ASX Group Monthly Activity Report January 2014
Volatility measures for the Australian equity market fell below long-term averages during January:
* Volatility (as measured by the average daily movement in the All Ordinaries Index) was 0.5% in January, down on the previous month (0.6%).
* Expected future volatility (as measured by the S&P/ASX 200 VIX) fell in January to an average of 12.9 (compared to 13.8 in December) but closed higher at 15.6 at the end of January.
Trading – Cash markets (including equities, interest rates and warrants trades)
* In January 2014, the average daily number of trades was 3% higher than the pcp. The average daily value traded on-market of $2.8 billion was 2% lower than the pcp.
Trading – Financial derivatives markets
* In January 2014, the average daily number of derivatives traded on ASX decreased 21% on the pcp with both single stock and index options lower.
* In January 2014, average daily futures and options on futures volume on ASX 24 increased 25% on the pcp, with both futures and options volumes higher.
* Participant margin balances held on balance sheet averaged $3.8 billion in January 2014 ($3.4 billion pcp), with a month-end balance of $3.6 billion in January 2014 compared to $3.5 billion in January 2013.
ASX SETTLEMENT CORPORATION
* The value of securities held in CHESS was 7% higher than the pcp and the number of dominant settlement messages was 9% lower than the pcp.
* The value of securities held in Austraclear was 6% higher than the pcp.