TSE Derivatives Market Highlights
January 1, 2006〜June 30, 2006
Price Movements

2000

Trading Value（¥100 bil.）

TOPIX（points）■ TOPIX and Trading Value of TSE 1st Section（Daily Average）
3530
1500

25201000
15

Trading Value（1st sec）
TOPIX

10500

50
96097

98

9900010203

040506150145140
135130125120115
110
105
10096

10-year JGB Futures
10-year JGB Yield

9798

9900

0102030405

06

10-year JGB Yield（％）

10-year JGB Futures（¥）■ 10-year JGB Futures and 10-year JGB Yield
54.5
4.
3.5
32.5
21.5
10.50※Source：QUICK,Japan Bond Trading Co.,Ltd

Largest Day-to-Day Fluctuations (Jan.~Jun. 2006)
TOPIX Futures

10-year JGB Futures

Change(%)

Price

Date

12Up 345+51.0 （+3.4％）

1534.01696.51589.51614.51548.0（06.16.06）（01.27.06）（06.30.06）（02.21.06）（06.22.06）

12Down 3
45-55.0 （-3.6％）

1479.51705.01573.51464.01620.0（06.08.06）（04.24.06）（01.18.06）（06.13.06）（02.13.06）+49.0 （+3.0％）+44.5 （+2.9％）+40.0 （+2.5％）+39.0 （+2.6％）-54.0 （-3.1％）-53.0 （-3.3％）-46.0 （-3.0％）-41.0 （-2.5％）

1ChangePriceDate

12Up 345+0.74

133.39132.60133.41132.60133.14（05.22.06）（04.28.06）（06.07.06）（04.19.06）（05.01.06）

12
Down 234-0.94

132.72133.15135.82132.84132.80（06.01.06）（03.29.06）（02.10.06）（06.06.06）（04.03.06）

+0.62
+0.57
+0.55
+0.54

-0.84
-0.68
-0.67
-0.66

July 2006

Stock Index Futures■ Trading Volume（Daily Average）（Trading Volume: thous. units）■ Trading Volume（Daily Average・2005〜2006）（Market Share）

140（Trading Volume: thous. units）

70%

14060%

120

10050%

1008040%806030%604020%

402010%2000%
88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06
Year(Jan.〜Jun.)

0Nikkei225※
TOPIX

120

TOPIX market share

Daily Average Trading
Voume(TOPIX)(units)2005：52,188
2006（Jan.〜Jun.）：67,091

TOPIX Off Auction Block Trading
TOPIX Auction Trading

1220053456789101112122006

3456Montｈ■ Open Interest■ Trading Volume of Index Futures in theWorld（2005）（Open Interest: thous. units）

450
Nikkei225※

400TOPIX（Market Share）
Open Interests（ＴＯＰＩＸ）(units)2005：385,914
2006（Jan.〜Jun.）：383,069

TOPIX market share

Products70%

60%

35050%
300
250

40%

20030%

15020%
10010%

50
00%

Exchange

Trading Volume（contracts）

E-mini S&P 500 Futures

CME

207,095,732

S&P500 Futures

CME

15,377,489

E-mini NASDAQ 100 Futures

CME

72,453,141

E-mini Russell Futures

CME

28,902,033

DJ Euro Stoxx 50 Futures

Eurex

139,983,083

DAX Futures

Eurex

32,722,572

FTSE 100 Futures

Euronext LIFFE

21,522,583

CAC40 Futures

Euronext LIFFE

25,011,372

KOSPI 200 Futures

KRX

43,848,706

NIKKEI 225 Futures

OSE

17,909,404

TOPIX Futures

TSE

12,785,962※※Source:FIA88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06
Year(Jan.〜Jun.)※Source:Osaka Securities Exchange Web Site etc.

■ Trading Volume by Type of Investor（Stock Index Futures）（Jan.〜Jun. 2006）
TOPIX
Others 0.7%
Futures

Foreigners
43.4%

Jan.〜Jun.
2006

Nikkei 225 Others 1.1%
Futures

Securities Cos.
48.5%

Foreigners
37.5%

Jan.〜Jun.
2006

Securities Cos.
52.6%

Individuals
0.8%

Investment
Trusts2%

Individuals
6.3%
Business Cos.
0.9%
Investment Trusts
2%

Trust BK 4.3%
Life & Non-Life 0.4%

2

Trust BK 0.5%
Life & Non-Life 0.1%

July 2006

JGB Futures■ Trading Volume（Daily Average）& Open Interest■ Trading Volume（Daily Average）&

Open Interest（2005〜2006）（Trading Volume:￥100 bil.）（Open Interest:￥100 bil.）

100

Daily Average Trading Volume(¥100mil.)
2005：40,182
2006（Jan.〜Jun.）：51,677
Open Inteerests(¥100mil.)
2005：116,664
2006（Jan.〜Jun.）：131,383

Trading Volume(Average)
Open Interest(End of year or month)80（Trading Volume:￥100 bil.）

250（Open Interest:￥100 bil.）

100250
Trading Volume (Average)
Open Interest (End of month)2008020060150601504010040100205020500085 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06
Year(Jan.-Jun.)

0122005

3456789101112122006

34560Month■ Trading Volume of Interest Rate Futures■ Trading Volume by Type of Investor

in the World（2005）
Products（JGB Futures）（Jan.〜Jun. 2006）
Others 1.3%

Trading Volume（contracts）

Exchange

10-Year T-Note Futures

CBOT

215,124,076

5-Year T-Note Futures

CBOT

121,908,830

30-Year T-Bond Futures

CBOT86,926,569

3-Month Eurodoller Futures

CME

410,355,384

Euro-Bund Futures

Eurex

299,287,916

Euro-Bobl Futures

Eurex

158,262,122

Euro-Schatz Futures

Eurex

141,228,207

3-Month Euribor Futures

EURONEXT LIFFE

166,682,115

3-Month Sterling Futures

EURONEXT LIFFE

68,029,052

3-Month Euroyen Futures

TFX

10,977,591

10-Year JGB Futures

TSE

9,844,617

Foreigners
39.4%

Securities Cos.
39.5%

Jan.〜Jun.
2006

Long-term Credit BK,City BK & Regional BK
19.9%※※Source:FIA

Stock Index Options & Equity Options■ TOPIX Options Trading Volume（Daily Average）（Trading Volume: units）■ Equity Options Trading Volume（Daily Average）（Open Interest: thous. units）（Trading Volume: units）

10

2000
Trading Volume(Put)1800

Open Interest

8

Daily Average Trading Volume
2005：82units
2006(Jan.〜Jun.）：72units
Open Iterests
2005：3,550units
2006（Jan.〜Jun）：1,558units

1200

Daily Average Trading Volume
2005：824units
2006（Jan.〜Jun.）：553units
Open Interests
2005：11,906units
2006（Jan.〜Jun.）：11,100units

Trading Volume（Put）

Trading Volume(Call)

1600（Open Interest: thous. units）

2000
Trading Volume（Call）
Open Interest

1600
1400

80

1000
460800
40600
400

100

1200

68001202400202000899091929394959697 98
Year

990001020304005 06(Jan.-Jun)

098

99000102
Year030405006(Jan.-Jun)※Trading Volume in 1989 : PUT 58,842units , CALL 39,231units

3July 2006

Options on JGB Futures■ Trading Volume（Daily Average）& Open Interest■ Trading Volume（Daily Average）&Open Interest（2005〜2006）（Trading Volume: thous. units）（Open Interest: thous. units）

20（Trading Volume: thous. units）

80

80

Trading Volume(Put)Trading Volume(Put)Trading Volume(Call)

Trading Volume(Call)

70

Open Interest

1570

Open Interest

Daily Average Trading Volume
2005：6,935units
2006（Jan.〜Jun.）：8,983units
Open Interests
2005：22,939units
2006（Jan.〜Jun.）:18,815units

10（Open Interest: thous. units）

2060

60

155050404010303020

520510090

91

92

9394

95

96

97

98 99
Year00

01

02

03

04

10005 06
(Jan.-Jun.)

012
2005

345678910

1112122006

34

560Month■ Trading Volume by Type of Investor■ IV・HV（Jan.〜Jun. 2006)
Others 0.4%

15%
IVHV

Securities Cos.
18.0%
10%Jan.〜Jun.
2006

Long-term Credit BK,City BK & Regional BK
14.5%5%Foreigners
67.1%0%96■ Trading Volume by Underlying Stock

9798

99000102Year03040506■ Trading Volume by Type of Investor（Jan.〜Jun. 2006）（Jan.〜Jun. 2006）

Others 2%Ranking

Code/Issues

123456789108411 Mizuho Financial Group,Inc
5802 Sumitomo Electric Industries, Ltd3382 Seven & I Holdings Co., Ltd.
8058 Mitsubishi Corporation
9437 NTT DoCoMo, Inc.
6902 DENSO CORPORATION
7741 HOYA CORPORATION
8604 Nomura Holdings, INC.
6954 FANUC LTD.
4188 Mitsubishi Chemical Holdings Coporation

Trading Volume Share

12,070
7,989
3,515
2,416
1,860
1,697
1,635
1,317
1,256
1,242

Foreigners

5.2%

Individuals 4.7%
Business Cos.
1%

18％
12％
5％
4％
3％
2％
2％
2％
2％
2％

Investment
Trusts0.1%

Jan.〜Jun.
2006

Securities Cos.
49%

Trust BK
38.5%

4July 2006

Trading Data (Jan.~Jun. 2006)（Units：¥100 mil.）Product

Trading Volume

8,252,149
008,816
68,0690
6,356,256
1,104,925

TOPIX Futures
Futures
EquityTOPIX Electric Appliances
Index Futures
TOPIX Banks Index Futures

TOPIX Options
Options
Equity Options
5-year JGB Futures
BondFutures
10-year JGB Futures
Options

Options on 10-year
JGB Futures

ChangeTrading Value

52％-100％0％
26％
-51％
0％
54％
46％

1,344,918

−0−0−

63

16

1113,850

0−8,534,788

−

2,839

53,954

Exercise Volume

Open Interest

383,06900
1,558
11,1000131,383
18,815Contract Specifications (as of June 30,2006)
Trading Hours（Auction）

Product

No. of Contract
MonthsMargin per Unit
（06.4.14〜06.7.13）

× 10,000

5￥ 475,000

× 10,000

3￥ 715,000

0.1

× 10,000

3￥ 212,000

0.01

× 1,000,000

3￥ 390,000

0.01× 1,000,000

3￥ 750,000

Minimum Fluctuation

Trading Unit

No. of Contract
MonthsMinimum No. of Exercise Prices

Trading Hours（Off-Auction）

TOPIX Futures

MinimumFluctuation

Auction：0.5

TOPIX Electric Appliances
Index Futures

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

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

Equity Options
Options on 10-yearJGB Futures

9：00〜11：20
12：30〜15：20
15：30〜18：20

Off-Auction：0.1

Trading Unit

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）
Quartery Months：7（ATM±3）

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

Trading Fees (as of June 30,2006)
Products
JGB Futures

Exchange trading fees
Trade100yen（per contract）
Trade by Exercise of
87.5yen（per contract）
Options on JGB Futures
Physical delivery
15yen（per contract）

Options on JGB
Futures

Regular Trade

Trading value × 0.000075

Stock Index
Futures *Regular Trade

Trading value × 0.0000046

Stock Index
Options

Regular Trade

Trading value × 0.00015

Equity Options

Regular Trade

Trading value × 0.0001***（Reference）Clearing fees of JSCC
Regular Trade
Trade by Exercise of50yen（per contract）
Options on JGB Futures
Physical delivery
135yen（per contract）
Regular Trade
Trading value × 0.00005
12.5yen × Trading volume of JGB
Exercise
Futures by exercise
Regular TradeTrading value × 0.0000014
Trading value for final settlement ×SQ Settlement0.000004
Regular Trade
Trading value × 0.00005
Exercise
Trading value by exercise × 0.0002
Regular Trade
Trading value × 0.00005
Trading value of cash trading by exercise
Exercise **× 0.0000015

TOPIX Futures and TOPIX Sector Index Futures. The trading fee for Stock index Futures traded by March 2006 will be Trading value × 0.0000032, and the trading fee for Stock index
Futures traded by March 2007 will be Trading value × 0.0000038.
Clearing fees for cash trading（trading value of cash trading by exercise × 0.000006）will be required additionally.

（Note1）Trading value of Stock Index Futures: execution price × trading volume × multiplier（10,000yen）
Trading value of Stock Index Options: execution price（i.e. Premium）× trading volume × multiplier（10,000yen）
Trading value of Equity Options:execution price（i.e. Premium）× trading volume × the minimum trading unit of the underlying stock（Note2）TSE rounds up clearing fees schedule based on Clearing fees rule of JSCC.（As of Jun.30, 2006）

5July 2006

NewsdateEquity Derivatives

Bond Derivatives

Jan.-2006

TOPIX Futures trading volume of single contract month(auction) set record high (104,111contracts)

Feb.-2006

Publishing of Free-Float Weight (FFW) use for TOPIX
and its sub-indices

Apr.-2006
May.-2006

Introduction of the "TSE Equity Options Supporters" system
Change of counterneasure against erroenous order
Annual renewal of position limits for equity options
contracts

Jun.-2006

Publishing of Free-Float Weight (FFW) use for TOPIX
and its sub-indices (the Final phase)
Reached a record high for daily trading volume of JGB futures（174,265 ¥100mil.）
New listing of equity options(Yahoo Japan Corporation,Resona Holdings, Inc.,Sumitomo Metal Industries, Ltd.
Nikko Citigroup Limited designated as the First "TSE
Equity Options Supporter"

Trading Records
TOPIX Futures2006（Jan.-Jun.）（Units, point）

Highest Daily Trading Volume
Lowest Daily Trading Volume
Highest Open Interest
Lowest Open Interest
Highest Index
Lowest Index
Limit Up
Limit Down
Emergency Margin Deposit

Temporary Trading Halt

Date

528,563 （03/07/06）
26,954 （03/24/06）
494,887 （03/09/06）
371,154 （03/10/06）
1,784.0 （04/07/06）
1,434.0 （06/14/06）

10-year JGB Futures

Historical（Units, point）

2006（Jan.-Jun.）

Date（¥100 mil.）

559,027 （12/06/05）
0 （01/31/94）
500,760 （12/07/05）
11,183 （12/08/88）
2,956.0 （12/18/89）
766.0 （03/17/03）

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

none
none
（01/18/06）（01/19/06）（06/16/06）
none

Limit Up
Limit Down
Emergency Margin Deposit

Date

174,265 （06/08/06）
21,166 （01/04/06）
175,222 （02/28/06）
117,679 （01/04/06）
138.56 （01/18/06）
131.50 （06/29/06）

Historical（¥100 mil.）Date

174,265 （06/08/06）
510 （10/28/85）
310,415 （02/08/00）
14,585 （12/12/85）
145.28 （06/11/03）
87.08 （09/27/90）

nonenone（01/18/06）（01/19/06）（06/16/06）＊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: 65/
Equity Options Trading Participant: 0 (as of 30 Jun.2006)
Equity Options Supporter : 1(Nikko Citigroup Limited)

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

6July 2006