ASX Group Monthly Activity Report May 2013
Volatility measures for the Australian equity market were in line with long-term averages during May:
* Current volatility (as measured by the average daily movement in the All Ordinaries Index) was 0.5% in May, less than the previous month (0.7%).
* Expected future volatility (as measured by the S&P/ASX 200 VIX) rose in May to an average of 14.7 (compared to 14.0 in April).
Trading – Cash markets (including equities, interest rates and warrants trades)
* In May 2013 the average daily number of trades was 30% higher than the pcp. The average daily value traded was 3% higher than the pcp.
Cash market volume Total trades 19,845,455
Average daily trades 862,846
Cash market value
Open trading ($billion) 71.817
Auctions trading ($billion) 13.822
Centre Point ($billion) 4.289
Trade reporting* ($billion) 20.338
Total value ($billion) 110.266
Average daily value ($billion) 4.794
Average value per trade ($) 5,556
Trading – Financial derivatives markets
* In May 2013 average daily derivatives traded on ASX decreased 14% on the pcp with both single stock options volume and index options volume down.
* In May 2013 average daily futures and options on futures volume on ASX 24 increased 6% on the pcp with both futures and options volumes higher.
Equity options volume
Total contracts 13,279,330
Index futures and options volume Total contracts 846,424
Futures volume Total contracts 10,699,169
Options on futures volume Total contracts 535,371
* Participant margin balances held on balance sheet averaged $4.1 billion in May 2013 ($2.5 billion pcp) with a
month-end balance of $4.0 billion in May 2013 compared to $2.8 billion in May 2012.
* The value of securities held in CHESS was 22% higher than the pcp and the number of dominant settlement
messages was 2% higher than the pcp.
* The value of securities held in Austraclear was 6% higher than the pcp.