DERIVATIVES, OSLO BØRS DECEMBER 2010

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1 DERIVATIVES, OSLO BØRS DECEMBER 2010 The OBX index increased in December by 10.8% to points. The index is up 18% in The average number of contracts traded in December was contracts/day (2010 average: ). The premium turnover for stock options decreased by 14% to 127 MNOK, whereas the stock forward exposure decreased by 15% to MNOK. As for the OBX products, the future turnover decreased by 3% to 19 BNOK, and the index options increased by 1.5% to 29 MNOK. The most traded stock option in December was Statoil with 42 MNOK or 33% of the stock option premium turnover. Yara and Orkla followed. Statoil, Yara and Norsk Hydro were the most traded stock forwards. Statoil was the most traded with 438 MNOK, 42% of the total. Expirations in December: OBX, Statoil, Tomra, Norske Skog, Seadrill, Marine Harvest, Statoil Fuel & Retail, Gjensidige Forsikring and Acergy. Expirations next month (20 January): OBX, Statoil, Petroleum Geo-Services, Renewable Energy Corp, TGS-Nopec, Royal Caribbean Cruises, Orkla and Telenor. On Friday 10 December 2010, Oslo Børs listed options and forwards/futures on Gjensidige Forsikring ASA (GJF). The contracts are listed in expiration group 3 (March, June, September, December). The OBX constituents for first half 2011 was published on the 10. December 2010, and came into effect on 17 December Statoil Fuel & Retail (SFR), Gjensidige Forsikring (GJF) and Schibsted ASA (SCH) entered the OBX index. Kongsberg Automotive Holding (KOA), Songa Offshore (SONG) and DNO International (DNO) left the OBX index. A new capping rule was introduced for the OBX as of Thursday 23 December The cap was introduced as a result of market demand, to secure liquidity in the derivative contracts traded on the underlying OBX index. Stocks considered to belong to the area outside the EEA (European Economic Area) were capped as a group at 10% of the OBX total market value. Due to the announced combination of Acergy and Subsea 7 in January 2011, the Acergy derivatives were delisted in December For more detailed information, please read ahead. This summary continues with a presentation of general statistics, followed by a productand volatility overview towards the end. We hope to see you back in the derivatives market next month. Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.

2 Contracts/ day Contract Distribution Index Futures Single Stock Fwd/Fut OBX Index Options Stock Options Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10

3 TURNOVER - CONTRACTS/DAY (average) Contracts/day last month OBX - FUTURES STOCK FWD/FUT STOCK OPTIONS OBX - OPTIONS Contracts/day YTD 2010 OBX - FUTURES STOCK OPTIONS STOCK FWD/FUT OBX - OPTIONS 2 915

4 LIQUIDITY - OPTION PREMIUM DISTRIBUTION Option Premium last month Statoil Yara International 19.0 % 5.6 % 5.0 % OBX - options Orkla 4.5 % Royal Caribbean C. 3.5 % 3.3 % Norsk Hydro Seadrill Petroleum Geo-Services 2.9 % Storebrand 1.8 % Telenor 1.4 % 1.1 % 0.9 % 0.4 % Renewable Energy Corp. Norske Skog Gjensidige Forsikring 22.7 % 27.0 % 0.3 % 0.2 % 0.2 % 0.0 % Acergy DnB NOR Statoil Fuel & Retail Marine Harvest Group Tomra Option Premium YTD 2010 OBX - options 6.0 % Yara International 18.1 % 5.6 % 4.9 % Statoil Norsk Hydro 19.9 % 0.1 % 0.0 % 4.7 % 3.0 % 2.7 % 2.2 % 2.0 % 1.8 % 1.0 % 0.7 % 0.7 % 0.1 % Seadrill Renewable Energy Corp. Telenor Orkla Petroleum Geo-Services DnB NOR Acergy Royal Caribbean C. Storebrand Marine Harvest Group Norske Skog Tomra 26.6 % Gjensidige Forsikring Statoil Fuel & Retail 4

5 SINGLE STOCK FORWARD/FUTURE - EXPOSURE DISTRIBUTION Stock Fwd/Fut Premium last month Statoil 10.4 % 10.2 % 6.3 % Yara International Norsk Hydro Telenor 11.8 % 5.0 % 4.7 % Seadrill Royal Caribbean C. Renewable Energy Corp % 0.1 % 0.0 % 0.0 % 0.2 % 3.3 % 1.9 % 1.3 % 0.9 % 0.9 % 0.7 % 0.3 % DnB NOR Petroleum Geo-Services Acergy Orkla Storebrand Gjensidige Forsikring Norske Skog Marine Harvest Group TGS Nopec Geo. Tomra Statoil Fuel & Retail 10.8 % Stock Fwd/Fut Premium YTD % 7.8 % 6.0 % 4.9 % 3.2 % Statoil Norsk Hydro Telenor Yara International Seadrill Royal Caribbean C. Renewable Energy Corp % 0.1 % 0.1 % 0.0 % 0.3 % 2.9 % 2.2 % 1.0 % 0.8 % 0.8 % 0.6 % Orkla DnB NOR Petroleum Geo-Services Storebrand Marine Harvest Group TGS Nopec Geo. Acergy Tandberg Norske Skog Gjensidige Forsikring 36.2 % Tomra 5

6 Turnover Premium MNOK Open Interest (avg) - Contracts Turnover Premium MNOK Open Interest (avg) - Contracts PREMIUM - SINGLE STOCK DERIVATIVES Single Stock Options Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 0 Turnover premium/month - Stock Options Open Interest (avg) - Stock Options Single Stock Forwards & Futures Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 0 Turnover premium/ month - Single Stock Fwds Open Interest (avg) - Single Stock Fwds 6

7 Turnover exposure MNOK Open Interest (avg)- Contracts Turnover Premium MNOK Open Interest (avg)- Contracts PREMIUM - OBX DERIVATIVES OBX - Index Options Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Turnover premium/ month - OBX-indexoptions Open Interest (avg) - OBX-indexoptions 0 OBX - Index Futures Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10 Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Turnover exposure/month - OBX-indexfutures Open Interest (avg) - OBX-indexfutures 0 7

8 BROKER STATISTICS - OCTOBER 2010 Options 10.9 % 10.3 % 7.4 % 3.1 % 2.2 % 4.9 % Non-Norwegian DnB NOR SEB Enskilda 1.7 % Nordea 2.5 % 0.8 % 1.9 % 0.2 % 0.1 % Handelsbanken Argo Nordnet Pareto Carnegie Net Fonds ABG Sundal Collier 29.1 % 24.9 % First Danske Bank Fondsfinans Stock Forwards & Futures DnB NOR 4.0 % 1.0 % Nordea 92.9 % 0.9 % 0.6 % 0.4 % Terra Markets First 0.2 % Handelsbanken Argo Nordnet 8

9 OBX Futures 12.1 % 6.5 % Handelsbanken 27.0 % 4.1 % 4.0 % 2.4 % 0.5 % 0.1 % 0.1 % 0.1 % 0.0 % DnB NOR Non-Norwegian Nordea Erik Penser Argo SEB Enskilda ABG Sundal Collier First Nordnet Carnegie Terra Markets 43.2 % 9

10 OBX INDEX - CONSTITUENTS AND OTHER INFORMATION The OBX Index consists of the 25 most traded securities in the OSEBX Index. The constituents are selected on the basis of six months turnover rating. It is a semi-annually revised free float adjusted total return index (dividend adjusted) with composition changes and cappings implemented on the third Friday in June and December. In the period between the composition review dates, the number of shares for each constituent is fixed with exception of cappings and continuous adjustments for corporate actions. The OBX Index is a tradable index with exchange traded futures and options available : All time high ( close):

11 The current OBX Index composition can be found below. The Derivatives department at Oslo Børs distributes a daily report with information on the OBX Index and its components. If you would like to receive this daily update, please contact mps@oslobors.no. 11

12 OSLO BØRS - LISTED DERIVATIVES OPEN INTEREST - OPTIONS AND OBX FUTURES ONLY 12

13 Marine Harvest Group (MHG) MARINE HARVEST is the world's leading seafood company. They offer customers and consumers a wide range of seafood products and produce one fourth of the world's farmed salmon. The company is present in 18 countries and has 7500 employees worldwide. Home: Sector : Packaged Foods & Meats Last (NOK): 6.20 ISIN: NO Avg.Imp.Vol last month: 30 % Reuters : MHG.OL Expiry: Mar, Jun, Sep, Dec Bloomberg : MHG NO Open Int (avg): Liquidity: Tradable in blocks of OBX Weight: 2.26% O/I avg. 2010: Domicile: Norway contracts. Derivatives : Options & Fwd/Fut Market Maker(s): 3 Norsk Hydro (NHY) Sector : Aluminium Last (NOK): NORSK HYDRO is a global supplier of aluminium and aluminium products. Based in Norway, the company employs 25,000 people in more than 30 countries. Home: ISIN: NO Avg.Imp.Vol last month: 33 % Reuters : NHY.OL Expiry: Feb, May, Aug, Nov Bloomberg : NHY NO and NOHYF US Open Int (avg): Liquidity: Tradable in blocks of 3000 OBX Weight : 6.21% O/I avg. 2010: Domicile: Norway contracts. Derivatives : Options & Fwd/Fut Market Maker(s): 6 Norske Skog (NSG) NORSKE SKOG is one of the world's biggest producers of publication paper, with 14 paper mills in 11 countries and a production capacity of around 4.5 mill. tonnes per year. Home: Sector: Paper Products Last (NOK): ISIN: NO Avg.Imp.Vol last month: 61 % Reuters: NSG.OL Expiry: Mar, Jun, Sep, Dec Bloomberg: NSG NO Open Int (avg): Liquidity: Tradable in blocks of OBX Weight: N/A O/I avg. 2010: Domicile: Norway 3000 contracts. Derivatives: Options & Fwd/Fut Market Maker(s): 4 13

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18 Gjensidige Forsikring (GJF) GJENSIDIGE FORSIKRING is Norway's largest general insurance company. The group also offers banking, pension, saving products and health care services in Norway. Home: Sector : Multi-line Insurance Last (NOK): ISIN: NO Avg.Imp.Vol last month: 27 % Reuters : GJF.OL Expiry: Mar, Jun, Sep, Dec Bloomberg : GJF NO Open Int (avg): Liquidity: Tradable for volumes around OBX Weight : 1.70% O/I avg. 2010: Domicile: Norway 1000 contracts. Derivatives : Options & Fwd/Fut Market Maker(s): 3 18

19 MARKET MAKERS Argo Securities: DnB NOR Markets: Handelsbanken Capital Markets: Nordea Markets: SEB Enskilda: Timber Hill Europe: OBX, DNBNOR, NHY, ORK, RCL, SDRL, STL, TEL, SFR, SUBC, GJF OBX, SUBC, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TAA, TEL, TOM, YAR, RCL, TGS, SFR, GJF OBX, SUBC, DNBNOR, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TEL, TOM, YAR, RCL, TGS, SFR, GJF OBX, SUBC, NHY, NSG, ORK, PGS, REC, STL, TEL, TOM OBX, DNBNOR, NHY, STL, TEL OBX, DNBNOR, MHG, NHY, NSG, ORK, SDRL, STB, STL, TEL, TOM, YAR 19

20 OPTIONS - ATM IMPLIED VOLATILITIES Daily Volatilities = average of Last Bid+Offer vol. for ATM CALLS and PUTS for the nearest two months. Lack of data may occur, thus volatilities should be seen as indicative. 90 % 70 % 50 % 30 % 20 % 10 % OBX ATM Implied Vol DNBNOR ATM Implied Vol 120 % 100 % 20 % MHG ATM Implied Vol % 100 % 20 % Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs. 20

21 100 % 90 % 70 % 50 % 30 % 20 % NHY ATM Implied Vol 130 % 120 % 110 % 100 % 90 % 70 % 50 % NSG ATM Implied Vol ORK ATM Implied Vol 70 % 50 % 30 % 20 % Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs. 21

22 PGS ATM Implied Vol 70 % 50 % 30 % 20 % RCL ATM Implied Vol 70 % 50 % 30 % 20 % 130 % 120 % 110 % 100 % 90 % 70 % 50 % REC ATM Implied Vol Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs. 22

23 120 % 110 % 100 % 90 % 70 % 50 % 30 % 20 % SDRL ATM Implied Vol 1 STB ATM Implied Vol 120 % 100 % 20 % 90 % 70 % 50 % 30 % 20 % STL ATM Implied Vol Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs. 23

24 90 % 70 % 50 % 30 % 20 % TEL ATM Implied Vol 90 % 70 % 50 % 30 % 20 % TOM ATM Implied Vol 100 % 90 % 70 % 50 % 30 % YAR ATM Implied Vol Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs. 24