TSE Derivatives Market Highlights
January 1, 2009〜December 31, 2009
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
0
96

5097

98

99

00

01

02

03

04

05

06

07

08

09

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

10-year JGB Futures
10-year JGB Yield

94

95

96

97

98

9900

01

02

03

04

05

06

0708

09

54.5
43.5
32.5
21.5
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. 2009)
TOPIX Futures

10-year JGB Futures

Change(%)

PriceDate

12Up 345+48.0（+6.3%）

808.5
840.0
841.0
879.0
827.0

（01.27.09）（11.30.09）（04.30.09）（05.07.09）（04.02.09）

12
Down 345-44.5 （-5.2%）

809.5
787.5
730.5
917.0
859.5

（01.13.09）（03.30.09）（03.02.09）（06.16.09）（01.08.09）+31.5（+3.9%）+31.0（+3.8%）+30.5（+3.6%）+30.0（+3.8%）-38.5 （-4.7%）-31.0 （-4.1%）-29.5 （-3.1%）-26.5 （-3.0%）

1ChangePriceDate

123Up
455+0.88

139.30139.70140.47139.57137.30138.49（02.12.09）（01.13.09）（12.01.09）（03.19.09）（04.28.09）（11.12.09）

1
2
Down 33
5-0.82

139.01139.01138.48136.76
138.69（01.06.09）（01.27.09）（03.26.09）（05.08.09）（01.08.09）

+0.78
+0.73
+0.72
+0.63
+0.63

-0.69
-0.55
-0.55
-0.50

January 2010

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

160
TOPIX
TOPIX market share(Trading Volume: thous. Contracts)

140

70%

Daily Average TradingVolume(TOPIX)(Contracts)
2008：75,003
2009：62,514

Nikkei225※

140■ Trading Volume of TOPIX Futures（Daily Average）（Market Share）

TOPIX（ToSTNeT）
TOPIX（Auction）

60%

120

50%

10040%

8030%

6020%

4010%

200%

0120

1008060

4020088 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09
Year■ Open Interests of TOPIX Futures（Open Interests: thous. units）

450
Nikkei225※

400

TOPIX
TOPIX market share

34567Month89101112■ Trading Volume of Index Futures in the World(Jan.〜Dec.2009)（Market Share）

Open Interests（ＴＯＰＩＸ）(Contracts)
2008：367,194
2009：338,228

Products

70%

60%

50%
300
40%

250
200

30%

CME

556,314,143

CME

10,435,912

CME

77,972,143

100
10%

ICE

38,686,673

DJ Euro Stoxx 50 Futures

Eurex

333,407,299

DAX Futures

Eurex

40,101,438

FTSE 100Euronext Liffe

38,515,933

Euronext Liffe

41,940,487

Futures

KRX

83,117,030

NIKKEI 225 Futures

OSE

25,368,919

ＴＯＰ
ＩＸFutures

TSE

15,190,781

Futures

Futures※※Source:Websiteof each exchange

5088 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09
YearFutures

Russell 2000 Mini Index Futures

Kospi 200
20%

Trading Volume(Contracts)

S&P500 Futures

CAC40150

Exchange

E-mini S&P 500 Futures
E-mini Nasdaq 100

350

0212009

0%※Source:Osaka Securities Exchange Website etc.

■ Trading Volume by Type of Investor（Jan.〜Dec. 2009）
Others 0.2%

Others 1.1%

TOPIX
Futures

Nikkei 225
Futures

Securities Cos.
31.2%
Non-Japanese
50.6%

2009

Securities Cos.
40.8%

Non-Japanese
54.5%

2009
Trust BK 1.6%

Individuals
0.3%
Business Cos.
0.0%

Individuals
8.8%

Insurance
0.5%
Investment
Trusts1.2%
Business Cos.
1.1%

Trust BK 5.8%
Insurance 1.0%
Investment Trusts 1.3%

※Sum of TOPIX futures and TOPIX Core30 Index futures2

January 2010

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

3000

20600

120
Trading Volume（Put）

Trading Volume(Put)18Trading Volume(Call)

500

Open Interests
Daily Average Trading Volume
2008：253contracts
2009：216contracts
Open Interests
2008：2,663contracts
2009：17,608contracts

400

300

Trading Volume（Call）

2500

1614

2000

12
1500

10100

Open Interest
Daily Average Trading Volume
2008：360contracts
2009：2,728contracts
Open Interests
2008：44,628contracts
2009:：104,340contracts

80

60

8200

64100

1000

40500

20

2089 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09
Year※Trading Volume in 1989 : PUT 58,842contracts , CALL 39,231contracts※Trading Volume in 1990 : PUT 788contracts , CALL 1,092contracts

00■ Trading Volume by Underlying Securities（Jan.〜Dec. 2009）
Ranking12345678910

Code/Issues

Trading VolumeShare

292,132
8411 Mizuho Financial Group,Inc.
8306 Mitsubishi ＵＦＪ Financial Group,Inc. 88,175
83,3098604 Nomura Holdings,Inc.
22,2637201 NISSAN MOTOR CO.,LTD.
14,1548031 MITSUI & CO.,LTD.
13,8637267 HONDA MOTOR CO.,LTD.
13,4276501 Hitachi,Ltd.
5405 Sumitomo Metal Industries,Ltd. 9,343
9,007
8267 AEON CO.,LTD.
7,433
8035 Tokyo Electron Limited

44%
13%
13%
3%2%2%
2%
1%
1%
1%98990001020304Year

05

06

07

08

090

■ Trading Volume by Type of Investor（Jan.〜Dec. 2009）
Non-Japanese
6.2%

Others 0.5%

Securities Cos.
48.6%

2009

Individuals
42.1%

Business Cos.
0.0%
Trust BK
2.6%

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

100

Daily Average Trading
Volume2008：43,428contracts
2009：27,840contracts
Open Interests
2008：45,508contracts
2009：55,581contracts

Trading VolumeOpen Interests

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

50250100
Trading Volume
Open Interests

200408060

1503060

4010020402050102000085 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09
Year■ Trading Volume of Interest Rate Futures in the World (Jan.〜Dec. 2009)
Products

Exchange
CME

189,852,019

5 Year T-Note Futures

CME

98,391,120

30 Year T-Bond Futures

CME

62,232,671

3 Month Eurodoller Futures

CME

437,585,193

Euro-Bund Futures

Eurex

180,755,004

Euro-Bobl Futures

Eurex

105,820,542

Euro-Schatz Futures

Eurex

125,607,110

3 Month Euribor Futures

Euronext Liffe

192,859,090

3 Month Sterling Futures

Euronext Liffe

104,073,092

3 Month Euroyen Futures

TFX

13,066,020

10 Year JGB Futures

ＴＳＥ

6,765,074

234567Month891011120■ Trading Volume by Type of Investor（Jan.〜Dec. 2009）
Others 0.7%

Trading Volume

10 Year T-Note Futures

12009

Non-Japanese
40.2%

2009

Securities Cos.
40.0%

Banks19.2%※※Source：Website of each exchange

3January 2010

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

20(Trading Volume: thous. contracts）

80

18
Trading Volume(Put)Trading Volume(Call)

Trading Volume(Call)

70

Open Interests

1516Open Interests

60

Daily Average Trading Volume
2008：9,970contracts
2009：10,013contracts
Open Interests
2008：4,125contracts
2009：3,338contracts

10(Open Interests: thous. contracts）

20

Trading Volume(Put)

14

15

1250
1040

10830
620

55410090 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09
Year

200

■ HV・IV12009

234567Month8

91011120■ Trading Volume by Type of Investor（Jan.〜Dec. 2009）
Others 0.4%

15%
IV
HVSecurities Cos.
15.4%

10%

2009

Banks
17.1%

5%

Non-Japanese
67.1%
0%
9697

98

9900

01

0203
Year

0405

06

07

0809

Trading Data (Jan.~Dec. 2009)（Contracts, ¥100mil.）Product

ChangeTrading Value

15,190,781-17.3%

1,312,860−

338,228

mini-TOPIX Futures

681,248

13.6%

6,080

−

5,604

TOPIX Core30 Futures

362,882

79.5%

1,728

−

30,106

TSE REIT Index Futures

52,799-41.3%

468

−

4,950

TOPIX Electric Appliances00%0−000%0−052,523-15.3%

208

2,618

17,608662,813651.0%

4350,545

104,3405-year JGB Futures

00%0−

0Futures 10-year JGB Futures

6,765,074-36.4%

9,360,975−

55,581mini-10-year JGB Futures46−

6−0Options on 10-year
JGB Futures

2,433,217

-0.4%

5,730

222,155

3,338

TOPIX Futures

Trading Volume

Exercise Volume

Open Interests

Futures
EquityIndex Futures
TOPIX Banks
Index Futures
TOPIX Options
Options

Individual Options

BondOptions

4

January 2010

Contract Specifications
Product

Trading Hours（Auction）

Trading Hours（ToSTNeT）

Minimum
FluctuationTrading Unit

Auction：0.25
ToSTNeT：0.05

mini-TOPIX Futures
TOPIX Futures
9:00〜11:00
8:20〜16:00
12:30〜15:10
16:30〜19:10
TSE REIT Index Futures 16:30〜19:00

TOPIX Core30 Futures

Auction：0.5
ToSTNeT：0.1

TOPIX Electric Appliances
Index Futures

Vendor Codes
Bloomberg
Reuters

Margin per Unit (¥)
No. of Contract
Months (As of the end of December)

× 1,000

3¥30,000

TMIA<index>CT0#JTM:

× 10,000

5¥300,000

TPX<index>CT

0#JTI:

× 1,000

3¥20,000

TPCA<index>CT0#JTC:

× 1,000

3¥42,000

TREA<index>CT0#JRT:

× 10,000

3¥470,000

TKA<index>CT

0#JEL:TOPIX Banks Index Futures

0.1

× 10,000

3¥83,000

TZA<index>CT

0#JBK:

5-year JGB Futures

0.01

× 1,000,000

3¥160,000JJA<CMDTY>CT0#JMB:

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

0.01

× 1,000,000

3¥630,000JBA<CMDTY>CT

0#JGB:

mini-10-year JGB Futures

0.005

× 100,000

3¥63,000

MJBA<CMDT>CT0#JGM:

No. of Contract
MonthsMinimum No. of
Exercise Prices

813（ATM±6）45（ATM±2）※Index Futures Supporter・・・kabu.com Securities Co., Ltd. , Deutsche Securities Inc.

Product

Trading Hours（Auction）

Trading Hours（ToSTNeT）

Minimum
Fluctuation

Trading Unit

TOPIX Options

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

Individual Options

9:00〜11:00
12:30〜15:10

determined by that

× 10,000

Vendor Codes
Bloomberg
Reuters

TPX<index>GMONminimum

8:20〜16:00 day's minimum

trading unit ofunderlying security price underlying security

9:00〜11:00

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

0.01

× 1,000,000

3〜4(company code)<EQUITY>GMON

0#JTI*.T

0#OPT*.T

Serial Months：19（ATM±9） JBA<CMDTY>GMON 0#JGB++
Quartery Months：11（ATM±5）

Trading Fees (as of December 31, 2009)
Products

5-& 10-year JGB
Futuresmini-10-year JGB
Futures

Exchange trading fees
Regular Trade

95yen (per contract)

Regular Trade

Trade by Exercise ofOptions on JGB Futures

82yen (per contract)

Trade by Exercise ofOptions on JGB Futures

49yen (per contract)

Physical delivery

10yen (per contract)

Physical delivery

132yen (per contract)

Regular Trade

5yen (per contract)

Regular Trade

20yen (per contract)
Final Settlement

15yen (per contract)

Regular Trade

10yen(per contract)

Exercise

10yen × Trading volume of JGB
Futures by exercise

Regular Trade

20yen (per contract) (Note1)

SQ Settlement

57yen (per contract) (Note1)

Regular Trade

2yen (per contract)

SQ Settlement

6yen (per contract)

Regular Trade

10yen (per contract)

Exercise

10yen (per contract)

Regular Trade

10yen (per contract)

Exercise(Note2)

10yen (per contract)

Options on JGB
Futures

Regular Trade

40yen (per contract)

Index Futures(TOPIX Futures,
TOPIX Sector
Index Futures)

Regular Trade

70yen (per contract)mini-Index Futures(mini-TOPIX Futures,
TOPIX Core30
Regular Trade
Futures, TSE REIT
Index Futures)

7yen (per contract)

Index Options

40yen (per contract)

Individual Options（reference）Clearing fees of JSCC

Regular Trade

Regular Trade

40yen (per contract)(Note1)
From November 2009 to September 2010, clearing fees are discounted as follows: 18yen per contract (Regular Trade), 51yen per contract (SQ Settlement)(Note2)
Clearing fees for cash trading (trading value of cash trading by exercise × 0.000004) will be required additionally.
(Note3)
TSE rounds up clearing fees schedule based on Clearing fees rule of JSCC. (As of Nov. 2009)(Note4)Give-up fees (5yen per contract) will be required for Clearing Broker.

5January 2010

News
date

Events and Rule amendments

Tokyo Stock Exchange and The Options Industry Council, a world leader in options education based in Chicago, signJan-2009 ・The
content licensing agreement.
Survey regarding 10-Year JGB futures trading was conducted.
Jan-2009 ・The results:http://www.tse.or.jp/english/news/200904/090409̲a.html

Mar-2009 ・Introduction of "mini 10-Year JGB futures"
Release of the report from the study group on post-trade processing of OTC derivatives trades in Japan
Mar-2009 ・The report: http://www.tse.or.jp/english/news/200903/090330̲a.html.

Apr-2009 ・Join the International Swaps and Derivatives Association, Inc. (ISDA)
Apr-2009 ・TSE to provide CDS pricing information on website. http://www.tse.or.jp/english/market/data/credit/index.html
May-2009 ・Launch of a working group on clearing operations for OTC derivatives trades
Sep-2009 ・Release of the simulator tool for option trading. http://www.tse.or.jp/rules/sim/index.html
・Activation of new trading system based on LIFFE CONNECT R

Oct-2009 ・Introduction of Market Maker scheme for TSE options markets.

・Implementation of a Tdex+ fee incentive program in conjunction with launching Tdex+.

・CFTC issued a no-action letter permitting the offer and sale in the United States of the mini-TOPIX futures contract, TOPIX

Nov-2009 Core30 futures contract and TSE REIT index futures contract.
・Change of a part of fee schedule.

Dec-2009 ・Abolish Half-Holidays on the last/first business day of the year
Rule amendments in the future2010 Summer ・TOPIX Futures will be listed on the NYSE Liffe market from summer 2010

Trading Records
TOPIX Futures
2009 (Jan.-Dec.)（Contracts, point）

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

Date

10-year JGB Futures

Historical（Contracts, point）

2009 (Jan.-Dec.)

Date（Contracts, ¥）556,116 （Mar.10/09） 559,027 （Dec.6/05）
20,343 （Dec.25/09）
0 （Jan.31/94）
518,222 （Jun.11/09） 615,314 （Mar.13/08）
311,699 （Sep.11/09） 11,183 （Dec.8/88）
988.5 （Aug.31/09） 2,956.0 （Dec.18/89）
687.0 （Mar.13/09）
687.0 （Mar.13/09）

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

Limit UpLimit Up

Limit Down

Limit Down

Emergency Margin Deposit

Emergency Margin Deposit

Temporary Trading Halt

Temporary Trading Halt

Date

Historical（Contracts, ¥）Date

97,779 （Sep.9/09） 211,110 （Jun.7/07）
10,058 （Apr.20/09）
510 （Oct.28/85）
79,448 （May 29/09） 310,415 （Feb.8/00）
35,676 （Mar.13/09） 14,585 （Dec.12/85）
140.55 （Dec.10/09） 145.28 （Jun.11/03）
135.47 （Jun.11/09）
87.08 （Sep.27/90）＊Figures refer only to days when trading volume is not 0.

No. of Trading Participants: General Trading Participant: 105/ Index Futures Trading Participant: 1/ JGB Futures Trading Participant: 47/
Individual Options Trading Participant: 0 (as of 1 Jan.10)
Number of Market Makers: Options on JGB futures:10, Index options：3, Individual equity options：4 (as of 5 Oct.09)

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:03-3665-1385 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

Tel:+65-6438-5100 Fax:+65-6438-5800
sintse@ntti.net.sg

Beijing Representative Office

Tel : +86-10-8517-1128 Fax : +86-10-8517-1138
tsebjrep@tsebjrep.com.cnCopyright (c) 2010 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.

6January 2010