Published On: Fri, Aug 3rd, 2012

ASX July 2012 Trading Statistics

The value of ASX-listed stocks, as measured by the All Ordinaries Index, rose 3.7% in July 2012. This performance was below rises in other major markets, including Germany up 5.5%, Singapore up 5.5%, and stronger than Hong Kong up 1.8%, the US up 1.3%, the UK up 1.2% and Japan down 3.5%.

Volatility measures for the Australian equity market were below long-term averages during July:
Current volatility (as measured by the average daily movement in the All Ordinaries Index) was 0.6% in July, down on the previous month (0.8%).

Expected future volatility (as measured by the S&P/ASX 200 VIX) fell in July to an average of 16.6 (compared to 21.3 in June).

AUSTRALIAN SECURITIES EXCHANGE
Listings and capital raisings
In July 2012 total capital raised including scrip-for-scrip totalled $4.2 billion, up 7% on the $3.9 billion in the previous corresponding period (pcp).

Trading – Cash markets (including equities, interest rates and warrants trades)

In July 2012 the total number of trades was 4% higher than the pcp, while the total value of trading was 24% lower than the pcp.

Cash Markets

July 2012 Month July 2011 Month
Total trading days 22 21
(Cash market includes equity, warrant and interest rate market transactions)
Cash market volume
Total trades 12,332,102 11,807,705
Change on pcp 4%
Average daily trades 560,550 562,272
Change on pcp
Cash market value (including value of crossed trades)
Total value ($billion) 76.728 101.404
Change on pcp -24%
Average daily value ($billion) 3.488 4.829
Change on pcp -28%
Average value per trade ($) 6,222 8,588
Change on pcp -28%
Cash market behaviour statistics
Turnover crossed (%) 20% 24%
Off-market turnover crossed (%) 12% 11%
On-market turnover crossed (%) 8% 13%
Total value crossed ($billion)

on-market 15% of turnover

15.299 24.798
Non-billable value (above cap) ($billion) 0.883 2.213
Total billable value ($billion) 75.845 99.191

Trading – Financial derivatives markets

In July 2012 total derivatives traded on ASX increased 7% on the pcp.

Total futures and options on futures volume on ASX 24 decreased 27% on the pcp.

Derivatives Markets July 2012 Month July 2011 Month
Derivatives total trading days 22 21
(Derivatives includes exchange-traded options, commodities, and index options and futures)
Equity options volume
Total contracts 13,384,265 12,481,165
Change on pcp 7%
Average daily contracts 608,376 594,341
Index futures and options volume
Total contracts 1,106,226 1,064,095
Change on pcp 4%
Average daily contracts 50,283 50,671
Total derivatives volume
Total contracts 14,490,491 13,545,260
Change on pcp 7%
Average daily contracts 658,659 645,012
Change on pcp 2%
Futures and options total trading days 22 21
(Futures and options includes interest rate, ASX SPI 200 and energy contracts)
Futures volume
Total contracts 7,013,498 9,523,388
Change on pcp -26%
Average daily contracts 318,795 453,495
Options on futures volume
Total contracts 294,308 433,220
Change on pcp -32%
Average daily contracts 13,378 20,630
Total futures and options on futures volume
Total contracts 7,307,806 9,956,608
Change on pcp -27%
Average daily contracts 332,173 474,124
Change on pcp -30%
Contracts for difference market
Total trades 8,908 5,696
Total contracts traded 7,520,799 14,510,017
Notional value traded ($million) 172.5 201.5
Total open interest value (at end of month) ($million) 70.8 108.1

ASX CLEARING CORPORATION

Clearing

 

 Participant margin balances held on balance sheet averaged $3.0 billion in July 2012 ($2.6 billion pcp) with a month end balance of $3.1 billion in July 2012 compared to $2.4 billion in July 2011.

 

ASX Clearing Corporation

Collateral Balances – At End of Month

July 2012 Month July 2011 Month
Cash margins held on balance sheet:
– ASX Clear ($billion) 0.2 0.4
– ASX Clear (Futures) ($billion) 2.9 2.0
Cash equivalents held on balance sheet – ASX Clear (Futures) ($billion) 0.0 0.0
Collateral cash cover held off balance sheet (equities and guarantees) – ASX Clear ($billion) 4.0 4.1
Total billable value cleared ($billion) 66.009 82.830

 

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