Published On: Fri, Oct 7th, 2011

ASX September 2011 Trading Statistics

The value of ASX-listed stocks, as measured by the All Ordinaries Index, fell sharply by 6.9% during eptember 2011. This was in line with declines in other major markets including, Hong Kong down 14.3%, Singapore down 7.3%, the US down 7.2%, the UK down 4.9%, and Japan down 2.8%. The declines in global markets, driven by concerns about economic growth in Europe and the US and the state of the European banking system, continued to be accompanied by above average levels of volatility. Trading activity on ASX equity and derivative markets continued to be robust during September but down from record levels recorded in August.

Measures of volatility in the Australian equity market remained above historical averages during September:
* Current volatility (as measured by the average daily movement in the All Ordinaries Index) was 1.4% in
September, down marginally on the previous month (1.5%).
* Expected future volatility (as measured by the S&P/ASX 200 VIX) rose on average in September to 34.8 (compared to 32.3 in August). Volatility in US markets (S&P 500 Index) remained high in September, with average daily movements of 1.6% (2.2% in August). Expectations of future volatility in the US also remained high during September.

The value of daily cash market trading in September remained robust, but down from the spike in August, with
an average traded value of $5.4 billion a day ($6.4 billion in August). Activity in interest rate futures contracts continued to be strong, with trading during September in the four main contracts (3 and 10 year bonds, 90 day bank bills, and the 30 day cash rate) of 362,171 contracts traded on average each day.

Listings and capital raisings
* In September 2011 there were 8 new listings, no change from the previous corresponding period (pcp).
* Total listed entities at the end of September 2011 were 2,229, up 2% on the 2,184 of a year ago.
* There was $384 million of initial capital raised in September 2011, compared to $113 million in the pcp.
* Secondary capital raised in September 2011 totalled $1.8 billion compared to $2.4 billion in the pcp. There was also $655 million of other capital raised, including scrip-for-scrip, in September 2011.
* Total capital raised in September 2011 amounted to $2.1 billion, down 14% on the $2.5 billion raised in the pcp.

Trading – Cash markets (including equities, interest rates and warrants trades)
The All Ordinaries Index closed at 4,070.1 points at the end of September, a fall of 6.9 % over the course of the month. The index has fallen 16.0% since 1 January 2011 and was 12.2% lower than a year ago.
* Total cash market trades for September 2011 were 16.5 million, up 31% on the pcp.
* Average daily trades for September 2011 of 748,016 were also 31% higher than the pcp.
* Total cash market traded value was $119.2 billion in September 2011, no change from the pcp. The average daily value traded of $5.4 billion in September 2011 was also consistent with the pcp.
* In September 2011 the average value per trade was $7,245, down 24% on the pcp of $9,516. The percentage of traded value crossed was 25% (28% pcp).

Trading – Financial derivatives markets
* There was a continuation of the robust trading activity of recent months in the benchmark ASX 24 interest rate contracts in September, driven largely by events in European markets over concerns about possible sovereign debt defaults and the impact that could have on other countries and the European banking system.
* The RBA left the official cash rate unchanged at its September meeting, citing uncertainty in global financial markets in the near term but noted some medium-term concerns around the inflation outlook. The 30 day cash rate futures contract continues to price in the chance of a rate cut in late 2011 and additional easing in the first half of 2012.
* On the ASX market, equity derivatives volume (excluding the ASX SPI 200) for September 2011 was 15.2 million contracts. Measuring volumes on the prior contract size, in order to allow for a meaningful comparison, results in equity derivatives volume (excluding the ASX SPI 200) for September 2011 of 2.5 million contracts. This represents a 25% increase in total volumes compared to the pcp, with a daily average of 114,562 contracts, also up 25% on the pcp.
* On the ASX 24 market, total futures and options on futures contracts volume (excluding equity derivatives and CFDs) for September 2011 was 9.9 million, down 2% on the pcp, with a notional value of $3.6 trillion. Average daily contracts volume during September 2011 of 450,061 was also down 2% on the pcp.
* The ASX 24 market experienced a record single day trading in futures and options contracts on 13 September of over 1.5 million contracts, up from the previous record of 1.4 million contracts.
* A total of 8,803 ASX CFD trades were transacted in September 2011, comprising a volume of 12.0 million contracts. The total notional value of all CFD trades for September was $291.0 million, an increase of 5% on the pcp, while the value of CFD open interest at the end of September was $73.6 million, a decrease of 49% on the pcp.

Trading – Energy and agricultural derivatives markets
* A total of 12,736 Australian electricity futures and options contracts were traded in September 2011, down 31% on the pcp. Total open interest was 49,367 contracts at the end of September 2011 compared to 46,653 at the end of August 2011.
* The ASX grain futures and options market traded 33,668 contracts (673,360 tonnes) during the month, down 8% on the pcp. Open interest at the end of September 2011 of 166,215 futures contracts represents 3.3 million tonnes of Australian grain and oilseed.

Clearing
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 September 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 12 intra-day margin calls made on four separate days in September 2011 totalling $13.8 million
compared to $1.4 billion of intra-day margin calls in August 2011.

ASX Settlement
There were no disruptions to the completion of batch settlement in the equities market during September 2011.
* Total equity settlement delivery fail rate averaged 0.37% per day during September 2011, a small decrease on the 0.39% rate for August 2011.

There were no disruptions to the Austraclear settlement sessions during September 2011.
* The levels of total debt holdings in Austraclear increased over the course of September by $9.7 billion to $1.272 trillion. During September, floating rate notes increased by $7.6 billion, semi-government bonds increased by $7.2 billion, treasury bonds increased by $5.6 billion, and treasury notes increased by $1.6 billion. Electronic certificates of deposit decreased by $10.0 billion, corporate bonds decreased by $1.4 billion and all other holdings decreased by $0.9 billion in September.

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