ASX Group Monthly Activity Report October 2014
Volatility measures for the Australian equity market remained below long-term averages during October:
• Volatility (as measured by the average daily movement in the All Ordinaries Index) was 0.6% in October, flat on the previous month (0.6%).
• Expected future volatility (as measured by the S&P/ASX 200 VIX) rose in October to an average of 15.4 (compared to 13.3 in September).
AUSTRALIAN SECURITIES EXCHANGE
Listings and capital raisings
• In October 2014, total capital raised was $7.9 billion, up 69% on the previous corresponding period (pcp).
Trading – Cash markets (including equities, interest rates and warrants trades)
• In October 2014, the average daily number of trades was 9% higher than the pcp. The average daily value traded on-market of $3.5 billion was 15% higher than the pcp.
Trading – Financial derivatives markets
• In October 2014, the average daily number of derivatives traded on ASX decreased 1% on the pcp. Single stock options average daily contracts were down 7% on the pcp and index options average daily contracts were up 75% on the pcp.
• In October 2014, average daily futures and options on futures volume on ASX 24 increased 9% on the pcp. Futures volumes were up 10% on the pcp and options volumes were down 22% on the pcp.
ASX CLEARING CORPORATION
• Participant margin balances held on balance sheet averaged $3.3 billion in October 2014 ($4.1 billion pcp), with a month-end balance of $3.6 billion in October 2014 compared to $4.0 billion in October 2013.
ASX SETTLEMENT CORPORATION
• The value of securities held in CHESS remained flat compared to the pcp and the number of dominant settlement messages was 3% higher than the pcp.
• The value of securities held in Austraclear was 13% higher than the pcp.