TEL, TOM, YAR
18
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.
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.
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.
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.
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.
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.
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.