TSE Derivatives Market Highlights
January 1, 2006〜December 31, 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

10

500

5096

097

98

9900010203040506

150
145
140135130125120115
110
105
10093

10-year JGB Futures
10-year JGB Yield

9495

96

97

98

9900

010203

04

05

06

54.5
4.
3.5
32.5
2
1.5
10.5
0

10-year JGB Yield（％）

10-year JGB Futures（¥）■ 10-year JGB Futures and 10-year JGB Yield※Source：QUICK,Japan Bond Trading Co.,Ltd

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

10-year JGB Futures

Change(%)

PriceDate12Up 3
45+51.0（+3.4%）

1534.01696.51529.51589.51614.5（06.16.06）（01.27.06）（07.20.06）（06.30.06）（02.21.06）

12
Down 344-55.0 （-3.6%）

1479.51705.01573.51464.01472.0（06.08.06）（04.24.06）（01.18.06）（06.13.06）（07.18.06）+49.0（+3.0%）+48.0（+3.2%）+44.5（+2.9%）+40.0（+2.5%）-54.0 （-3.1%）-53.0 （-3.3%）-46.0 （-3.1%）-46.0 （-3.0%）

1ChangePrice

Date

12Up 34
5+0.99134.18133.39134.55132.45132.60（08.25.06）（05.22.06）（09.11.06）（07.14.06）（04.28.06）

12
Down 33
5-0.94132.72133.15135.82134.32132.84（06.01.06）（03.29.06）（02.10.06）（12.27.06）（06.06.06）

+0.74
+0.71
+0.68
+0.62

-0.84
-0.68
-0.68
-0.67

January 2007

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

140
Nikkei225※
TOPIX

120

（Trading Volume: thous. units）

140

70%

Daily Average Trading
Voume(TOPIX)(units)2005：52,188
2006：60,112

TOPIX Off Auction Block Trading

60%

120

10050%

1008040%806030%60

4020%

402010%200%00

TOPIX market share

88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06
Year■ Open Interest

TOPIX Auction Trading

12006

234567Montｈ89101112■ Trading Volume of Index Futures in theWorld（2006）（Open Interest: thous. units）

450
Nikkei225※

400TOPIX（Market Share）
Open Interests（ＴＯＰＩＸ）(units)2005：385,914
2006：369,690

TOPIX market share

Products

70%60%

350
50%

250
200

30%150257,926,673

S&P500 Futures

CME

14,844,858

CME

79,940,222

CME

41,748,538

DJ Euro Stoxx 50 Futures

Eurex

213,514,918

DAX Futures

Eurex

40,425,513

FTSE 100Euronext LIFFE

25,120,880

CAC40

20%

10%5088 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06
Year0%Futures

Futures

Futures

FuturesEuronext LIFFE

33,405,804

Futures

KRX

46,609,008

NIKKEI 225 Futures

OSE

25,151,924

ＴＯＰ
ＩＸFutures

TSE

14,907,723

Kospi 200

1000CMEE-mini Russel
40%

Trading Volume(Contracts)

E-mini S&P 500 Futures
E-mini Nasdaq 100300

Exchange※※Source:Exchange
Websites, etc.

※Source:Osaka Securities Exchange Website etc.

■ Trading Volume by Type of Investor（Jan.〜Dec. 2006）
TOPIX
Others 0.6%
Futures

Foreigners
45.6%

Nikkei 225 Others 1.0%
Futures

2006

Securities Cos.
46.8%

Foreigners
37.0%

Individuals
0.6%

Individuals
7.6%
Business Cos.
1.1%
Investment Trusts
1.0%

Business Cos.
0.0%
Investment
Trusts
1.8%

Trust BK 4.2%
Life & Non-Life 0.5%

22006

Securities Cos.
51.3%

Trust BK 0.8%Life & Non-Life 0.1%

January 2007

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

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

100

Daily Average Trading Volume(¥100mil.)
2005：40,182
2006：48,589
Open Inteerests(¥100mil.)
2005：116,664
2006：131,772

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

250（Open Interest:￥100 bil.）

100250
Trading Volume (Average)
Open Interest (End of month)

200

80

200601506015040100401002050205000085 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06
Year■ Trading Volume of Interest Rate Futures

234567Month891011120■ Trading Volume by Type of Investor

in the World（2006）
Products12006（Jan.〜Dec. 2006）
Exchange

Others 1.3%

Trading Volume

10 Year T-Note Futures

CBOT

255,571,869

5 Year T-Note Futures

CBOT

124,870,313

30 Year T-Bond Futures

CBOT

93,754,895

3 Month Eurodoller Futures

CME

502,077,391

Euro-Bund Futueres

Eurex

319,889,369

Euro-Bobl Futures

Eurex

167,312,119

Euro-Schatz Futures

Eurex

165,318,7793 Month Euribor Futures

EURONEXT LIFFE

202,091,612

3 Month Sterling Futures

EURONEXT LIFFE

83,003,622

3 Month Euroyen Futures

TFX

31,495,084

10 Year JGB Futures

ＴＳＥ

12,049,979

Foreigners
40.1%

Securities Cos.
38.6%

2006

Long-term Credit BK,City BK & Regional BK
20.1%※※Source：Exchange Websites, etc.

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）

102000
Trading Volume(Put)1800

Open Interest

8

Daily Average Trading Volume
2005：82units
2006：74units
Open Iterests
2005：3,550units
2006：2,176units

1200

Daily Average Trading Volume
2005：824units
2006：770units
Open Interests
2005：11,906units
2006：39,428units

Trading Volume（Put）

Trading Volume(Call)

1600（Open Interest: thous. units）

2000
Trading Volume（Call）
Open Interest

1600
1400

80

1000
460

800
40

600
400

100

1200

6800

120

2

400

20

200
0

89

90

91

92

93

94

95

96

97 98
Year

9900

01

02

03

0405

06

00

98

9900

0102
Year

03

0405060※Trading Volume in 1989 : PUT 58,842units , CALL 39,231units

3

January 2007

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

Open Interest（Jan.〜Dec. 2006）（Trading Volume: thous. units）（Open Interest: thous. units）

20（Trading Volume: thous. units）

80（Open Interest: thous. units）

35

20

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

Trading Volume(Call)

70

Open Interest

1560

Daily Average Trading Volume
2005：6,935units
2006：8,309units
Open Interests
2005：22,939units
2006:16,987units

1030

Open Interest

1525502040

101530205105510090

9192

939495969798 99
Year0001020304050600■ Trading Volume by Type of Investor

12006

234567Month891011120■ IV・HV（Jan.〜Dec. 2006)
Others 1.8%

15%
IV
HVSecurities Cos.
18.2%
10%

2006

Long-term Credit BK,City BK & Regional BK
13.9%

5%

Foreigners
66.1%
0%
96

■ Trading Volume by Underlying Stock

9798

9900

0102
Year

03

04

0506

■ Trading Volume by Type of Investor（Jan.〜Dec. 2006）（Jan.〜Dec. 2006）

Others 1.6%
Ranking

Code/Issues

123456789105802 Sumitomo Electric Industries, Ltd8411 Mizuho Financial Group,Inc
9437 NTT DoCoMo, Inc.
8058 Mitsubishi Corporation
8604 Nomura Holdings, INC.
4689 YAHOO JAPAN CORP.
9502 CHUBU ELECTRIC POWER CO., INC.
3382 Seven & I Holdings Co., Ltd.
6902 DENSO CORPORATION
5938 JS GROUP CORP.

Trading Volume Share

13,926
12,09010,676
9,063
8,514
6,618
6,472
5,570
4,417
4,347

7%
6%
6%
5%
4%
3%
3%
3%
2%
2%

Individuals
3.2%

Foreigners
13.3%

Business Cos.
0.6%
Investment
Trusts0.2%

2006

Securities Cos.
45.7%

Trust BK
35.4%

4January 2007Trading Data (Jan.~Dec. 2006)（Units, ¥100 mil.）Product

Trading Volume

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

14,907,723
0018,354
190,8760
12,049,979
2,060,624

ChangeTrading Value

+17%
-100%
0%-8%
-5%0%+22%+21%2,414,035

−0−0−

135

16

24

25,0620−

16,159,033

−

5,009

99,878Open Interest

Exercise Volume369,690002,176
39,4280131,772
16,987

Contract Specifications (as of December 31,2006)
Product

Trading Hours（Auction）

Trading Hours（Off-Auction）

TOPIX Futures
TOPIX Electric Appliances
Index Futures

9:00〜11:00
12:30〜15:10

8:20〜16:00

9:00〜11:20
12:30〜15:20
15:30〜18:20

Contract
Trading Unit No. ofMonths

Margin per Unit (¥)（1.18.07-4.12.07）

5¥465,000

TPX<INDEX>CT

0#JTI:

× 10,000

3¥620,000

TKA<INDEX>CT

0#JEL:

0.1

× 10,000

3¥163,000TZA<INDEX>CT

0#JBK:

0.01× 1,000,000

3¥340,000JJA<CMDTY>CT0#JMB:

0.01

× 1,000,0003¥880,000

JBA<CMDTY>CT

0#JGB

Off-Auction：0.1

10-year JGB Futures

9:00〜11:00
12:30〜15:00
15:30〜18:00

ProductTrading Hours（Auction）

Minimum Fluctuation

9:00〜11:00
12:30〜15:10

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

3〜4TOPIX Options
Equity Options
Options on 10-year
JGB Futures

9:00〜11:00
12:30〜15:00
15:30〜18:00

Vendor Codes
Bloomberg
Reuters

× 10,000

Auction：0.5

TOPIX Banks Index Futures
5-year JGB Futures

Minimum
Fluctuation

Contract
Trading Unit No. ofMonths

Minimum No. of
Exercise Prices

Vendor Codes
Bloomberg
Reuters

TPX<INDEX>GMON(Company Code)<EQUITY>GMON

0#JTI*.T
0#OPT*.T

Serial Months：11（ATM±5）
JBA<CMDTY>GMON 0#JGB++
Quartery Months：7（ATM±3）

Trading Fees (as of December 31,2006)
Products
JGB Futures

Exchange trading fees
Trade
100yen (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 Trade
Trading value × 0.0000014
Trading value for final settlement ×SQ Settlement
0.000004
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. No exchange trading fee for S&P/TOPIX150 Futures is required. The trading fee for Stock index Futures traded by March 2006 will beTrading value × 0.0000032, and the trading fee for Stock index Futures traded by March 2007 will be Trading value × 0.0000038.
** No trading fee for S&P/TOPIX150 options is required.
*** Clearing fees for cash trading (trading value of cash trading by exercise × 0.000006) will be required additionally.

（Note）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（Caution）TSE rounds up clearing fees schedule based on Clearing fees rule of JSCC. (As of Dec.31, 2006)

5January 2007

NewsdateJan-2006
Feb-2006
Apr-2006
May-2006
Jun-2006

Jul-2006
Oct-2006
Nov-2006
Dec-2006

Equity Derivatives

Bond Derivatives

TOPIX Futures trading volume of single contract month(auction) sets record high (104,111contracts)
Publishing of Free-Float Weight (FFW) use for TOPIX
and its sub-indices
Introduction of the "TSE Equity Supporters" system
Change of counterneasure against erroenous order
Annual renewal of position limits for equity options contracts
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,ResonaHoldings, INC.,Sumitomo Metal Industries, LTD.
Nikko Citigroup Limited designated as the First "TSE
Equity Options Supporter"
TOPIX & JGB Futures Quotes are available through TSE's website
Tokyo Stock Exchange Daily Report is available through TSE's website
Change of TOPIX 1000 FLOAT Customized Index toTOPIX 1000 CSR
Amendment of TSE Disclosure Document Regarding
TSE Equity Options and Stock Index Options (including
TOPIX and S&P/TOPIX 150 Options) in the U.S andAmendment of Representation Letter

Trading Records
TOPIX Futures2006（Jan.-Dec.）（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）
18,510 （12/25/06）
494,887 （03/09/06）
338,279 （12/08/06）
1,784.0 （04/07/06）
1,434.0 （06/14/06）

10-year JGB Futures

Historical（Units, point）

2006（Jan.-Dec.）

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）
17,532 （12/25/06）
175,222 （02/28/06）
115,923 （09/15/06）
138.56 （01/18/06）
130.84 （07/06/06）

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: 110/ Stock Index Futures Trading Participant: 1/ JGB Futures Trading Participant: 63/
Equity Options Trading Participant: 0 (as of 31 Dec.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 as
investment advice. TSE reserves the right to change the contents of this publications without notice.

6January 2007