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
Renewable Energy Corp.
Seadrill
Telenor
Petroleum Geo-Services
Orkla
DnB NOR
Acergy
Royal Caribbean Cruises
Marine Harvest Group
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
Petroleum Geo-Services
Telenor
Renewable Energy Corp.
Marine Harvest Group
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
Renewable Energy Corp.
Orkla
DnB NOR
Petroleum Geo-Services
TGS Nopec Geo.
Marine Harvest Group
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
Sep 09 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10
Op
en
In
tere
st
(a
vg
) -
Co
ntr
acts
Tu
rn
ove
r P
re
miu
m M
NO
K
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
800
1 000
1 200
1 400
Sep 09 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10
Op
en
In
tere
st
(a
vg
) -
Co
ntr
acts
Tu
rn
ove
r P
re
miu
m M
NO
K
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
Sep 09 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10
Op
en
In
tere
st
(a
vg
)-
Co
ntr
acts
Tu
rn
ove
r P
re
miu
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
Sep 09 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10
Op
en
In
tere
st
(a
vg
)-
Co
ntr
acts
Tu
rn
ove
r e
xp
osu
re
MN
OK
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].
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
Marine Harvest Group
(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
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.
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
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.
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
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.
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
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.
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
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.
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
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.
24
30 %
40 %
50 %
60 %
70 %
80 %
90 %
100 %
YAR ATM Implied Vol