ASX EQUITY DERIVATIVES

Options and Futures Statistics

November 22
Average Daily Volume (ADV) and Open Interest (OI) - Single Stock and XJO traded on ASX

Single Stock Options Volume and ADV

12 600

Thousands
Millions

10 500
8 400
6 300
4 200
2 100
0 0
Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22 Jul-22

Number of Contracts Traded Rolling 3 month ADV

Single Stock Options Open Interest & Notional Value Traded

8 $30
Millions

Billions
$25
6
$20
4 $15
$10
2
$5
- $-
Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22 Jul-22

Open Interest Notional Value Traded

XJO Options Volume and ADV

200 80

Thousands
x 10000

150 60

100 40

50 20

0 0
Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22 Jul-22

Number of Contracts Traded Rolling 3 month ADV

XJO Options Open Interest and Notional Value Traded

60 $100
x 10000

50 $80 Billions
40
$60
30
$40
20
10 $20
- $-
Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22 Jul-22

Open Interest Notional Value Traded

NOTE: Volume, Value, Open Interest figures contained within this report are reported in # Contracts (i.e. single side only), unless stated otherwise

Notional Value Traded: LEPOs = Premium * Qty * Contract Size || Non-LEPOs = Strike * Qty * Contract Size

Trade Value (contained only in the Monthly Market Summary PDF & Yearly Excel File): Premium * Qty * Contract Size
ASX EQUITY DERIVATIVES
November 22

Average Daily Volume (ADV), Open Interest (OI) and Notional Value of OI - Equity Index Futures traded on ASX 24

SPI 200 (AP) Futures Volume by Session and ADV

400 120
x 10000

Thousands
100
300
80
200 60
40
100
20
- 0
Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22 Jul-22

Night Day Rolling 3 month ADV

SPI 200 (AP) Futures Open Interest

50 $80
x 10000

Billions
40 $60
30
$40
20
10 $20

- $-
Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22 Jul-22

Open Interest Notional Value of OI

ASX/S&P 200 Gross Total Return (AT) Futures Volume by Session and ADV
50 12
Thousands

Hundreds
40 10
30 8
6
20 4
10 2
- 0

Night Day Rolling 3 month ADV

ASX/S&P 200 Gross Total Return (AT) Futures Open Interest

20 $4,000
Millions
Thousands

15 $3,000
10 $2,000
NOTE:
5 $1,000
- $-

Open Interest Notional Value of OI

NOTE: ASX/S&P 200 Gross Total Return (AT) Futures launched June 2019

ADV: Average Daily Volume

ASX EQUITY DERIVATIVES
November 22

Options - Top Classes by Volume

OPEN SHARE NET NET

RANK NOV 22 VOLUME1 % MKT VOL/OP DLR2 PUT/CALL3
INTEREST VOLUME CALLS4 PUTS4
1 XJO 685,492 14.8% 324,757 211.1% N/A N/A 206.4% -5,745 12,033
2 BHP 549,740 11.9% 184,311 298.3% 230,038,085 23.9% 48.4% -23,522 -2,388
3 FMG 406,536 8.8% 140,338 289.7% 221,668,099 18.3% 101.5% -33,829 -5,103
4 WBC 238,310 5.2% 144,880 164.5% 169,042,685 14.1% 42.6% -22,501 1,625
5 CBA 218,604 4.7% 82,859 263.8% 54,083,507 40.4% 46.9% 6,843 8,386
6 WDS 207,705 4.5% 76,947 269.9% 127,903,555 16.2% 67.2% -3,403 -3,657
7 TLS 195,872 4.2% 157,328 124.5% 464,281,749 4.2% 77.5% -25,397 -11,450
8 STO 163,012 3.5% 107,918 151.1% 273,460,137 6.0% 64.4% -18,730 -11,821
9 NCM 153,660 3.3% 69,340 221.6% 91,678,352 16.8% 100.6% -7,485 -1,510
10 ANZ 148,855 3.2% 100,644 147.9% 130,634,048 11.4% 93.1% -7,441 -7,404
11 RIO 147,437 3.2% 40,041 368.2% 33,753,108 43.7% 72.0% -4,317 -4,670
12 NAB 141,905 3.1% 108,660 130.6% 132,383,810 10.7% 37.9% -2,601 -5,923
13 S32 134,770 2.9% 83,700 161.0% 440,809,676 3.1% 85.1% -29,838 -1,845
14 MPL 108,577 2.4% 77,707 139.7% 298,288,879 3.6% 160.9% 34,970 -45,703
15 WOW 97,561 2.1% 59,473 164.0% 50,728,972 19.2% 127.1% -5,415 173
16 IPL 92,847 2.0% 33,358 278.3% 208,473,675 4.5% 7.2% -6,535 -2,599
17 SGR 83,472 1.8% 29,631 281.7% 59,258,813 14.1% 2.1% -8,243 -1,553
18 CSL 82,307 1.8% 25,446 323.5% 14,120,990 58.3% 62.3% 1,835 1,190
19 ZIP 79,834 1.7% 34,811 229.3% 144,790,248 5.5% 21.5% -5,038 -751
20 COL 77,673 1.7% 59,513 130.5% 70,797,338 11.0% 58.9% -21,082 -9,478
21 IAG 76,416 1.7% 50,573 151.1% 161,224,089 4.7% 4.2% -238 -3,452
22 MQG 76,199 1.7% 25,972 293.4% 18,033,598 42.3% 75.4% -2,454 491
23 WES 62,134 1.3% 25,690 241.9% 41,531,326 15.0% 38.2% -2,365 -2,458
24 AMP 58,530 1.3% 81,539 71.8% 201,867,553 2.9% 55.7% -9,144 11,382
25 TAH 57,059 1.2% 25,449 224.2% 172,186,950 3.3% 3.8% -338 -3,396
26 A2M 56,549 1.2% 15,795 358.0% 82,907,813 6.8% 20.1% 8,091 -952
27 WHC 55,109 1.2% 26,109 211.1% 317,569,484 1.7% 188.8% -5,568 -5,937
28 PLS 54,572 1.2% 24,586 222.0% 926,925,908 0.6% 430.0% -7,913 -2,623
29 BXB 54,441 1.2% 35,818 152.0% 79,953,064 6.8% 11.7% -3,146 -974
30 AWC 52,329 1.1% 58,413 89.6% 247,595,696 2.1% 79.7% -15,879 -5,336
Market* 4,617,507 100.0% 2,311,606 199.8% 5,465,991,207 8.4% 46.7% -226,428 -105,703

NOTE: Option Volumes in the above table are single-sided (i.e. on a per contract basis)

1 Total Volume including volume executed by Market Makers

2 Derivatives Liquidity Ratio (DLR) = options volume (in shares) / volume of underlying security

3 Put/Call Ratio: total volume of Puts excluding Market Makers / total volume of Calls excluding Market Makers

4 The net calls & net puts are the number of options contracts bought minus the number of options contracts sold, excluding Market Makers

* Only TOP 30 ETO classes included

ASX EQUITY DERIVATIVES
November 22

Options Market Share by Volume and Value Traded

Top 10 Brokers by Volume Top 10 Brokers by Value

UBS UBS
Morrison Morrison
17% CommSec 19% 16% Bell Potter Securities
24%
Bell Potter Securities Morgan Stanley WM
CMC Markets Interactive Brokers
4%
12% Interactive Brokers 15% CMC Markets
4% 5%
AIEX BGC Securities
4% 5%
Macquarie Retail J.P. Morgan Securities
4% 11%
Shaw and Partners 6% 11% CommSec
4%
5% 7% Morgan Stanley WM 6% Shaw and Partners
7% 7% 7%
Other Other

Top 5 Market Makers by Volume Top 5 Market Makers by Value

2%
7%
10% 7%
Susquehanna 27% Susquehanna
33% UBS WMM Eclipse
12% 14%
Eclipse UBS WMM
Vivienne Court Vivienne Court
Mako APAC Mako APAC
Other Other
21%
21% 23%
21%

Top 5 LEPO Participants by Volume Top 5 LEPO Participants by Value

1% 1%

7%
7%
5%
Macquarie Insto BGC Securities
5%
BTIG 11% Macquarie Insto
40%
9% Bell Potter Securities Bell Potter Securities
BGC Securities BTIG
Morrison Eclipse
58%
16% Other Other

39%

NOTE: The above charts include contracts traded in both Single Stock and Index options

LEPOs are excluded from the top four charts

ASX EQUITY DERIVATIVES
November 22

Top 10 Call and Put Option Contracts

Call Option Contracts (excluding Market Makers)

300 10

Thousands
Thousands

200 0

100 -10

0 -20
BHP XJO FMG WBC CBA WDS SGR TLS STO NAB

-100 -30

-200 -40

-300 -50

Contracts Long (Brought) Contracts Short (Sold) Net Calls Nov 22 (RHS) Net Calls Oct 22 (RHS)

Put Option Contracts (excluding Market Makers)

400 15

Thousands
Thousands

300 10

200
5

100
0
0
XJO BHP FMG WDS TLS ANZ NCM STO WBC CBA -5
-100

-10
-200

-300 -15

-400 -20

Contracts Long (Brought) Contracts Short (Sold) Net Puts Nov 22 (RHS) Net Puts Oct 22 (RHS)

NOTE: The charts above show the number of contracts brought and sold by non-market-making participants in the top 10

underlying securites
ASX EQUITY DERIVATIVES
November 22

S&P/ASX 200 Volatility Index, Net Buy/Sell and Put Call Indicators

S&P/ASX 200 VIX

60

50

40
Points

30

20

10

0
Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22 Jul-22

Options Net Buy/Sell Volume (excluding market makers)

8,000 750

Net bought (written) contracts (Thousands)

S&P/ASX 200 Index Level

7,000 500

6,000 250

5,000 0

4,000 -250

3,000 -500

2,000 -750
Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22 Jul-22

Net Bought (Written) Calls Net Bought (Written) Puts S&P/ASX 200 (LHS)

Put-Call Indicators
200%
180%
160%
140%
120%
100%
80%
60%
40%
20%
0%
Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22 Jul-22

P/C Volume % P/C OI %

ASX EQUITY DERIVATIVES
November 22

Options - Volume, Value and Open Interest

Volume 2 3 4 5 6 7 8
PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO

Nov-22 3,372,026 2,440,651 5,812,677 5,102,809 24,376 684,192 1,300

Oct-22 2,759,303 2,270,043 5,029,346 4,486,835 11,599 529,207 1,705
Variance 22.2% 7.5% 15.6% 13.7% 110.2% 29.3% -23.8%

Nov-21 2,935,082 2,563,046 5,498,128 5,013,681 21,056 463,191 200

Variance 14.9% -4.8% 5.7% 1.8% 15.8% 47.7% 550.0%
Cal Yr to date 41,109,470 39,669,344 80,778,814 72,714,214 166,402 7,888,134 10,064
Fin Yr to date 16,464,783 14,579,489 31,044,272 27,748,235 59,748 3,232,841 3,448

Value ($m) 11 12 13 14 15 16 17
PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO

Nov-22 869.0 463.2 1,332.2 541.2 139.4 560.3 91.3

Oct-22 522.4 505.8 1,028.3 439.1 27.7 445.3 116.2
Variance 66.3% -8.4% 29.6% 23.3% 403.8% 25.8% -21.4%

Nov-21 457.0 488.7 945.7 542.2 52.8 335.8 14.8

Variance 90.2% -5.2% 40.9% -0.2% 163.8% 66.8% 517.4%
Cal Yr to date 7,577.4 9,866.3 17,443.7 8,336.0 465.0 7,930.8 711.9
Fin Yr to date 3,059.5 3,401.8 6,461.3 3,031.4 200.1 2,992.9 237.0

Open Interest 19 20 21 22 23 24 25
PERIOD CALL PUT TOTAL OPTIONS EQUITY OPTIONS EQUITY LEPO INDEX OPTION INDEX LEPO

Nov-22 1,823,312 1,400,267 3,223,579 2,883,727 15,094 324,107 650

Oct-22 1,644,351 1,281,012 2,925,363 2,632,218 8,890 283,828 427
Variance 10.9% 9.3% 10.2% 9.6% 69.8% 14.2% 52.2%

Nov-21 1,735,512 1,432,484 3,167,996 2,938,750 15,238 213,963 45

Variance 5.1% -2.2% 1.8% -1.9% -0.9% 51.5% 1344.4%
Cal Yr to date 23,990,170 20,331,383 44,321,556 40,360,948 93,742 3,862,924 3,928
Fin Yr to date 9,849,595 7,972,580 17,822,175 16,060,317 38,956 1,721,296 1,603

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MORE INFORMATION
Gregory Pill - Head of Equity Derivative Products Benjamin Hatava - Senior Analyst Equity Derivatives
Phone: +61 2 9227 0696 Phone: +61 2 9227 0061
Email: Greg.Pill@asx.com.au Email: Benjamin.Hatava@asx.com.au
https://www.asx.com.au/products/equity-options/about-options.htm