ASX Group Monthly Activity Report September 2014
Volatility measures for the Australian equity market remained below long-term averages during September:
- Volatility (as measured by the average daily movement in the All Ordinaries Index) was 0.6% in September, up on the previous month (0.4%).
- Expected future volatility (as measured by the S&P/ASX 200 VIX) rose in September to an average of 13.3 (compared to 12.2 in August).
Trading – Cash markets (including equities, interest rates and warrants trades)
- In September 2014, the average daily number of trades was 5% higher than the pcp. The average daily value traded on-market of $3.6 billion was 10% higher than the pcp.
Trading – Financial derivatives markets
- In September 2014, the average daily number of derivatives traded on ASX increased 9% on the pcp. Single stock options average daily contracts were up 6% on the pcp and index options average daily contracts were up 57% on the pcp.
- In September 2014, average daily futures and options on futures volume on ASX 24 decreased 2% on the pcp. Futures volumes were up 4% on the pcp and options volumes were down 16% on the pcp.
ASX CLEARING CORPORATION
Participant margin balances held on balance sheet averaged $3.5 billion in September 2014 ($4.2 billion pcp), with a month-end balance of $3.6 billion in September 2014 compared to $4.2 billion in September 2013.
ASX SETTLEMENT CORPORATION
- The value of securities held in CHESS remained flat to pcp and the number of dominant settlement messages was 7% higher than the pcp.
- The value of securities held in Austraclear was 15% higher than the pcp.