ASX Group Monthly Activity Report August 2014
Volatility measures for the Australian equity market remained below long-term averages during August:
• Volatility (as measured by the average daily movement in the All Ordinaries Index) was 0.4% in August, up on the previous month (0.3%).
• Expected future volatility (as measured by the S&P/ASX 200 VIX) rose in August to an average of 12.2 (compared to 10.4 in July).
AUSTRALIAN SECURITIES EXCHANGE
Listings and capital raisings
• In August 2014, total capital raised was $3.2 billion, down 51% on the previous corresponding period (pcp).
Trading – Cash markets (including equities, interest rates and warrants trades)
• In August 2014, the average daily number of trades was 10% lower than the pcp. The average daily value traded on-market of $3.6 billion was 6% higher than the pcp.
Trading – Financial derivatives markets
• In August 2014, the average daily number of derivatives traded on ASX increased 1% on the pcp. Single stock options average daily contracts were down 2% on the pcp and index options average daily contracts were up 59% on the pcp.
• In August 2014, average daily futures and options on futures volume on ASX 24 decreased 5% on the pcp, with both futures and options volumes lower.
ASX CLEARING CORPORATION
• Participant margin balances held on balance sheet averaged $3.5 billion in August 2014 ($4.0 billion pcp), with a month-end balance of $3.8 billion in August 2014 compared to $4.0 billion in August 2013.
ASX SETTLEMENT CORPORATION
• The value of securities held in CHESS was 8% higher than the pcp and the number of dominant settlement messages was 4% lower than the pcp.
• The value of securities held in Austraclear was 12% higher than the pcp.