TSE Derivatives Market Highlights
January 1, 2012-June 30, 2012
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

35
30
25

1500

20
15

1000

10500
093

594

95

96

9798

99000102 03
Year040506070809

100
11 12（Jan.-Jun.）

150
145
140
135
130
125
120
115
110
105
100
93

10-year JGB Futures
10-year JGB Yield

9495969798

990001※Source：QUICK,Japan Bond Trading Co.,Ltd0203Year

0405060708091010-year JGB Yield（％）

10-year JGB Futures（¥）■ 10-year JGB Futures and 10-year JGB Yield
54.5
43.5
32.521.5
10.5
0

11 12（Jan.-Jun.）

Largest Day-to-Day Fluctuations (Jan.-Jun. 2012)
TOPIX Futures

10-year JGB Futures

ChangePriceDate

12Up 3
4
4+19.5（+2.3%）

864.5
819.5
740.5
802.5
853.0

（Mar. 27, 2012）（Apr. 18, 2012）（Jun. 18, 2012）（Feb. 15, 2012）（Mar. 14, 2012）12
Down 345-20.5 （-2.6%）

771.0
725.0
836.0
789.0
735.0

（May 07, 2012）（May 18, 2012）（Apr. 04, 2012）（May 01, 2012）（May 16, 2012）+17.0（+2.1%）+16.0（+2.2%）+15.5（+2.0%）+15.5（+1.9%）-20.0 （-2.7%）-15.0 （-1.8%）-13.5 （-1.7%）-13.0 （-1.7%）

1ChangePriceDate

12
Up 3
4
5+0.31142.50142.04143.28142.32143.41（Jan. 26, 2012）（Apr. 06, 2012）（May 07, 2012）（Apr. 09, 2012）（May 29, 2012）

1
2
Down 345-0.85

141.08141.93143.41141.74143.20（Mar. 15, 2012）（Mar. 14, 2012）（Jun. 05, 2012）（Apr. 02, 2012）（May 21, 2012）

+0.30
+0.30
+0.28
+0.28

-0.54
-0.38
-0.27
-0.25

July 2012Index Futures■ Trading Volume of TOPIX Futures（Daily Average）（Trading Volume: thous. contracts）

150
Nikkei225※TOPIX■ Trading Volume of TOPIX Futures（Daily Average）（Market Share）(Trading Volume: thous. contracts)

140

70%

Daily Average Trading
Volume(TOPIX)
2011：59,625
2012(Jan.-Jun.)：62,493

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 12Year（Jan.-Jun.）

0TOPIX market share1209060300■ Open Interest of TOPIX Futures(Open Interest: thous. contracts)

450
400

TOPIX456789 10Month1112122012

3456■ Trading Volume of Index Futures in the World(Jan.-Jun.2012)
Products

70%

60%

TOPIX market share

350
50%
300
40%

250
200

30%

150
20%
100
10%

Exchange

Trading Volume(Contracts)

E-mini S&P 500 Futures

CME

S&P500 Futures

CME

249,730,377
2,617,166

E-mini NASDAQ 100 Futures

CME

32,150,601

Russell 2000 Mini Index Futures

ICE

18,540,083

DJ Euro Stoxx 50 Futures

Eurex

175,401,268

DAX Futures

Eurex

20,835,534FTSE 100 Futures

Euronext Liffe

17,764,333

CAC40 Futures

Euronext Liffe

20,212,097

Kospi 200 Futures

KRX

32,006,257

NIKKEI 225 Futures

OSE

10,075,889

TOPIX Futures

TSE

7,686,670※※Source:Websiteof each exchange

5003（Market Share）
Open Interest（ＴＯＰＩＸ）
End of 2011：366,543
End of Jun. 2012：383,541

Nikkei225※

12
2011

0%
88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12（Jan.-Jun.）
Year※Source:Osaka Securities Exchange Website■ Trading Volume by Type of Investors(Jan.-Jun. 2012)
Others 0.3%Others 1.5%

TOPIXFutures

Nikkei 225
Futures
Securities Firms
20.7%

Foreign Investors
58.2%

Jan.-Jun.
2012

Securities Firms
32.4%

Foreign Investors
62.4%

Jan.-Jun.
2012

Trust Banks
1.8%
Insurance Firms
0.1%

Individual
Investors
10.7%

Investment
Trusts
1.6%

Business Firms
1.3%

Individual
Investors
0.5%

Trust Banks 6.5%
Insurance Firms 0.9%
Business Firms
0.0%

Investment Trusts 1.2%

※Total volume of TOPIX Futures and TOPIX Core30 Index Futures

2July 2012

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

700
Trading Volume(Put)Trading Volume(Call)600（Trading Volume: contracts）(Open Interest: thous. contracts）

Open Interest

500（Open Interest: thous. contracts）

4000

20

Daily Average Trading
Volume2011：87
2012(Jan.-Jun.)：65
Open Interest
End of 2011：2,704
End of Jun.2012：2,038

Trading Volume（Put）

18

Trading Volume（Call）

3500

Open Interest

16
3000

300

Daily Average Trading Volume
2011：2,454
2012(Jan.-Jun.)：1,792
Open Interest
End of 2011：30,565
End of Jun.2012：84,053

250

14200
2500

12400

2000

103008150

1500
100

62001000
450100500

2098

9900010203040506
Year

07080910001112（Jan.-Jun.）■ Trading Volume by Underlying Securities（Jan.-Jun. 2012）

98

9900

0102

03

040506
Year

07090801112（Jan.-Jun.）

10■ Trading Volume by Type of Investors(Jan.-Jun. 2012)
Others 0.9%

Ranking

Code/Issues

Trading VolumeShare

30,075
17,122
15,32011,670
9,641
7,968
7,955
7,417
7,400
7,225

13.6%
7.8%
7.0%
5.3%
4.4%
3.6%
3.6%
3.4%
3.4%
3.3%

3269Advance Residence Investment Corporation
8306Mitsubishi UFJ Financial Group, Inc.
7203TOYOTA MOTOR CORPORATION
8604Nomura Holdings, Inc.
6752Panasonic Corporation
8053Sumitomo Corporation
1330Nikko Exchange Traded Index Fund 225
8031MITSUI & CO.,LTD.
8001ITOCHU Corporation
7751CANON INC.

123
4
5
678
9
10

Individual
Options
Securities Firms
30.1%
Foreign Investors
50.7%

Jan.-Jun.
2012

Trust Banks
13.2%
Individual
Investors
2.3%

Business Firms
2.8%

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
Volume2011：28,095
2012(Jan.-Jun.)：36,778
Open Interest
End of 2011：71,439
End of Jun. 2012：79,421

Trading Volume
Open Interest

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

50

250

120
Trading Volume

45200

Open Interest

100403560

150

40

100

80

30
2560

2040

15201050

20

500085 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 11 12Year（Jan.-Jun.）■ Trading Volume of Interest Rate Futures in the World (Jan.-Jun. 2012)
Products

Exchange
CME147,070,139

5 Year T-Note Futures

CME

70,248,450

30 Year T-Bond Futures

CME

48,379,074

3 Month Eurodollar Futures

CME

238,019,219

Euro-Bund Futures

Eurex

98,499,621

Euro-Bobl Futures

Eurex

56,764,588

Euro-Schatz Futures

Eurex

52,941,880

3 Month Euribor Futures

Euronext Liffe

90,041,253

3 Month Sterling Futures

Euronext Liffe

62,819,062

3 Month Euroyen Futures

TFX

2,191,147

10 Year JGB Futures

TSE

4,523,658

34

5678

9 10Month1112122012

34560■ Trading Volume by Type of Investors（Jan.-Jun. 2012）
Others 0.9%

Trading Volume

10 Year T-Note Futures

12
2011

Foreign Investors
39.4%

Jan.-Jun.
2012

Securities Firms
42.4%

Banks
17.3%

※
※Source：Website of each exchange

3July 2012

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

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

70

Daily Average Trading Volume
2011：7,566
2012(Jan.-Jun.)：10,906
Open Interest
End of 2011：12,455
End of Jun.2012:15,112(Open Interest: thous. contracts）

1645

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

Trading Volume(Call)

1460

Open Interest

40Open Interest

35

1250
1030
10402582030
6155204100

102090 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12Year（Jan.-Jun.）0■ HV・IV

51220113456789 10Month1112122012

34560■ Trading Volume by Type of Investors（Jan.-Jun. 2012）
Others 0.5%

15%
IVHV

Securities Firms
17.4%

10%

Foreign Investors
55.4%
5%

0%
9697989900

01020304 05
Year06070809

10Jan.-Jun.
2012

Bankｓ
26.7%

11 12（Jan.-Jun.）

Trading Data (Jan.-Jun. 2012)（Contracts, ¥100million）

Products

Trading Volume

ChangeTrading Value

7,686,670+1.9%

597,752−

383,541

mini-TOPIX Futures

979,114+207.9%

7,678

−

6,636

TOPIX Core30 Futures

4,310-91.4%

17−

1,270

Futures TSE REIT Index Futures

27,690

+1.3%

252

−

3,491

TOPIX Electric Appliances
Index Futures

0−0−

03,500−39−

08,400-78.1%

15−

31,831

7,985-50.0%

19497

2,038

220,393-46.8%

1234,984

84,0535-year JGB Futures

0−0−0Futures 10-year JGB Futures

4,523,658+31.0%

6,458,298−

79,421mini-10-year JGB Futures

27,727−3,951−150

Options on 10-year
JGB Futures

1,341,382+63.8%

1,984

59,064

15,112

TOPIX Futures

EquityTOPIX Banks Index
Futures
Nikkei 225 Dividend
Index Futures
TOPIX Options

Exercise Volume

Open Interest

Options

Individual Options

BondOptions

4July 2012

Contract Specifications
Products

Trading Hours（Auction）

Trading Hours（ToSTNeT）

Margin per Unit (¥)(As of June 30)

× 1,0003¥ 21,000

TMIA<index>CT0#JTM:

× 10,000

5¥ 210,000

TPA<index>CT

0#JTI:

× 1,000

3¥ 12,000

TPCA<index>CT0#JTC:

× 1,000

3¥ 21,500

TREA<index>CT0#JRT:

× 10,000

3¥ 320,000

TKA<index>CT

0#JEL:

× 10,000

3¥ 42,000

TZA<index>CT

0#JBK:

× 1,0008(*1)¥ 4,500

NKYDIV<Index>CT

0#JND:

× 10,0008(*1)¥ 3,000

TPXDIV<Index>CT

0#JTD:

× 10,0008(*1)¥ 2,500

TPXC30D<Index>CT0#JRD:

0.01

× 1,000,000

3¥ 90,000JJA<CMDTY>CT

0#JMB:

0.01

× 1,000,000

3¥ 540,000

JBA<CMDTY>CT

0#JGB:0.005

× 100,000

3¥ 54,000

MJBA<CMDT>CT0#JGM:

Minimum
Fluctuation

Trading Unit

No. of Contract
MonthsMinimum 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）

Trading Unit

Auction：0.25
ToSTNeT：0.05

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

Auction：0.5
ToSTNeT：0.1

9:00〜11:35

8:20〜16:00
TOPIX Electric Appliances 11:45〜15:15
Index Futures
16:20〜23:30

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

16:30〜23:30

0.1

0.01

8:45〜11:02
8:20〜15:15
10-year JGB Futures 12:30〜15:02 15:25〜23:30
15:30〜23:30

mini-10-year JGB Futures

Vendor Codes
Bloomberg
Reuters

No. of Contract
MonthsMinimum
Fluctuation(*1) 9 contract months during Jan.-Mar.

Products

TOPIX Options

Trading Hours（Auction）

Trading Hours（ToSTNeT）

9:00〜11:30 8:20〜16:00 Auction:0.5 (more than 20 points)
0.1（20 points or less）
11:45〜15:10 16:20〜23:30
16:30〜23:25
ToSTNeT:0.1

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

8:20〜16:00

Options on 10-year 8:45〜11:00 8:20〜15:15
12:30〜15:00
JGB Futures
15:30〜23:25 15:25〜23:30

0.01

× 1,000,000

Vendor Codes
Bloomberg
Reuters

JBA<CMDTY>GMON 0#JGB++

Trading Fees (as of June 30, 2012)
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 of
Options on JGB Futures
Physical delivery
Regular Trade

Index Options
Individual Options

10yen (per contract)

Regular Trade

based on monthly volume
threshold (per contract)0 - 100,000: 55yen
100,001-300,000: 35yen
300,001-: 20yen

Regular Trade

Regular Trade

20yen (per contract)40yen (per contract)

Regular Trade

Regular Trade
Trade by Exercise ofOptions on JGB Futures
Physical delivery

82yen (per contract)

Regular Trademini-Index Futures(mini-TOPIX Futures,
TOPIX Core30
Regular Trade
Futures, TSE REIT
Index Futures)
Dividend Index Futures(Nikkei225 Dividend IndexFutures, 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(Note2)

10yen (per contract)7yen (per contract)7yen (per contract)(Note1)40yen (per contract)40yen (per contract)(Note1)
Discounted from 40 yen per contract until further notice.
(Note2)
Clearing fees for cash trading (trading value of cash trading by exercise × 0.000004) will be required additionally.
(Note3)Give-up fees (5yen per contract) will be required for Clearing Broker.
(Note4)Since 18 October 2010, TSE has set the transfer fee to 5 yen per contract for the position transfers of TOPIX futures trading from NYSE Liffe to TSE.
(Note5)Since 26 September 2011, TSE has set the transfer fee to 5 yen per contract for the position transfers of 10-year JGB futures trading from NYSE Liffe to TSE.
(Note6)
TSE rounds up clearing fees schedule based on Clearing fees rule of JSCC. (As of Jun. 2012)

5

July 2012

NewsDate

Events and Rule amendments
Partial Revisions to the Regulations in connection with Shortening of Settlement Cycle for Government Bond Trading(Effective onApril 23, 2012)

Apr. 2012

Regular transactions in Japanese government bonds will be settled on T+2, which is the third day counting from the day of thetransaction.
The trading volume of mini-TOPIX index futures reached a record high of 21,064 contracts(April 27, 2012).

Jun. 2012

Individual Options auction trading hits a record high of 6,372 contracts after the go-live of Tdex+(June 19, 2012).

Partial Revisions to the Regulations Coinciding with Revision to Criteria for Triggering Circuit Breaker(Effective on July 1, 2012)

Jul. 2012

JGB Futures on NYSE Liffe to Celebrate its 25th year anniversary(July 13, 2012)
TOPIX Futures trading on NYSE Liffe will be extended to cover Asian hours(July 30, 2012).
The extended trading hours will be from 1AM to 9PM London time.

Trading Records
TOPIX Futures2012 (Jan.-Jun.)（Contracts, points） Date

10-year JGB Futures

Historical2012 (Jan.-Jun.)（Contracts, points） Date

Highest Daily Trading Volume 615,859（Mar. 06, 2012）
Lowest Daily Trading Volume
21,989（Jan. 11, 2012）
Highest Open Interest
540,995（Jun. 07, 2012）
Lowest Open Interest
372,658（Jan. 04, 2012）
Highest Index
867.0（Mar. 28, 2012）
Lowest Index
691.5（Jun. 04, 2012）
Upper Limit
none
Lower Limit
none
Emergency Margin Deposit （May 18, 2012）Temporary Trading Haltnone（Contracts, ¥）Date

Historical（Contracts, ¥）Date

615,859（Mar. 06, 2012） Highest Daily Trading Volume 135,800（Jun. 07, 2012） 211,110（Jun. 07, 2007）
0（Jan. 31, 1994） Lowest Daily Trading Volume 12,991（Jan. 10, 2012）
510（Oct. 28, 1985）
615,314（Mar. 13, 2008） Highest Open Interest
111,370（May 31, 2012） 310,415（Feb. 08, 2000）
11,183（Dec. 08, 1988） Lowest Open Interest
72,698（Jan. 04, 2012） 14,585（Dec. 12, 1985）
2,956.0（Dec. 18, 1989） Highest Index
144.21（Jun. 04, 2012） 145.28（Jun. 11, 2003）
687.0（Mar. 13, 2009） Lowest Index
140.99（Mar. 16, 2012）87.08（Sep. 27, 1990）
Upper Limit
none
Lower Limit
none
Emergency Margin Deposit （May 18, 2012）
Temporary Trading Halt
none
＊Figures refer only to days when trading volume is not 0.

No. of Trading Participants: General Trading Participant: 94/ Index Futures Trading Participant: 0/ JGB Futures Trading Participant: 34/
Individual Options Trading Participant: 0 (as of Ｊｕｎ. 30, 2012)
Number of Market Makers: Options on 10-year JGB futures：9, TOPIX Options：2, Individual Options：5
mini-10-year JGB Futures (PMM：11, LP：15), mini-TOPIX Futures (PMM：20, LP：15),
TOPIX Core30 Futures (PMM：3), TSE REIT Index Futures (PMM：2)
TOPIX Secter Index Futures (PMM：2), Dividend Index Futures (PMM：3) (as of Ｊｕｎ. 30, 2012)

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

Singapore Representative Office

2-1 Nihombashi-Kabuto-cho, Chuo-ku,
Tokyo 103-8220 Japan
Tel:+81-50-3377-7629 Fax:03-3661-9113
tdex-biz@tse.or.jp
Tel:+44-(0)-20-7329-2155 Fax:+44-(0)-20-7236-0252
tse@tseldn.co.uk

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

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sintse@ntti.net.sg

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Tel : +86-10-8517-1128 Fax : +86-10-8517-1138
tsebjrep@tsebjrep.com.cn
Copyright (c) 2012 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 2012