DERIVATIVES, OSLO BØRS AUGUST 2010€¦ · This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation

Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.

The OBX index decreased in August by 1.7% to 322.09 points. The index is down 5% so

far this year.

The turnover numbers were better than in July, but they are still a little behind the 2010

average.

The average number of contracts traded in August was 51 612 contracts/day (2010

average: 56 351).

The premium turnover for stock options increased 14% to 83 MNOK, whereas the stock

forward exposure rose by 6% to 682 MNOK. As for the OBX products, the future turnover

increased 21% to 25 BNOK, and the index options decreased 41% to 33 MNOK.

The most traded stock option in August was Yara with 32 MNOK or 38% of the stock

option premium turnover. Statoil and Norsk Hydro followed.

Yara, Statoil and Norsk Hydro were the most traded stock forwards as well. Statoil was

the most traded with 297 MNOK, 44% of the total.

Expirations in August: OBX, Statoil, DnB NOR, Norsk Hydro, Storebrand and Yara.

Expirations next month (16 September): OBX, Statoil, Norske Skog, Tomra, Marine

Harvest and Seadrill.

For more detailed information, please read ahead

This summary continues with a presentation of general statistics, followed by a product-

and volatility overview towards the end. We hope to see you back in the derivatives

market next month.

DERIVATIVES, OSLO BØRS AUGUST 2010

0

5 000

10 000

15 000

20 000

25 000

30 000

35 000

40 000

45 000

50 000

55 000

60 000

65 000

70 000

75 000

80 000

Sep 09 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10

Co

ntr

acts

/ d

ay

Contract Distribution

Index Futures

Single Stock

Fwd/Fut

OBX Index Options

Stock Options

TURNOVER - CONTRACTS/DAY (average)

STOCK OPTIONS

9 623

OBX - OPTIONS

2 779

STOCK FWD/FUT

5 081

OBX - FUTURES

34 129

Contracts/day last month

STOCK OPTIONS

12 917

OBX - OPTIONS

3 062

STOCK FWD/FUT

5 858

OBX - FUTURES

34 513

Contracts/day YTD 2010

4

LIQUIDITY - OPTION PREMIUM DISTRIBUTION

28.7 %

27.4 %

21.6 %

5.4 %

4.2 %

3.6 %

2.1 %

1.8 %

1.5 %

1.1 %

0.8 %0.6 %0.6 %0.3 %

0.1 %

0.1 %

Option Premium last monthOBX - options

Yara International

Statoil

Norsk Hydro

Telenor

Seadrill

DnB NOR

Renewable Energy Corp.

Royal Caribbean C.

Petroleum Geo-Services

Norske Skog

Acergy

Marine Harvest Group

Storebrand

Orkla

Tomra

29.5 %

19.0 %

16.5 %

5.9 %

5.5 %

5.1 %

4.5 %

3.0 %

2.9 %

2.7 %

2.1 %

1.4 %

0.9 %

0.5 %0.4 %

Option Premium YTD 2010

OBX - options

Yara International

Statoil

Norsk Hydro


Seadrill

Telenor


Orkla

DnB NOR

Acergy

Royal Caribbean Cruises


Norske Skog

Storebrand

5

SINGLE STOCK FORWARD/FUTURE - EXPOSURE DISTRIBUTION

43.6 %

30.9 %

8.3 %

3.3 %

3.2 %

2.9 %

2.3 %

2.0 %

1.1 %0.9 %0.6 %

0.5 %0.4 %

0.1 %

0.0 %

0.0 %

Stock Fwd/Fut Premium last month

Statoil

Norsk Hydro

Yara International

Royal Caribbean C.

Seadrill

Orkla

Storebrand


Telenor



Acergy

TGS Nopec Geo.

DnB NOR

Norske Skog

Tomra

50.0 %

16.8 %

7.4 %5.0 %

4.4 %

4.2 %

3.4 %

2.5 %

2.0 %

1.0 %

1.0 %

0.6 %

0.6 %

0.4 %

0.4 %

0.3 %

0.1 %

Stock Fwd/Fut Premium YTD 2010

Statoil

Norsk Hydro

Telenor

Yara International

Seadrill

Royal Caribbean Cruises


Orkla

DnB NOR


TGS Nopec Geo.


Storebrand

Acergy

Tandberg

Norske Skog

6

PREMIUM - SINGLE STOCK DERIVATIVES

100

119

92 97

148

91 83

131

142

89

73

83

0

100 000

200 000

300 000

400 000

500 000

600 000

0

20

40

60

80

100

120

140

160


Op

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m M

NO

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Single Stock Options

Turnover premium/month - Stock Options

Open Interest (avg) - Stock Options

502

1 0

03

806

982

1 1

30

785

686

1 2

22

860

619

642

682

0

50 000

100 000

150 000

200 000

250 000

300 000

0

200

400

600

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1 000

1 200

1 400


Op

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Single Stock Forwards & Futures

Turnover premium/ month - Single Stock Fwds

Open Interest (avg) - Single Stock Fwds

7

PREMIUM - OBX DERIVATIVES

54

5738

20

32

59

1921

68 70

56

50

0

10 000

20 000

30 000

40 000

50 000

60 000

70 000

0

10

20

30

40

50

60

70

80


Op

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(a

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acts

Tu

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m M

NO

K

OBX - Index Options

Turnover premium/ month - OBX-indexoptions

Open Interest (avg) - OBX-indexoptions

21 4

89

21 7

96

21 2

35

19 2

10

24 1

73

22 8

71

23 2

91

23 8

00

26 6

62

24 1

67

20 6

72

24 9

54

180 000

190 000

200 000

210 000

220 000

230 000

240 000

250 000

0

5 000

10 000

15 000

20 000

25 000

30 000


Op

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Tu

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OBX - Index Futures

Turnover exposure/month - OBX-indexfutures

Open Interest (avg) - OBX-indexfutures

8

BROKER STATISTICS - AUGUST 2010

30.7 %

30.1 %

11.4 %

6.6 %

4.4 %

4.3 %

3.7 %

3.0 %

1.8 %

1.8 %

1.7 %

Options

Non-Norwegian

DnB NOR

SEB Enskilda

Handelsbanken

Nordea

Pareto

Nordnet

Carnegie

Argo

Net Fonds

First

96.7 %

1.1 %

0.7 %0.6 %

0.5 %0.4 %

0.1 %

Stock Forwards & Futures

DnB NOR

Terra Markets

First

Nordea

Handelsbanken

Nordnet

Arctic

9

39.7 %

38.4 %

6.1 %

4.6 %

4.5 %

2.6 %

2.5 %

0.4 %

OBX Futures

Handelsbanken

DnB NOR

SEB Enskilda

Non-Norwegian

Erik Penser

Nordea

Argo

ABG Sundal Collier

10

The OBX Index consists of the 25 most traded securities in the OSEBX Index. The constituents are selected on the basis of six months

turnover rating. It is a semi-annually revised free float adjusted total return index (dividend adjusted) with composition changes and

cappings implemented on the third Friday in June and December. In the period between the composition review dates, the number of

shares for each constituent is fixed with exception of cappings and continuous adjustments for corporate actions. The OBX Index is a

tradable index with exchange traded futures and options available.

OBX INDEX - CONSTITUENTS AND OTHER INFORMATION

31.08.10: 322.09 All time high (22.05.08 close): 462.70

11

The current OBX Index composition can be found below. The Derivatives department at Oslo Børs distributes a daily report with information on the OBX Index and its components. If you would like to receive this daily update, please contact [email protected].

mailto:[email protected]

12

OSLO BØRS - LISTED DERIVATIVES OPEN INTEREST - OPTIONS AND OBX FUTURES ONLY

13

Norske Skog (NSG) NORSKE SKOG is one of the world's biggest producers of publication paper, with 14 paper mills in 11 countries and a production capacity of around 4.5 mill. tonnes per year. Home: www.norskeskog.com

Sector: Paper Products

15105020 Last (NOK): 8.90

ISIN: NO 000 413 5633 Avg.Imp.Vol last month: 63 %

Reuters: NSG.OL Expiry: Mar, Jun, Sep, Dec

Bloomberg: NSG NO Open Int (avg): 12

055

Liquidity: Tradable in blocks of

1000-2000 contracts.

OBX Weight: N/A O/I avg. 2010: 17

397

Domicile: Norway Derivatives: Options &

Fwd/Fut Market Maker(s): 4


(MHG)Sector : Packaged Foods & Meats

30202030 Last (NOK): 4.89

ISIN: NO 000 305 4108 Avg.Imp.Vol last month: 32 %

Reuters : MHG.OL Expiry: Mar, Jun, Sep, Dec

Bloomberg : MHG NO Open Int (avg): 66 720

OBX Weight: 1.96% O/I avg. 2010: 63 730

Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 3

Norsk Hydro (NHY) Sector : Aluminium 15104010 Last (NOK): 30.92ISIN: NO 000 505 2605 Avg.Imp.Vol last month: 40 %

Reuters : NHY.OL Expiry: Feb, May, Aug, Nov

Bloomberg : NHY NO and NOHYF US Open Int (avg): 72 536

OBX Weight : 4.03% O/I avg. 2010: 58 662

Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 6

MARINE HARVEST is the world's leading

seafood company. They offer customers

and consumers a wide range of seafood

products and produce one fourth of the

world's farmed salmon. The company is

present in 18 countries and has 7500

employees worldwide.

Home: www.marineharvest.com

Liquidity: Tradable in blocks of 10 000

contracts.

NORSK HYDRO is a global supplier of

aluminium and aluminium products. Based

in Norway, the company employs 25,000

people in more than 30 countries.

Home: www.norskhydro.com

Liquidity: Tradable in blocks of 3000

contracts.

14

15

16

17

18

Argo Securities: OBX, DNBNOR, NHY, ORK, RCL, SDRL, STL, TEL

DnB NOR Markets: OBX, ACY, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TAA, TEL, TOM, YAR, RCL, TGS

Handelsbanken Capital Markets: OBX, ACY, DNBNOR, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TEL, TOM, YAR, RCL, TGS

Nordea Markets: OBX, ACY, NHY, NSG, ORK, PGS, REC, STL, TEL, TOM

SEB Enskilda: OBX, DNBNOR, NHY, STL, TEL

Timber Hill Europe: OBX, DNBNOR, MHG, NHY, NSG, ORK, SDRL, STB, STL, TEL, TOM, YAR

MARKET MAKERS


19

Daily Volatilities = average of Last Bid+Offer vol. for ATM CALLS and PUTS for the nearest two months. Lack of data may occur, thus volatilities should be seen as indicative.

OPTIONS - ATM IMPLIED VOLATILITIES

10 %

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

OBX ATM Implied Vol

20 %

40 %

60 %

80 %

100 %

120 %

ACY ATM Implied Vol

20 %

40 %

60 %

80 %

100 %

120 %

DNBNOR ATM Implied Vol


20

20 %

40 %

60 %

80 %

100 %

120 %

140 %

MHG ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

100 %

NHY ATM Implied Vol

40 %

50 %

60 %

70 %

80 %

90 %

100 %

110 %

120 %

130 %

NSG ATM Implied Vol


21

20 %

30 %

40 %

50 %

60 %

70 %

80 %

ORK ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

PGS ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

RCL ATM Implied Vol


22

50 %

60 %

70 %

80 %

90 %

100 %

110 %

120 %

130 %

REC ATM Implied Vol

30 %

40 %

50 %

60 %

70 %

80 %

90 %

100 %

110 %

120 %

SDRL ATM Implied Vol

30 %

40 %

50 %

60 %

70 %

80 %

90 %

100 %

110 %

120 %

130 %

STB ATM Implied Vol


23

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

STL ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

TEL ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

TOM ATM Implied Vol


24

30 %

40 %

50 %

60 %

70 %

80 %

90 %

100 %

YAR ATM Implied Vol

Documents

DERIVATIVES, OSLO BØRS AUGUST 2010€¦ · This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation