TSE Derivatives Market Highlights
January 1, 2011-December 31, 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

35
30
25

1500

20
15

1000

10500
093

5094

95

96

9798

9900

0102 03Year

0405060708

091011150
145
140
135
130
125
120115
110
105
10093

10-year JGB Futures
10-year JGB Yield

9495

96

9798

990001※Source：QUICK,Japan Bond Trading Co.,Ltd02 03Year0405060708

09101154.543.532.521.5
10.5
010-year JGB Yield（％）

10-year JGB Futures（¥）■ 10-year JGB Futures and 10-year JGB Yield

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

10-year JGB Futures

ChangePrice

Date

123Up
45
5+41.0（+5.0%）

862.5
801.0
747.0
761.0
821.5
929.0

（Mar. 22, 2011）（Mar. 16, 2011）（Sep. 27, 2011）（Oct. 27, 2011）（Mar. 18, 2011）（Feb. 02, 2011）

12Down 345-80.0 （-8.8%）

827.0
769.0
799.5
956.0943.5（Mar. 14, 2011）（Mar. 15, 2011）（Aug. 05, 2011）（Feb. 22, 2011）（Mar. 02, 2011）+32.0（+4.2%）+28.5（+4.0%）+17.0（+2.3%）+16.0（+2.0%）+16.0（+1.8%）-58.0 （-7.0%）-27.5 （-3.3%）-19.5 （-2.0%）-19.0 （-2.0%）

1Change

Price

Date

12
Up 3
45

+0.72

139.92
139.20140.75141.05142.79（Mar. 14, 2011）（Mar. 11, 2011）（May 06, 2011）（Jun. 02, 2011）（Sep. 05, 2011）12
Down 345-0.79

139.65139.72
142.29139.25138.55（Jan. 06, 2011）（Mar. 16, 2011）（Nov. 25, 2011）（Jan. 19, 2011）（Feb. 16, 2011）+0.66+0.65
+0.51
+0.50

-0.56
-0.51
-0.50
-0.43

January 2012

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

150
TOPIX
TOPIX market share(Trading Volume: thous. contracts)

140

70%

Daily Average Trading
Volume(TOPIX)
2010：59,354
2011：59,625

Nikkei225※

TOPIX（ToSTNeT）
TOPIX（Auction）

60%

120

50%

10040%

80

30%

60

20%

40

10%

200%

0120906030

088 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11Year■ Open Interest of TOPIX Futures(Open Interest: thous. contracts)

450
400

TOPIX34567Month89101112■ Trading Volume of Index Futures in the World(Jan.-Dec.2011)
Products

70%

60%

TOPIX market share

35050%
300
40%

250
20030%

150
20%
100
10%

88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11Year

Trading Volume(Contracts)

Exchange

E-mini S&P 500 Futures

CME

S&P500 Futures

CME

620,368,790
7,220,582

E-mini NASDAQ 100 Futures

CME

75,165,277

Russell 2000 Mini Index Futures

ICE

43,594,169

DJ Euro Stoxx 50 Futures

Eurex

408,860,002

DAX Futures

Eurex

44,990,070

FTSE 100 Futures

Euronext Liffe

39,283,942

CAC40 Futures

Euronext Liffe

43,403,809

Kospi 200 Futures

KRX

87,274,461

NIKKEI 225 Futures

OSE

19,294,064

TOPIX Futures

TSE

14,608,165※※Source:Websiteof each exchange

5002（Market Share）
Open Interest（ＴＯＰＩＸ）
End of 2010：368,395
End of 2011：366,543

Nikkei225※

10%※Source:Osaka Securities Exchange Website■ Trading Volume by Type of Investors(Jan.-Dec. 2011)
Others 1.0%

Others 0.2%

TOPIXFutures

Nikkei 225FuturesSecurities Firms
23.8%
Trust Banks
1.9%

Foreign Investors
54.0%

2011

Securities Firms
37.5%

Foreign Investors
61.1%

Insurance Firms
0.2%

2011
IndividualInvestors
9.5%

Individual Investors
0.4%
Business Firms
0.0%

Investment
Trusts
1.3%

Business Firms
1.2%

Trust Banks 6.1%
Insurance Firms 0.6%
Investment Trusts 1.1%

※Total volume of TOPIX Futures and TOPIX Core30 Index Futures

2January 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(Call)
Open Interest

500（Open Interest: thous. contracts）

4000

20

Daily Average
Trading Volume
2010：490
2011：87
Open Interest
End of 2010：9,677
End of 2011：2,704

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

18

Trading Volume（Call）

3500

Open Interest

16300

Daily Average Trading Volume
2010：3,408
2011：2,454
Open Interest
End of 2010：299,216
End of 2011：30,565

Trading Volume（Put）

3000

250

14200
2500

12400

2000

10300

8150

1500
100

6200

1000
450100

500

2098

9900

0102030405
Year06070809101100■ Trading Volume by Underlying Securities（Jan.-Dec. 2011）

989900010203

0405
Year06070908

10110■ Trading Volume by Type of Investors(Jan.-Dec. 2011)
Others 0.3%Ranking

12345678910

Code/Issues

Trading VolumeShare

8306 Mitsubishi ＵＦＪ Financial Group, Inc. 213,696
23,2967267 HONDA MOTOR CO.,LTD.
21,6468316 Sumitomo Mitsui Financial Group,Inc.
20,1403632 Gree,Inc.
20,0157201 NISSAN MOTOR CO.,LTD.
19,7168604 Nomura Holdings,Inc.
18,2437751 CANON INC.
7203 TOYOTA MOTOR CORPORATION 16,756
15,0216758 SONY CORPORATION
14,7756752 Panasonic Corporation

36%
4%
4%
3%
3%
3%
3%
3%
2%
2%

IndividualOptions

Securities Firms
17.3%
Trust Banks
7.5%

Foreign Investors
74.0%

Business Firms
0.2%

2011

IndividualInvestors
0.7%

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
2011：28,095
Open Interest
End of 2010：49,335
End of 2011：71,439

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

40250

100
Trading Volume
Open Interest

3520080306015040100205025602040

1510205085 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 11Year00■ Trading Volume of Interest Rate Futures in the World (Jan.-Dec. 2011)
Products

ExchangeCME

317,402,598

5 Year T-Note Futures

CME

170,563,052

30 Year T-Bond Futures

CME

92,338,638

3 Month Eurodollar Futures

CME

564,086,746

Euro-Bund Futures

Eurex

236,188,831

Euro-Bobl Futures

Eurex

142,309,151

Euro-Schatz Futures

Eurex

165,798,952

3 Month Euribor Futures

Euronext Liffe

241,950,875

3 Month Sterling Futures

Euronext Liffe

115,586,702

3 Month Euroyen Futures

TFX

7,201,901

10 Year JGB Futures

TSE

6,883,2102

34567
Month891011120■ Trading Volume by Type of Investors（Jan.-Dec. 2011）
Others 1.0%

Trading Volume

10 Year T-Note Futures

1Foreign Investors
37.8%

2011

Securities Firms
42.8%

Banks
18.4%

※
※Source：Website of each exchage

3January 2012

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

15(Trading Volume: thous. contracts）

7030
Trading Volume(Put)Trading Volume(Call)

Trading Volume(Call)

60

Open Interest
Daily Average Trading
Volume2010：8,160
2011：7,566
Open Interest
End of 2010：3,779
End of 2011:12,455

10(Open Interest: thous. contracts）

12

Trading Volume(Put)1025Open Interest

50
820

615

410254030
520

10090 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11Year00■ HV・IV

1234567Month891011120■ Trading Volume by Type of Investors（Jan.-Dec. 2011）
Others 0.7%

15%
IVHV

Securities Firms
16.2%

10%

Foreign Investors
59.3%

2011

Bankｓ
23.8%

5%

0%
9697

98

99

00

01

02

03

04
05
Year

06

07

08

09

1011

Trading Data (Jan.-Dec. 2011)（Contracts, ¥100million）

Product

ChangeTrading Value

14,608,165+0.5%

1,195,038−

366,543

mini-TOPIX Futures

621,569-40.5%

5,069

−

8,792

TOPIX Core30 Futures

91,715-62.1%

399−

10,700Futures TSE REIT Index Futures

51,457+10.2%511−

3,910

TOPIX Electric Appliances
Index Futures

0−0−0TOPIX Futures

EquityTrading Volume

Exercise Volume

Open Interest

TOPIX Banks IndexFutures
Nikkei 225 Dividend
Index Futures

0-100.0%0−061,050+212.2%

107−

37,230

TOPIX Options

21,342-82.2%

76

4,403

2,704

601,156-28.0%

38

225,520

30,5655-year JGB Futures

0−0−

0Futures 10-year JGB Futures

6,883,210-14.2%

9,710,885−

71,439mini-10-year JGB Futures

7,734−

1,100−631

Options on 10-year
JGB Futures

1,853,672

-7.3%

3,427

81,17812,455

Options

Individual Options

BondOptions

4January 2012

Contract Specifications
Product

Trading Hours（Auction）

Trading Hours（ToSTNeT）

Minimum
Fluctuation

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

0.10.01

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

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

× 1,000

3¥ 21,000

TMIA<index>CT0#JTM:

× 10,000

5¥ 210,000

TPX<index>CT

0#JTI:

× 1,000

3¥ 11,000

TPCA<index>CT

0#JTC:

× 1,000

3¥ 27,500

TREA<index>CT0#JRT:

× 10,0003¥ 380,000

TKA<index>CT0#JEL:

× 10,000

3¥ 36,000

TZA<index>CT0#JBK:

×1,0008(*1)¥ 5,500

NKYDIV<Index>CT

0#JND:×10,0008(*1)¥ 5,500

TPXDIV<Index>CT

0#JTD:×10,0008(*1)¥ 4,500

TPXC30D<Index>CT

0#JRD:

0.01

× 1,000,000

3¥ 130,000

JJA<CMDTY>CT

0#JMB:

0.01

× 1,000,000

3¥ 510,000

JBA<CMDTY>CT

0#JGB:

0.005

× 100,000

3¥ 51,000

MJBA<CMDT>CT0#JGM:

Minimum
Fluctuation

Trading Unit

No. of Contract
MonthsMinimum No. of
Exercise Prices

× 10,000813（ATM±6）

TPX<index>GMON

0#JTI*.T

minimum
determinedtrading unit ofby options' price underlying security45（ATM±2）(company code)<EQUITY>GMON

0#OPT*.T

3〜421（ATM±10）(*1) 9 contract months during Jan.-Mar.

Product

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 December 31, 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

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 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 Trade20yen (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 JPY 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 JPY 5 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 JPY 5 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 Dec. 2011)

5January 2012

NewsDate

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

Jan. 2011

Nikkei Stock Average Dividend Point Index Futures : 0.5JPY ⇒ 0.1JPY
TOPIX 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 are set on the first trading day regarding quarterly month contracts.
<Additional strike price on Options on JGB Futures>
10 strikes nearest to ATM are set in 0.5 yen intervals, depending on the ｌf uctuation of the underlying.
18 new names to be listed on the single stock options marketSep. 2011 Position transfer scheme are introduced to JGB futures traded on NYSE Liffe.
Agreement regarding Business Combination between Tokyo Stock Exchange Group, Inc. and Osaka Securities Exchange Co., Ltd.
Futures trading platform are migrated into the 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

Dec. 2011

Tokyo Stock Exchange and NYSE Euronext Sign Master Agreement Regarding Mutual Network Connection
Strengthening Inter-market Cooperation between Tokyo Stock Exchange Group and Korea Exchange

Trading Records
TOPIX Futures
2011 (Jan.-Dec.)（Contracts, points） Date

10-year JGB Futures

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

（Contracts, ¥）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

519,890（Jun. 07, 2011） 559,027（Dec. 06, 2005） Highest Daily Trading Volume12,987（Dec. 26, 2011）
0（Jan. 31, 1994） Lowest Daily Trading Volume497,208（Sep. 08, 2011） 615,314（Mar. 13, 2008） Highest Open Interest
355,085（Dec. 13, 2011） 11,183（Dec. 08, 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
none
Lower Limit
none
Mar. 14, Mar. 15, Mar. 16,
Emergency Margin Deposit

Temporary Trading Halt

Mar. 22Mar. 14, Mar. 15

Temporary Trading Halt

DateHistorical（Contracts, ¥）Date

114,307（Sep. 06, 2011） 211,110（Jun. 07, 2007）
9,396（Dec. 26, 2011）
510（Oct. 28, 1985）
87,695（Aug. 25, 2011） 310,415（Feb. 08, 2000）
46,420（Mar. 17, 2011） 14,585（Dec. 12, 1985）
143.14（Nov. 17・22, 2011） 145.28（Jun. 11, 2003）
138.32（Feb. 09, 2011）87.08（Sep. 27, 1990）
none
none

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

none＊Figures refer only to days when trading volume is not 0.

No. of Trading Participants: General Trading Participant: 100/ Index Futures Trading Participant: 0/ JGB Futures Trading Participant: 36/

Individual Options Trading Participant: 0 (as of Dec. 30, 2011)
Number of Market Makers: Options on 10-year JGB futures：7, TOPIX Options：0, Individual Options：2
mini-10-year JGB Futures (PMM：12, LP：13), mini-TOPIX Futures (PMM：23, LP：12),
TOPIX Core30 Futures (PMM：4), TSE REIT Index Futures (PMM：2)
TOPIX Secter Index Futures (PMM：3), Dividend Index Futures (PMM：9) (as of Dec. 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

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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Tel : +86-10-8517-1128 Fax : +86-10-8517-1138
tsebjrep@tsebjrep.com.cn
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.

6

January 2012