TSE Derivatives Market Highlights
January 1, 2011〜June 30, 2011
Price Movements

Trading Value（¥100 bil.）

Index（points）■ Indices and Trading Value of TSE 1st Section（Daily Average）
40
2500

Trading Value（1st sec.）
TOPIX
TOPIX Core30
TSE REIT Index

2000

3530
25

1500

20151000

10500

5096

9798

9900

010203040506

0708

01011（Jan.-Jun.）

09

150
145
140
135
130
125120115110
105
10093

10-year JGB Futures
10-year JGB Yield

9495969798

9900

010203040506※Source：QUICK,Japan Bond Trading Co.,Ltd070809101110-year JGB Yield（％）

10-year JGB Futures（¥）■ 10-year JGB Futures and 10-year JGB Yield
54.543.5
32.521.5
10.50（Jan.-Jun.）

Largest Day-to-Day Fluctuations (Jan.~Jun. 2011)
TOPIX Futures

10-year JGB Futures

Change

Price

Date

12Up 335+41.0（+5.0%）

862.5
801.0
821.5
929.0
868.0

（Mar. 22, 2011）（Mar. 16, 2011）（Mar. 18, 2011）（Feb. 02, 2011）（May 02, 2011）

12Down 345-80.0 （-8.8%）

827.0
769.0
956.0
943.5
911.0

（Mar. 14, 2011）（Mar. 15, 2011）（Feb. 22, 2011）（Mar. 02, 2011）（Jan. 21, 2011）+32.0（+4.2%）+16.0（+2.0%）+16.0（+1.8%）+14.5（+1.7%）-58.0 （-7.0%）-19.5 （-2.0%）-19.0 （-2.0%）-17.5 （-1.9%）

1ChangePriceDate

12Up 345+0.72

139.92
139.20140.75141.05139.73（Mar. 14, 2011）（Mar. 11, 2011）（May 06, 2011）（Jun. 02, 2011）（Jan. 20, 2011）12
Down 345-0.79

139.65139.72
139.25138.55139.06（Jan. 06, 2011）（Mar. 16, 2011）（Jan. 19, 2011）（Feb. 16, 2011）（Feb. 04, 2011）

+0.66
+0.65
+0.51
+0.48

-0.56
-0.50-0.43-0.37

July 2011

Index Futures■ Trading Volume of TOPIX Futures（Daily Average）（Trading Volume: thous. contracts）

160
Nikkei225※TOPIX140■ Trading Volume of TOPIX Futures（Daily Average）（Market Share）(Trading Volume: thous. contracts)

140

70%

Daily Average Trading
Volume(TOPIX)
2010：59,354
2011(Jan.-Jun.)：62,364

TOPIX（ToSTNeT）
TOPIX（Auction）

60%

120

50%

100

40%

80

30%

60

20%

40

10%

200%
88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11
Year（Jan.-Jun.）

0TOPIX market share120

100806040200■ Open Interest of TOPIX Futures(Open Interest: thous. contracts)

450
400

TOPIX

456789 10Month1112122011

3456■ Trading Volume of Index Futures in the World(Jan.〜Jun.2011)
Products

70%

60%

TOPIX market share

35050%
300
40%

250
20030%

150
20%
100
10%

Trading Volume(Contracts)

Exchange

E-mini S&P 500 Futures

CME

S&P500 Futures

CME

270,461,007
3,457,655

E-mini Nasdaq 100 Futures

CME

35,523,400

Russell 2000 Mini Index Futures

ICE

18,679,960

DJ Euro Stoxx 50 Futures

Eurex

183,401,694

DAX Futures

Eurex

19,684,503

FTSE 100 Futures

Euronext Liffe

17,875,696

CAC40 Futures

Euronext Liffe

22,410,462

Kospi 200 Futures

KRX

40,739,426

NIKKEI 225 Futures

OSE

10,291,658

TOPIX Futures

TSE

7,546,029※※Source:Websiteof each exchange

5003（Market Share）
Open Interest（ＴＯＰＩＸ）
End of 2010：368,395
End of Jun. 2011：367,113

Nikkei225※

1220100%88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11（Jan.-Jun.）
Year※Source:Osaka Securities Exchange Website etc.

■ Trading Volume by Type of Investors(Jan.〜Jun. 2011)
Others 0.2%

Others 1.0%

TOPIXFutures

Nikkei 225
Futures

Securities Firms
25.5%
Foreign Investors
53.8%

Jan.-Jun.
2011

Securities Firms
38.4%

Foreign Investors
60.2%

Trust Banks
1.8%

Jan.-Jun.
2011

Insurance Firms
0.2%
Individual
Investors
9.0%

Individual Investors
0.4%
Business Firms
0.0%

Investment
Trusts1.2%

Business Firms
1.2%

Trust Banks 5.5%
Insurance Firms 0.6%
Investment Trusts 1.1%

※Total volume of TOPIX Futures and TOPIX Core30 Index Futures

2July 2011

Index Options & Individual Options■ Individual Options Trading Volume（Daily Average）& Open Interest■ TOPIX Options Trading Volume（Daily Average）&Open Interest(Trading Volume: contracts）（Trading Volume: contracts）(Open Interest: thous. contracts）

700

Trading Volume（Put）

18

Trading Volume(Call)

600

Open Interest

400

Trading Volume（Call）

3500

Open Interest

16
3000

Daily Average Trading Volume
2010：490
2011（Jan.-Jun.）：132
Open Interest
End of 2010：9,677
End of Jun. 2011：1,360500（Open Interest: thous. contracts）

4000

20
Trading Volume(Put)300

Daily Average Trading Volume
2010：3,408
2011（Jan.-Jun.）：3,423
Open Interest
End of 2010：299,216
End of Jun. 2011：22,815

250

14200
2500122000

103008150

1500
10062001000
450100500

200089 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11Year（Jan.-Jun.）※Trading Volume in 1989 : PUT 58,842, CALL 39,231※Trading Volume in 1990 : PUT 788, CALL 1,092■ Trading Volume by Underlying Securities（Jan.〜Jun. 2011）

98

9900

0102030405
Year06070801011（Jan.-Jun.）

09■ Trading Volume by Type of Investors(Jan.〜Jun. 2011)
Others 0.5%

Ranking12345678910Code/Issues

Trading VolumeShare8306 Mitsubishi ＵＦＪ Financial Group, Inc. 210,829
8316 Sumitomo Mitsui Financial Group,Inc. 19,452
17,5797267 HONDA MOTOR CO.,LTD.
13,7097751 CANON INC.
13,6554911 Shiseido Company,Limited
10,5487201 NISSAN MOTOR CO.,LTD.
8,493
8604 Nomura Holdings,Inc.
8,388
6301 KOMATSU LTD.
8,267
6758 SONY CORPORATION
6,775
6752 Panasonic Corporation

51%
5%
4%
3%
3%
3%
2%
2%
2%
2%

Individual
Options

Securities Firms
14.0%

Foreign Investors
79.7%

Trust Banks
5.6%
Business Firms
0.0%
IndividualInvestors
0.2%

Jan.-Jun.
2011

JGB Futures■ Trading Volume（Daily Average）& Open Interest(Trading Volume: thous. contracts）■ Trading Volume (Daily Average) & Open Interest(Open Interest: thous. contracts）

100

Daily Average Trading
Volume2010：32,741
2011(Jan.-Jun.)：28,537
Open Interest
End of 2010：49,335
End of Jun. 2011：70,599

Trading Volume
Open Interest80(Trading Volume: thous. contracts）(Open Interest:thous. contracts）

50

250

100
Trading Volume

45200

Open Interest

4080

3560

15040

1003060

254020152050

1020

50085 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11Year（Jan.-Jun.）0■ Trading Volume of Interest Rate Futures in the World (Jan.〜Jun. 2011)
Products

Exchange
CME

162,502,559

5 Year T-Note Futures

CME

89,512,255

30 Year T-Bond Futures

CME

45,765,439

3 Month Eurodollar Futures

CME

314,671,103

Euro-Bund Futures

Eurex

123,087,847

Euro-Bobl Futures

Eurex

78,435,579

Euro-Schatz Futures

Eurex

92,022,512

3 Month Euribor Futures

Euronext Liffe

130,156,043

3 Month Sterling Futures

Euronext Liffe

68,697,659

3 Month Euroyen Futures

TFX

3,694,858

10 Year JGB Futures

TSE

3,452,924

3456

789 10Month1112122011

34560■ Trading Volume by Type of Investors（Jan.〜Jun. 2011）
Others 1.0%

Trading Volume

10 Year T-Note Futures

122010Foreign Investors
37.6%

Jan.-Jun.
2011

Securities Firms
42.7%

Banks
18.7%

※
※Source：Website of each exchage

3July 2011

Options on JGB Futures■ Trading Volume（Daily Average）& Open Interest(Trading Volume: thous. contracts）■ Trading Volume (Daily Average) & Open Interest(Open Interest: thous. contracts）

20(Trading Volume: thous. contracts）

80(Open Interest: thous. contracts）

20

25

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

Trading Volume(Call)

70

Open Interest

15Open Interest

60

Daily Average Trading
Volume2010：8,160
2011(Jan.-Jun.)：6,768
Open Interest
End of 2010：3,779
End of Jun. 2011:12,854

10201550

1540

10103020555100090 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11Year（Jan.-Jun.）0■ HV・IV

1220103456789 10Month1112122011

34560■ Trading Volume by Type of Investors（Jan. 〜Jun. 2011）
Others 0.9%

15%
IVHVSecurities Firms
15.3%10%Foreign Investors
59.1%
5%0%
9697989900

01020304Year0506

070809Jan.-Jun.
2011Bankｓ
24.8%

1011（Jan.-Jun.）

Trading Data (Jan.~Jun. 2011)（Contracts, ¥100mil.）ProductChange

Trading Value

7,546,029

1.1%

657,672−

367,113mini-TOPIX Futures

317,980-52.4%

2,784

−

3,641

TOPIX Core30 Futures

50,009-59.0%

240−

10,000Futures TSE REIT Index Futures

27,328

33.8%

291

−

5,080

TOPIX Electric Appliances
Index Futures

00.0%0−0TOPIX Futures

EquityTrading Volume

Exercise Volume

Open Interest

TOPIX Banks Index
Futures
Nikkei 225 Dividend
Index Futures

0-100.0%0−038,300−

69−

28,980

TOPIX Options

15,974-80.0%

584,086

1,360

414,23642.0%

21

188,041

22,8155-year JGB Futures

00.0%

0−0Futures 10-year JGB Futures

3,452,924-5.6%

4,832,067−70,599

mini-10-year JGB Futures

00.0%

0−0Options on 10-year
JGB Futures

818,964-10.6%

1,589

31,665

12,854

Options

Individual Options

BondOptions

4July 2011

Contract Specifications
ProductTrading Hours（Auction）

Minimum
Fluctuation

Trading Hours（ToSTNeT）

Auction：0.25
ToSTNeT：0.05

mini-TOPIX Futures
TOPIX Futures
TOPIX Core30 Futures
TSE REIT Index Futures

Auction：0.5
ToSTNeT：0.1

9:00〜11:00

8:20〜16:00
TOPIX Electric Appliances 12:30〜15:10
Index Futures
16:30〜19:10

TOPIX Banks Index Futures
Nikkei 225 Dividend
Index Futures
TOPIX Dividend
Index Futures
TOPIX Core30 Dividend
Index Futures
5-year JGB Futures

16:30〜19:00

0.1

0.01

Vendor Codes
Bloomberg
Reuters

No. of Contract
MonthsMargin per Unit (¥)(As of the end of June)

× 1,0003¥ 69,000

TMIA<index>CT0#JTM:

× 10,0005¥ 690,000

TPX<index>CT

0#JTI:

× 1,000

3¥ 38,000

TPCA<index>CT0#JTC:

× 1,0003¥ 76,000

TREA<index>CT0#JRT:

× 10,0003¥ 1,000,000

TKA<index>CT0#JEL:

× 10,000

3¥ 102,000

TZA<index>CT

0#JBK:

×1,0008(*1)¥ 12,500

NKYDIV<Index>CT

0#JND:

×10,0008(*1)¥ 7,000

TPXDIV<Index>CT

0#JTD:

×10,0008(*1)¥ 8,500

TPXC30D<Index>CT

0#JRD:

Trading Unit

0.01

× 1,000,000

3¥ 230,000

JJA<CMDTY>CT

0#JMB:

0.01

× 1,000,000

3¥ 720,000

JBA<CMDTY>CT

0#JGB:

0.005

× 100,0003¥ 72,000

MJBA<CMDT>CT0#JGM:

Minimum
Fluctuation

Trading Unit

No. of ContractMonths

Minimum No. ofExercise Prices

× 10,000813（ATM±6）

TPX<index>GMON

0#JTI*.T

minimum
determinedtrading unit ofby options' price underlying security

45（ATM±2）

company code
<EQUITY>GMON

0#OPT*.T

3〜421（ATM±10）

9:00〜11:00
8:20〜15:10
10-year JGB Futures 12:30〜15:00 15:30〜18:20
15:30〜18:00

mini-10-year JGB Futures(*1) 9 contract months during Jan.-Mar.

ProductTOPIX Options

Trading Hours（Auction）

Trading Hours（ToSTNeT）

9:00〜11:00 8:20〜16:00 Auction:0.5 (more than 20 points)
12:30〜15:10 16:30〜19:10
0.1（20 points or less）
16:30〜19:00
ToSTNeT:0.1

9:00〜11:00
Individual Options 12:30〜15:10

8:20〜16:00

Options on 10-year 9:00〜11:00 8:20〜15:10
12:30〜15：00
JGB Futures
15:30〜18:00 15:30〜18:20

0.01

× 1,000,000

Vendor Codes
Bloomberg
Reuters

JBA<CMDTY>GMON 0#JGB++

Trading Fees (as of June, 2011)
Products
5-& 10-year JGB
Futuresmini-10-year JGB
Futures
Options on JGB
Futures
Index Futures(TOPIX Futures,
TOPIX Sector
Index Futures)

Exchange trading fees
Regular Trade
Trade by Exercise ofOptions on JGB Futures
Physical delivery
Regular Trade

Index Options
Individual Options

Regular Trade
Trade by Exercise ofOptions on JGB Futures
Physical delivery

82yen (per contract)
10yen (per contract)

Regular Trade

20yen (per contract)

Regular Trade

40yen (per contract)

Regular Trade

based on monthly volume
threshold (per contract)0 - 100,000: 55yen
100,001-300,000: 35yen
300,001-: 20yen(Note1)mini-Index Futures(mini-TOPIX Futures,
TOPIX Core30
Regular Trade
Futures, TSE REITIndex Futures)
Dividend Index Futures(Nikkei225 Dividend Index
Futures, TOPIX Dividend Regular Trade
Index Futures, TOPIX Core30
Dividend Index Futures)（reference）Clearing fees of JSCC

95yen (per contract)49yen (per contract)132yen (per contract)5yen (per contract)

Final Settlement

15yen (per contract)

Regular Trade
Exercise

10yen(per contract)
10yen × Trading volume of
JGB Futures by exercise

Regular Trade

20yen (per contract)

SQ Settlement

57yen (per contract)

Regular Trade

2yen (per contract)

SQ Settlement

6yen (per contract)

Regular Trade

10yen (per contract)

SQ Settlement

30yen (per contract)

Regular Trade

10yen (per contract)

Exercise

10yen (per contract)

Regular Trade

10yen (per contract)

Exercise(Note4)

10yen (per contract)7yen (per contract)7yen (per contract)(Note2)

Regular Trade

40yen (per contract)

Regular Tradeno charge (for the auctionmarket)(Note3)(Note1)The discount rate applies to the amount exceeding the threshold.
(Note2)
Discounted from 40 JPY per contract until further notice.
(Note3)
Discounted from 40 JPY per contract until further notice. For trading in the ToSTNeT market, the trading fee (40 yen per contract) will still apply as specified by
the current rules.
(Note4)
Clearing fees for cash trading (trading value of cash trading by exercise × 0.000004) will be required additionally.
(Note5)
TSE rounds up clearing fees schedule based on Clearing fees rule of JSCC. (As of Jun. 2011)(Note6)
Give-up fees (5yen per contract) will be required for Clearing Broker.

5July 2011

NewsDate

Events and Rule amendments
Revision of tick size for Dividend Index Futures

Jan. 2011

Nikkei Stock Average Dividend Point Index Futures : 0.5JPY ⇒ 0.1JPYTOPIX Dividend Index Futures : 0.05point ⇒ 0.01point
TOPIX Core30 Dividend Index Futures : 0.05point ⇒ 0.01point
Revision of Contract Specification on Options on JGB Futures<Initial strike price on Options on JGB Futures>

May 2011

21 strikes, 0.5 yen intervals will be set on the first trading day regarding quarterly month contracts.
<Additional strike price on Options on JGB Futures>
10 strikes nearest to ATM will be set in 0.5 yen intervals, depending on the fluctuation of the underlying.
18 new names to be listed on the single stock options market

Rule amendments in the futureSep. 2011 Position transfer scheme will be introduced to JGB futures currently traded on NYSE Liffe.
Futures trading platform will be migrated into the exisitng options trading system based on LIFFE CONNECT R .

Nov. 2011

Revision of trading hours
Introduce the Market Making scheme for Futures products
Reducing the Minimum Tick Size for Single Stock Options

Trading RecordsTOPIX Futures
2011 (Jan.-Jun.)（Contracts, points） Date

Highest Daily Trading Volume
Lowest Daily Trading Volume
Highest Open Interest
Lowest Open Interest
Highest Index
Lowest Index
Upper Limit
Lower Limit
Emergency Margin Deposit
Temporary Trading Halt

10-year JGB Futures

Historical2011 (Jan.-Jun.)（Contracts, points） Date

（Contracts, ¥）519,890（Jun. 7, 2011） 559,027（Dec. 6, 2005） Highest Daily Trading Volume
19,862（Apr. 25, 2011）
0（Jan. 31, 1994） Lowest Daily Trading Volume494,691（Mar. 10, 2011） 615,314（Mar. 13, 2008） Highest Open Interest
361,726（Jun. 10, 2011） 11,183（Dec. 8, 1988） Lowest Open Interest
976.5（Feb. 17・18, 2011） 2,956.0（Dec. 18, 1989） Highest Index
691.5（Mar. 15, 2011）
687.0（Mar. 13, 2009） Lowest Index
Upper Limit
Lower Limit
Emergency Margin Deposit

Mar. 14, Mar. 15, Mar. 16,
Mar. 22Mar. 14, Mar. 15

Temporary Trading Halt

DateHistorical（Contracts, ¥）Date

93,214（Mar. 8, 2011） 211,110（Jun. 7, 2007）
11,502（Mar. 28, 2011）
510（Oct. 28, 1985）
84,944（Jun. 2, 2011） 310,415（Feb. 8, 2000）
46,420（Mar. 17, 2011） 14,585（Dec. 12, 1985）
141.63（Jun. 28・29, 2011） 145.28（Jun. 11, 2003）
138.32（Feb. 9, 2011）87.08（Sep. 27, 1990）
Mar. 14, Mar. 15, Mar. 16,
Mar.22Mar. 14, Mar. 15＊Figures refer only to days when trading volume is not 0.

No. of Trading Participants: General Trading Participant: 102/ Index Futures Trading Participant: 0/ JGB Futures Trading Participant: 41/

Individual Options Trading Participant: 0 (as of Jun. 30, 2011)
Number of Market Makers: Options on JGB futures：9, Index options：2, Individual equity options：5(as of Jun. 30, 2011)

Bloomberg TSE page code:TSEJ <GO>
●Trading Calendar：
http://www.tse.or.jp/english/rules/derivatives/calendar/index.html●Daily Report：
http://www.tse.or.jp/english/market/data/daily/index.html●Tdex Square：
http://www.tse.or.jp/english/rules/derivatives/tdex̲sq/index.html

TOKYO STOCK EXCHANGE, INC.
Derivatives Department

New York Representative OfficeLondon Representative Office

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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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Copyright (c) 2011 Tokyo Stock Exchange, Inc. All rights reserved.
・The description in this publication are intended solely for the purpose of providing information on futures and options. Losses may be incurred due to fluctuation of prices, etc. offutures/options, and the entire deposited margin or a portion of such may be lost. Losses may also exceed deposited margin. When trading futures and options, investors must
carefully review the documents provided by their financial services provider before contract signing, and must trade on their own responsibility based on their own judgment only
after fully understanding the product qualities, the trading mechanism, relevant fees, the risk involved, etc. 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.
・TSE reserves the right to change the contents of this publications without notice.

6July 2011