In February, intraday volatility of the three most traded Nikkei 225 index structured warrants was more than twice that of the three most traded FTSE China A50 Index structured warrants and the three most traded Straits Times Index (STI) structured warrants, according to a market update released today by the Singapore Stock Exchange (SGX).
Long-term Japanese government bond (JGB) yields have hit record lows, widening the spread between Nikkei 225 index dividend yields and yields for 10-year JGB to 1.98% points on February 24 - the widest in around three years, according to the exchange.
During the month of February the Nikkei 225 index declined 8.5% compared to the Straits Times Index (STI) which gained 1.4%. The three most active Nikkei 225 index structured warrants comprised of two call warrants and a put warrant are due to expire this week. By comparison the three most traded Hang Seng Index (HIS) structured warrants comprised of two put warrants and a call warrant are due to expire at the end of March.
In addition, the three most traded FTSE China A50 index structured warrants are comprised of two call warrants with 10,000 and 11,500 strike prices and an 8,000 put warrant. The 8,000 put warrant generated the lowest intraday volatility of the three, which stood at an average intraday volatility of 7% for the month of February, according to the exchange. This compared to average intraday volatility of 10% for the 10,000 call warrant and 18% for the 11,500 call warrant.
According to the exchange, while the intraday volatility amongst the different structured warrants did vary, liquidity was present in both the least volatile and most volatile of the index structured warrants.
SGX also reported that the securities market turnover value at the end of February was up 4% month on month, and up 14% year on year to S$24.1bn (US$17.4bn). Securities daily average value (SDAV) increased 10% month-on-month (m-o-m) and increased 8% year-on-year (y-o-y) to S$1.3bn with the exchange recording a market turnover value of exchange traded funds (ETFs) of S$209m - down 24% m-o-m and up 7% y-o-y. SGX also recorded 17 new bond listings, raising S$3.7bn. The total market capitalisation value of the 771 listed securities stood at S$872bn as at end February 2016.
In the derivatives segment, total derivatives volume was 13.9 million, down 22% m-o-m and up 43% y-o-y, while equity index futures volume was 11.6 million, down 25% m-o-m and up 37% y-o-y.
FTSE China A50 index futures remained the most active contract with a volume of 5.6 million, down 31% from January and up 47% from February last year, followed by Nikkei 225 index futures volume which was down 18% m-o-m and up 60% y-o-y to 2.5 million. The SGX CNX Nifty Index futures volume was 1.8 million, up 2% m-o-m and flat from the preceding year, and MSCI India index futures volume was 19,899, up 25% from last month and up 242% from 5,821 contracts a year earlier.
In the currencies segment, total FX futures volume was up 6% m-o-m and up 166% y-o-y; SGX INR/USD futures volume was up 13% m-o-m and up 179% y-o-y, and SGX USD/CNH futures volume was down 43% compared to January and 420% from last year.
The overall volume of cleared over the counter (OTC) SGD interest rate swaps was S$10.5bn, down 34% m-o-m and up 8% y-o-y. SGX commodities derivatives volume was down 6% m-o-m and up 194% y-o-y.
The 10 most active ETFs on SGX in the month-to-date were SPDR Gold Shares, SPDR Straits Times Index ETF, iShares MSCI India Index ETF, db x-trackers MSCI China Index UCITS ETF (DR), db x-trackers FTSE China 50 UCITS ETF (DR), db x-trackers MSCI Indonesia Index UCITS ETF, Nikko AM Singapore STI ETF, db x-trackers MSCI Thailand Index UCITS ETF (DR), iShares Barclays Capital USD Asia High Yield Bond Index ETF and db x-trackers MSCI Russia Capped Index UCITS ETF.
These ETFs saw a 49% y-o-y increase in turnover for the month thus far, rising from S$114.4m in the February 2015 month-to-date to S$171m in the same period this year.
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