The BRICS Securities and Derivatives Markets - Hong Kong ...

The BRICS Securities and Derivatives Marketsalso had a substantial share (27%). Index futures (including volatility index futures) andoptions accounted for only 15% of the equity derivatives trading volume with the majority(9%) came from a single product — futures on the FTSE/JSE Top 40 Index, the benchmarkindex of the South African stock market. (See Figure 6-5.)Although the JSE does not operate an OTC market, it seeks to incorporate the flexibility ofOTC derivatives into listed derivatives by introducing “Can-Do” futures and options, whichallow investors to negotiate the contract terms in respect of the underlying asset and expirydate. The underlying asset may be a single stock, an index or a basket of shares. Similar tomany OTC derivatives, Can-Do futures and options are not suitable for general retailinvestors given the considerable minimum contract size of ZAR10 million. Theycontributed only 1% of the equity derivatives trading volume in 2011.Figure 6-5.Distribution of JSE derivatives trading volume and open interestby product type (2011)Derivatives market trading volume of JSE by product type (2011)(a) Trading volumeDerivatives market open interest of JSE by product type (2011)(b) Open interestCommodities F&O*2%Interest rate F&O1%Commodities F&O*1%Interest rate F&O4%Currencies F&O9%Equity options10%Equity futures79%Currencies F&O6%Equity options17%Equity futures72%Total no. of contracts: 167,503,211 Total no. of contracts: 167,503,211Total no. of contracts: 13,321,940Total no. of contracts: 13,321,940* Agricultural products, crude oil and metalsNote: Numbers do not add up to 100% due to roundingSource: JSE monthly statistics(c) Trading volume of equity derivatives* Agricultural by underlying products, crude asset oil and metalsEquity derivatives trading volume of JSE by underlying asset (2011)Source: JSE monthly statisticsCan-do F&O1%Other index F&O6%Single-stock futures^49%FTSE/JSE Top 40 Indexfutures9%Single-stock dividendfutures^27%Single-stock options8%Total no. of contracts: 148,821,912 Total no. of contracts: 148,821,912* Agricultural products, crude oil and metals^ Including ^ International Including International Derivatives (IDX), which which are futures are on futures internationally internationally listed shares listed sharesSource: JSE monthly statisticsNote: Numbers may not add up to 100% due to rounding.Source: JSE monthly statistics- 28 - Research & Corporate Development, HKEx31 December 2012