TSE Derivatives Market Highlights
January 1, 2005〜June 30, 2005

Price Movements

1501600
1400

1401200
1000

1308001206004001105.04.03.02.01.0

10-year JGB Yield(%)※

1800
TOPIX Futures(points)

160

JGB Futures
10-year JGB Yield
TOPIX Futures

10-year JGB Futures(￥)

2000

2000100
9394

959697989900

010203Year040.005※Source: Quick,Japan Bond Trading Co.,Ltd.

Largest Day-to-Day Fluctuations（1.1.05〜6.30.05）
TOPIX Futures

UpDown10-year JGB Futures

Change (%)

Price12345+23.5（+2.1%）

1129.0 （05.19.05）
1122.5 （04.19.05）
1148.0 （05.06.05）
1180.5 （03.31.05）
1174.0 （06.17.05）

12
34
5

-44.0（-3.8%）+19.5（+1.8%）+17.0（+1.5%）+16.0（+1.4%）+14.5（+1.3%）-21.5（-1.8%）-20.0（-1.7%）-13.5（-1.2%）-11.5（-1.0%）

Date1103.0 （04.18.05）
1171.0 （03.29.05）
1147.0 （04.15.05）
1107.5 （05.17.05）
1121.0 （05.16.05）

Change

Up

Down

12
345

+0.57

12
345

-0.59

+0.51
+0.43
+0.36
+0.35

-0.58
-0.51
-0.45
-0.31

Price

Date

140.63 （06.23.05）
138.48 （03.17.05）
138.85 （01.04.05）
140.54 （05.24.05）
137.90 （03.15.05）
140.24 （05.09.05）
139.93 （06.16.05）
138.96 （02.09.05）
138.19 （02.28.05）
139.18 （04.05.05）

Trading Data（1.1.05〜6.30.05）（Units, ¥100 mil.）Futures
EquityProduct

Trading Volume

ChangeTrading Value

TOPIX Futures

5,424,255
1400
6,980
139,448
4,130,387
755,172

-3%
-68%
-100%
-31%
41%
0%
19%

629,826

―

22―

0―

410

30

3,773

5,762,482

―

1,455

50,421

TOPIX Electric Appliances
Index Futures
TOPIX Banks Index Futures

Options

TOPIX OptionsEquity Options

Futures 10-year JGB Futures
BondOptions

Options on 10-year
JGB Futures−1−Exercise Volume

Open Interest

330,860
002,300
10,38896,522
36,044
July 2005

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

100

TOPIX
Nikkei 225※80

TOPIX market share（Market Share）

70％

60％

350

50％

300

Nikkei 225※

60％

250

TOPIX market share

50％

40％

60

TOPIX

200

40％

150

30％

30％
4020％

20010020％

10％5010％0％088 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05
Year88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05
Year0％※Source: Osaka Securities Exchange Web Site etc.

●TOPIX Options■Trading Volume by Type of Investor（Stock Index Futures）（Jan. 05〜Jun. 05）■Trading Volume（Daily Average）& Open Interest（Trading Volume：units）

Others 0％（Open Interest：thous. units）

Foreigners
40％

102000
Trading Volume（Put）

1600

8

Trading Volume（Call）

Individuals 0％

61200
800

4400

202005(Jan.〜Jun.) Securities Cos.

Business Cos.
0％

Open Interest50％Investment Trusts
2％Life & Non-Life Ins. Cos.
1％
Trust BK7％

089 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05
Year※Trading Volume in 1989 : Put 58,842units , Call 39,231units●Equity Options■Trading Volume by Type of Investor（Jan. 05〜Jun. 05）■Trading Volume（Daily Average）& Open Interest（Trading Volume：units）（Open Interest：thous. units）

2000

Trading Volume（Call）

1500

Individuals 5％

100

Business Cos.
1％

Open Interest

80
1000

Others 2％

Foreigners 3％

120

Trading Volume（Put）

60

Investment Trusts
0％40Life & Non-Life Ins. Cos.
0％

500

2005
(Jan.〜Jun.)

Securities Cos.
49％

Trust BK
40％

20009899000102030405

Year■Trading Volume by Underlying Stock（1.1.05〜6.30.05）
Ranking12345678910Code/Issues

Trading Volume

Share17,34013,52012,15010,270
6,899
6,340
4,673
4,526
4,508
4,374

12%
10%
9%
7%
5%5%3%
3%3%
3%6902 DENSO
6758 SONY
6770 ALPS ELECTRIC
6773 PIONEER
6971 KYOCERA
6752 Matsushita Electric
6501 Hitachi
4063 Shin-Etsu Chemical
6503 Mitsubishi Electric
8306 Mitsubishi Tokyo FG■Trading Volume by Individuals (Daily Average)（Trading Volume：units）

250
Trading Volume（Put）

200

Trading Volume（Call）

150
100500−2−9798990001Year02030405

July 2005

JGB Futures & Options on JGB Futures●JGB Futures（10 year）■Trading Volume by Type of Investor（JGB Futures）（Jan. 05〜Jun. 05）■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

150

40100

20500

Others 1％

85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05
YearForeigners
35％2005(Jan.〜Jun.)

Securities Cos.
41％

Long-term Credit BK,City BK & Regional BK
23％

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）

HVIV70

Trading Volume（Call） 60

15Open Interest

10％50
40

10305％
20510090

91

92

93

9495

96

97 98
Year

9900

0102030405

0％096

9798

9900

0102030405

Year

Contract Specifications（as of June 30, 2005）
ProductTrading Hours（Auction）

Trading Hours（Off-Auction）

TOPIX Futures
TOPIX Electric Appliances
Index Futures

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

8:20〜16:00

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

Contract
Trading Unit No. ofMonths

5¥ 200,000

× 10,000

3¥ 320,000

0.1

× 10,000

3¥ 77,000

0.01

× 1,000,000

3¥ 180,000

0.01

× 1,000,000

3¥ 640,000

Off-Auction：0.1

Minimum Fluctuation

Contract
Trading Unit No. ofMonths
Minimum No. of Exercise Prices0.5（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

Margin per Unit (¥)（4.14,05 ― 7.13,05）

× 10,000

Auction：0.5

TOPIX Banks Index Futures
5-year JGB Futures

Minimum
Fluctuation

Evening Session：15:30〜18:00−3−July 2005

News
dateEquity Derivatives

Bond Derivatives

Amendment of rule regarding Trading Participants FeeApr. 2005

Change of TOPIX methodology for Stock-Swap and otherrevisionsIntroduction of the liquidity factor for calculating the Free
Float Adjusted Indices
Delisting of equity options contracts (1 underlying stocks)
due to trading inactivity during fiscal 2004
Change of the dissemination interval of TOPIX and its subindices from 1minute to every 15 seconds
Launch of free float adjusted provisional TOPIX and otherindicesMay. 2005 Annual renewal of position limits for equity options
contracts

Jun. 2005

Reached a record high for daily trading volume of JGB
futures inter-month spread trading(total 94,562¥100 mil.)Trading Records
TOPIX Futures

JGB Futures
株 式 派 生(10商 品 year)

2005(Jan.〜Jun.)(Units, point)

Date

Historical(Units, point)

2005(Jan.〜Jun.)

Date(¥100 mil., ¥)Lowest Index

401,992 （03/08/05）
15,788 （06/14/05）
433,158 （03/10/05）
307,318 （06/10/05）
1,202.5 （03/09/05）
1,101.5 （04/21/05）

Limit Upnone

Limit Upnone

Limit DownnoneLimit Down

none

Emergency Margin Deposit

04/18/05

Emergency Margin Deposit

04/18/05

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）

Highest Daily Trading Volume
Lowest Daily Trading Volume
Highest Open Interest
Lowest Open Interest
Highest Price
Lowest PriceDate

131,131 （06/07/05）
13,416 （03/28/05）
110,590 （04/28/05）
70,208 （03/11/05）
141.32 （06/08/05）
137.43 （03/14/05）

Historical(¥100 mil., ¥)Date

154,112 （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: 108/ Stock Index Futures Trading Participant: 1/ JGB Futures Trading Participant: 67/
Equity Options Trading Participant: 0 (as of 30 Jun. 2005)

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TOKYO STOCK EXCHANGE, INC.
Derivatives Department

New York Representative OfficeLondon Representative Office

Singapore Representative Office

2-1 Nihombashi-Kabuto-cho, Chuo-ku,Tokyo 103-8220 Japan
Tel:03-3665-1385 Fax:03-3661-9113
derivatives@tse.or.jp
Tel:+44-20-7236-0885 Fax:+44-20-7489-1273
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Tel:+1-212-363-2350 Fax:+1-212-363-2354
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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 as
investment advice. TSE reserves the right to change the contents of this publications without notice.

−4−

July 2005