TSE Derivatives Market Highlights
January 1, 2004〜December 31, 2004

Price Movements

1501600
1400

1401200
1000

130800120600
400

1105.04.03.02.01.0

10-year JGB Yield(%)※

1800
TOPIX Futures(points)

160

JGB Futures
10-year JGB Yield
TOPIX Futures

10-year JGB Futures(￥)

2000

2000100
939495969798

9900

010203Year0.004※Sourse:QUICK,Japan Bond Trading Co,Ltd.

Largest Day-to-Day Fluctuations（1.1.04〜12.31.04）
TOPIX Futures

UpDown10-year JGB Futures

Change (%)

Price12345+34.5（+3.2%）

1122.0 （05.12.04）
1103.5 （05.19.04）
1142.0 （10.04.04）
1204.5 （04.20.04）
1150.5 （06.07.04）

1234
5-79.5（-6.9%）+29.5（+2.7%）+28.5（+2.6%）+25.0（+2.1%）+24.5（+2.2%）-38.5（-3.5%）-31.0（-2.8%）-25.0（-2.0%）-25.0（-2.3%）

Date1072.5 （05.10.04）
1054.0 （05.17.04）
1091.0 （05.13.04）
1195.0 （04.15.04）
1085.0 （11.22.04）

Change

Up

Down

12
34
5

+0.90

12
345

-1.04

+0.80
+0.75
+0.69
+0.68

-1.00
-0.80
-0.71
-0.70

Price

Date

138.05 （10.12.04）
135.30 （07.02.04）
134.45 （06.25.04）
138.76 （01.13.04）
138.74 （05.17.04）
138.00 （03.26.04）
137.00 （03.29.04）
136.75 （06.07.04）
137.10 （04.05.04）
138.94 （03.02.04）

Trading Data（1.1.04〜12.31.04）（Units, ¥100 mil.）Futures
EquityProduct

Trading Volume

ChangeTrading Value

TOPIX Futures

10,305,017
741
601
17,643
174,482
8,025,268
1,262,994

10%
2%
-100%
-82%
-41%
24%
30%

1,158,747

―

123―

15―

68

1,500

39

20,196

11,034,752

―

3,361

75,135TOPIX Electric Appliances
Index Futures
TOPIX Banks Index Futures

Options

TOPIX Options
Equity Options

Futures 10-year JGB Futures
BondOptions

Options on 10-year
JGB Futures

Exercise Volume

Open Interest

313,050
141
01,44040,056
86,062
17,096
January 2005

1

Stock Index Futures, Stock Index Options & Equity Options●TOPIX Futures■Open Interest■Trading Volume（Daily Average）（Trading Volume : thous. units）（Market Share）

100

TOPIX
Nikkei 225※80

TOPIX market share（Open Interest : thous. units）（Market Share）

70％

60％

350

50％

300

Nikkei 225※

60％

250

TOPIX market share

50％

40％

60

TOPIX

200

40％

150

30％

30％
4020％

200

10020％

10％5010％0％088 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04
Year88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04
Year0％※Source: Osaka Securities Exchange Web Site etc.

■Trading Volume by Type of Investor（Stock Index Futures）（Jan. 04〜Dec. 04）●TOPIX Options

Others 0％■Trading Volume（Daily Average）& Open Interest（Trading Volume：units）

Foreigners
38％（Open Interest：thous. units）

10
1000

Trading Volume（Put）

Individuals 0％

8

Trading Volume（Call）

800

2004
(Jan.〜Dec.) Securities Cos.

Business Cos.
0％

Open Interest

52％

6600
400
20008990919293949596 97
Year989900

010203

4

Investment Trusts
2％2Life & Non-Life Ins. Cos.
1％
Trust BK
7％004

●Equity Options■Trading Volume by Type of Investor（Jan. 04〜Dec. 04）■Trading Volume（Daily Average）& Open Interest（Trading Volume：units）

2000（Open Interest：thous. units）

Trading Volume（Call）

1500

Others 6％

120

Trading Volume（Put）

100
Foreigners
23％Open Interest

80
1000

2004
(Jan.〜Dec.)

60
Individuals 8％

40
500

09798

9900

0102

03

Trust BK
18％

Business Cos.
3％

200

Securities Cos.
39％

Investment Trusts
1％04

Year

Life & Non-Life Ins. Cos.
2％

■Trading Volume by Underlying Stock（1.1.04〜12.31.04）
Ranking1234567899

Code/Issues

Trading Volume

Share38,428
7,720
7,360
6,562
6,389
5,917
5,218
4,884
4,230
4,230

22%
4%
4%
4%
4%
3%
3%
3%2%2%

9437 NTT DoCoMo
6902 DENSO
6773 PIONEER
8411 Mizuho FG
8306 Mitsubishi Tokyo FG
3407 ASAHI KASEI
4063 Shin-Etsu Chemical
6758 SONY5411 JFE Holdings
6770 ALPS ELECTRIC■Trading Volume by Individuals (Daily Average)（Trading Volume：units）

250
Trading Volume（Put）

200

Trading Volume（Call）

150
1005009798990001020304

YearJanuary 2005

2JGB Futures & Options on JGB Futures●JGB Futures（10 year）■Trading Volume by Type of Investor（JGB Futures）（Jan. 04〜Dec. 04）■Trading Volume（Daily Average）& Open Interest（Trading Volume：¥100bil.）

100（Open Interest：¥100bil.）

250

Trading Volume（Average）
Open Interest（End of year）

80

200

60

15040100

20500Others 2％

85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04
YearForeigners30％

2004(Jan.〜Dec.)

Securities Cos.
41％

Long-term Credit BK,City BK & Regional BK
27％0●Options on 10-year JGB Futures■HV of JGB Futures & IV of Options on JGB Futures■Trading Volume（Daily Average）& Open Interest（Trading Volume：thous. units）

15％（Open Interest：thous. units）

20

Trading Volume（Put）

HVIV

70

Trading Volume（Call） 60

15Open Interest

10％

50
40

10305％
20

510090919293

9495

9697 98
Year9900

0102

03

040％

093

9495

96

97

98

9900

01020304

Year

Contract Specifications（as of December 31, 2004）
ProductTrading Hours（Auction）

Trading Hours（Off-Auction）

Minimum
Fluctuation

5¥ 380,000

× 1,000

3¥ 27,000

TOPIX Electric Appliances
Index Futures

× 10,000

3¥ 550,0000.1

× 10,000

3¥ 142,000

0.01

× 1,000,000

3¥ 330,0000.01

× 1,000,000

3¥ 800,000

Auction：0.5
Morning Session：9:00〜11:00
Afternoon Session：12:30〜15:10

8:20〜16:00

TOPIX Banks Index Futures
5-year JGB Futures

Morning Session：9:00〜11:00
Afternoon Session：12:30〜15:00

10-year JGB Futures

Evening Session：15:30〜18:00

ProductTrading Hours（Auction）

TOPIX Options
Equity Options
Options on 10-year
JGB Futures

Morning Session：9:00〜11:00
Afternoon Session：12:30〜15:10

9:00〜11:20
12:30〜15:20
15:30〜18:20

Off-Auction：0.1

Minimum Fluctuation

Contract
Trading Unit No. ofMonths
Minimum No. of Exercise Prices

0.5（more than 5 point）
0.1（5 points or less）
determined by that day's minimum
underlying stock price× 10,000

49（ATM±4）minimum
trading unit ofunderlying stock

45（ATM±2）

0.01

× 1,000,000

3〜4Serial Months：11（ATM±5）
Quarterly Months：7（ATM±3）

Morning Session：9:00〜11:00
Afternoon Session：12:30〜15:00
Evening Session：15:30〜18:00

Margin per Unit (¥)（10.15,04 ― 1.17,05）

× 10,000

TOPIX Futures
S&P/TOPIX150 Futures

Contract
Trading Unit No. ofMonths

January 2005

3NewsdateFeb. 2004

Equity Derivatives

Bond Derivatives

Transfer of derivatives clearing functions to the JSCC (Japan Securities Clearing Corporation)
Changed frequency of TOPIX New Index Series Constituent
Review

Mar. 2004 Reached a record high for daily trading volume of TOPIX
futures (403,872 contracts)

Apr. 2004 Delisting of equity option contracts (4 underlying stocks)
due to trading inactivity during fiscal 2003

May. 2004 Annual renewal of position limits for equity options
contracts

Jul. 2004 Introduction of Free Float Adjusted Indices(Effective the end of October, 2005)
Discontinuation of S&P/TOPIX150 Futures(Effective from June 2005 contract)
TOPIX Dissemination Interval Change (planned for April 2005)

Oct. 2004 Expand bid/offer quote information related to TSE
derivatives

Nov. 2004
Dec. 2004

Amendment of rule regarding Trading Participants Fee (Effective from April, 2005)
Reached a record high for daily trading volume of JGB
futures inter-month spread trading(total 56,752 ¥100 mil.)Trading Records
TOPIX Futures

JGB Futures
株 式 派 生(10商 品 year)

2004(Jan.〜Dec.)(Units, point)

DateHistorical(Units, point)2004(Jan.〜Dec.)

Date

Lowest Index

403,872 （03/10/04）
12,950 （08/30/04）
497,075 （06/09/04）
285,918 （12/13/04）
1,220.0 （04/14/04）
1,020.0 （02/04/04）

Limit Up

none

Limit Up

none

Limit Down

none

Limit Down

none

Emergency Margin Depositnone

Emergency Margin Deposit

none

Temporary Trading Halt

none

Highest Daily Trading Volume
Lowest Daily Trading Volume
Highest Open Interest
Lowest Open Interest
Highest Index

403,872 （03/10/04）
0 （01/31/94）
497,075 （06/09/04）
11,183 （12/08/88）
2,956.0 （12/18/89）
766.0 （03/17/03）(¥100 mil., ¥)Highest Daily Trading Volume
Lowest Daily Trading Volume
Highest Open Interest
Lowest Open Interest
Highest Price
Lowest Price

Date

125,939 （06/09/04）
8,607 （12/30/04）
130,395 （06/25/04）
50,908 （01/05/04）
140.45 （02/26/04）
133.09 （06/18/04）

Historical(¥100 mil., ¥)Date154,112 （09/06/89）
510 （10/28/85）
310,415 （02/08/00）
14,585 （12/12/85）
145.28 （06/11/03）
87.08 （09/27/90）＊Figures refer only to days when trading volume is not 0.

No. of Trading Participants: General Trading Participant: 109/ Stock Index Futures Trading
Participant: 1/ JGB Futures Trading Participant: 68/ Equity Options Trading Participant: 0 (as of 31 Dec. 2004)

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http://www.tse.or.jp/english/index.shtml* TSE Futures & Options Club Mailing Servicehttp://www.tse.or.jp/english/option/mlservice/index.html

TOKYO STOCK EXCHANGE, INC.
Derivatives Department

2-1 Nihombashi-Kabuto-cho, Chuo-ku,
Tokyo 103-8220 Japan
Tel:03-3665-1385 Fax:03-3661-9113
derivatives@tse.or.jp

London Representative Office

Tel:+44-20-7236-0885 Fax:+44-20-7489-1273
tse@tseldn.co.uk

New York Representative Office

Tel:+1-212-363-2350 Fax:+1-212-363-2354
contact@tsenyrep.com

Singapore Representative Office

Tel:+65-6438-5100 Fax:+65-6438-5800
sintse@ntti.net.sg

Copyright (c) 2003 Tokyo Stock Exchange, Inc. All rights reserved.
While very effort is taken to ensure the accuracy of the information contained in this publication, Tokyo Stock Exchange, Inc. (TSE) does not guarantee, nor assume
responsibility for any damages caused by any errors or omissions. The descriptions in this publication are only intended as general information, and are not intended asinvestment advice. TSE reserves the right to change the contents of this publications without notice.

January 2005

4