Published On: Tue, Dec 6th, 2011

ASX Group Monthly Activity Report November 2011

The value of ASX-listed stocks, as measured by the All Ordinaries Index, fell 4.0% in November 2011. This follows declines in other major markets including: Hong Kong down 9.4%, Singapore down 5.4%, Japan down 6.2%, the UK down 0.7%, and the US down 0.5%.

Global factors, especially the European debt crisis, continue to drive down equity market valuations, including in Australia. While ASX equity volumes rose in November 2011, total value traded declined compared to November last year, albeit only slightly down compared to last month.

These same global factors are also impacting on derivative volumes, particularly single stock options and interest rate futures.

Measures of volatility in the Australian equity market remained above long-term averages during November:
• Current volatility (as measured by the average daily movement in the All Ordinaries Index) was 1.0% in November, down on the previous month (1.3%).
• Expected future volatility (as measured by the S&P/ASX 200 VIX) fell on average in November to 26.9 (compared to 31.8 in October).

Volatility in US markets (S&P 500 Index) remained high in November, with average daily movements of 1.5% (1.6% in October). Expectations of future volatility in the US also remained high during November.

The value of daily cash market trading in November declined compared to October, with an average traded value of $4.5 billion a day ($4.7 billion in October).

Activity in interest rate futures contracts remained healthy but lower than recent months, with trading during November in the four main contracts (3 and 10 year bonds, 90 day bank bills, and the 30 day cash rate) of 242,739 contracts traded on average each day.

Listings and capital raisings
• In November 2011 there were 8 new listings, down 20% on the 10 in the previous corresponding period (pcp).
• Total listed entities at the end of November 2011 were 2,227, up 1% on the 2,197 of a year ago.
• There was $939 million of initial capital raised in November 2011, compared to $6,566 million in the pcp, (including $6.2 billion for QR National).
• Secondary capital raised in November 2011 totalled $2.6 billion, marginally higher than the pcp. There was also $1.6 billion of other capital raised, including scrip-for-scrip, in November 2011.
• Total capital raised in November 2011 amounted to $3.6 billion, down 61% on the $9.1 billion raised in the pcp.

Trading – Cash markets (including equities, interest rates and warrants trades)
The All Ordinaries Index closed at 4,184.7 points at the end of November, a fall of 4.0% over the course of the month. The index has fallen 13.7% in the calendar year and is 10.5% lower than a year ago.
• Total cash market trades for November 2011 were 13.8 million, up 10% on the pcp. Average daily trades for November 2011 of 627,234 were also 10% higher than the pcp.
• Total cash market traded value was $97.9 billion in November 2011, down 23% on the pcp. The average daily value traded of $4.5 billion in November 2011 was also down 23% on the pcp.
• In November 2011 the average value per trade was $7,094, down 30% on the pcp of $10,160. The percentage of traded value crossed was 24% (30% pcp).
• PureMatch, ASX’s new tailored, high speed/low latency order book, commenced on 28 November 2011 with trading initially available in the top 10 ASX-listed securities.

Trading – Financial derivatives markets
• Trading activity declined from the levels experienced in October, with continuing uncertainty driving a tightening in global credit market conditions.
• The RBA cut the official cash rate by 25 basis points to 4.5 per cent at its 1 November meeting, the first change in a year. The 30 day cash rate futures contract continues to price in a further rate cut in December and further monetary policy easing during 2012.
• On the ASX market, equity derivatives volume (excluding the ASX SPI 200) for November 2011 was 12.4 million contracts. Measuring volumes on the prior contract size, in order to allow for a meaningful comparison, translates to equity derivatives volume (excluding the ASX SPI 200) for November 2011 of 2.1 million contracts. This represents a 10% increase in total volumes compared to the pcp, with a daily average of 96,843 contracts, also up 10% on the pcp.
• For the first four months of FY12, compared to the same period last year, there has been a significant shift in the ASX derivatives product mix, evidenced by an 82% increase in index options volume alongside a 15% decrease in single stock exchange-traded option (ETO) volume.
• As a result of the interim market maker enhancements project introduced in May, there has been a substantial increase in trading by ETO market makers, notwithstanding the decrease in overall activity levels, as these liquidity providers take advantage of trading fee incentives.
• On the ASX 24 market, total futures and options on futures contracts volume (excluding equity derivatives and CFDs) for November 2011 was 6.5 million, down 9% on the pcp, with a notional value of $3.2 trillion. Average daily contracts volume during November 2011 of 296,057 was also down 9% on the pcp.
• A total of 6,809 ASX CFD trades were transacted in November 2011, comprising a volume of 10.0 million contracts. The total notional value of all CFD trades for November was $226.9 million, a decrease of 17% on the pcp, while the value of CFD open interest at the end of November was $88.5 million, a decrease of 40% on the pcp.

Trading – Energy and agricultural derivatives markets
• A total of 50,051 Australian electricity futures and options contracts were traded in November 2011, up 55% on the pcp. Total open interest was 37,390 contracts at the end of November 2011 compared to 40,376 at the end of October 2011.
• The ASX grain futures and options market traded 61,354 contracts (greater than 1.2 million tonnes) during the month, up 33% on the pcp. The increased market activity was, in part, due to positions being re-established following the suspension of MF Global as a participant, as well as a continuation of the La Nina weather pattern that is disrupting the winter crop harvest along Australia’s eastern seaboard. Open interest at the end of November 2011 of 59,203 futures contracts represents 1.18 million tonnes of Australian grain and oilseed.

All on-market trades (equities and derivatives markets) are novated by ASX’s two central counterparty clearing subsidiaries, ASX Clear and ASX Clear (Futures), which act as counterparties to those trades and replace bilateral counterparty exposures.
• Total margins (including additional margins held against stress testing exposures and concentrated large positions) averaged $3.5 billion during November 2011 (including excess cash collateral but excluding equity securities lodged in excess of the margin requirement), with cash margins lodged averaging $2.9 billion.
• There were nine intra-day margin calls made on six separate days in November 2011 totalling $14.8 million, compared to $48 million of intra-day margin calls in October 2011.
• On 1 November 2011 ASX Clear and ASX Clear (Futures) suspended the MF Global entities as participants following the appointment of Administrators in the UK and Australia. On 11 November ASX Clear and ASX Clear (Futures) completed an orderly close-out of net positions in all contracts held with the ASX clearing houses by MF Global entities. ASX is ready to return $34 million of client-related funds once joint payment instructions are received from the Administrators.

ASX Settlement
• There were no disruptions to the completion of batch settlement in the equities market during November 2011.
• Total equity settlement delivery fail rate averaged 0.48% per day during November 2011, compared with October’s rate of 0.35%.

Austraclear Settlement
• No disruptions to the Austraclear settlement sessions occurred during November 2011.
• The levels of total debt holdings in Austraclear increased 7% over the course of November by $2.0 billion to $1.285 trillion. During November, treasury bonds increased by $6.3 billion, floating rate notes decreased by $1.5 billion, treasury notes decreased by $2.3 billion and all other holdings decreased by $0.5 billion.

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