market quality indicators - australian · pdf filemarket quality indicators has been developed...

Market Quality Indicators

ASX Equity Index and Interest Rate Futures

March Quarter 2014

Introduction

Welcome to this edition of Market Quality Indicators.

The Market Quality Indicators is a bi-annual publication prepared by ASX in conjunction with, Dr Andrew Lepone and Jimmy Liu from the Discipline of Finance at the University of Sydney.

Market Quality Indicators has been developed to provide a quantitative overview of the trading activity and market dynamics of ASX equity index and interest rate futures, and highlights the extent of trading opportunities available on ASX.

The Company

ASX is a multi-asset class, vertically integrated exchange group, and one of the world’s top-10 listed exchange groups measured by market capitalisation.

ASX’s activities span primary and secondary market services, central counterparty risk transfer, and securities settlement for both the equities and fixed income markets. It functions as a market operator, clearing house and payments system facilitator. It monitors and enforces compliance with its operating rules, promotes standards of corporate governance among Australia’s listed companies and helps to educate retail investors.

ASX’s diverse domestic and international customer base includes issuers of securities and financial products, investment and trading banks, fund managers, hedge funds, commodity trading advisers, brokers and proprietary traders, market data vendors and retail investors.

By providing its systems, processes and services reliably and fairly, ASX generates confidence in the markets that depend on its infrastructure. This is integral to ASX’s long-term commercial success.

More information on ASX can be found on our website www.asx.com.au

Table of Contents

1

Equity Index Futures

1. Market commentary on Q4 2013 and Q1 2014 activity Page 2

2. SPI200™ Futures Graphs

Trading Activity – Average Daily Volume and Trade Size Orderbook Liquidity – Bid Ask Spreads and Market Depth Price Volatility – Trading Range and Volatility Tracking Basis

Interest Rate Futures

1. Market commentary on Q4 2013 and Q1 2014 activity Page 8

2. 30 Day Interbank Cash Rate Futures Graphs Page 9

Trading Activity – Average Daily Volume and Trade Size Orderbook Liquidity – Bid Ask Spreads and Market Depth Price Volatility – Trading Range and Volatility

3. 90 Day Bank Bill Futures Futures Graphs Page 13


4. 3 Year Treasury Bond Futures Graphs Page 17


5. 10 Year Treasury Bond Futures Graphs Page 21


6. 90 Day New Zealand Bank Bill Futures Graphs Page 25


7. 3 Year vs 10 Year Treasury Bond Futures Spread Page 29

8. 90 Day Bank Bill vs 3 Year Treasury Bond Futures Spread Page 29

9. 30 Day Interbank Cash Rate vs 90 Day Bank Bill Futures Spread Page 30

Methodology Page 31

2

Market Activity for Q4 2013 and Q1 2014

The Spot ASX SPI 200TM Futures (SPI) rallied through the 5400 barrier in March to the highest level seen since Q3 2008. The SPI rose during Q1 2014 from a six month low near 5000 in February to a high approaching 5500 in March 2014.

Weaker performance of the domestic resources sector caused the S&P/ASX 200 Index to underperform relative to the US Market in Q4 2013. Following a correction in late 2013, the Australian market tracked other major economy indices downwards as the US Federal Reserve began scaling back its quantitative easing. Emerging markets were impacted negatively by the US policy shift with currency depreciations and a flight of capital to developed economies. Divergent monetary policy approaches taken by major market central banks as well as economic weakness appearing in emerging markets led to greater equity market volatility in Q1 2014. Global markets rebounded in February (with the exception of Japan) following the losses experienced in January as the global economic outlook improved.

For the ASX SPI 200, average volume in the day session continued to decrease slightly in Q4 2013 and Q1 2014 together with a significant decline in the average trade size. This downward trend in day session volume and trade size was partially offset by an increase in average volume in the night session, which bounced back from a low in Q3 2013 to reach the highest level in almost two years in Q1 2014 (graphs 1 and 2). With bid-ask spreads remaining relatively unchanged, total depth and best depth increased in Q4 2013, before decreasing in Q1 2014 in both day and night sessions (graphs 3 and 4).

The average trading ranges for the day and night sessions (graphs 5 and 6) stabilised in Q4 2013 and Q1 2014, following a more volatile prior 6 months. This was particularly evident during the night session, remaining relatively flat in Q4 2013 then subsequently picking up in Q1 2014, corresponding to an increase in average daily volume during the night session. Trading ranges in the day session increased following a drop in late Q3 2013 given the fall and subsequent rebound in the index towards the end of 2013. Approaching the end of March 2014, trading ranges decreased to average levels seen throughout 2012 and the beginning of 2013.

Despite a reduction in the average trading ranges in Q4 2013 and Q1 2014, the overall trading range frequency curve for 2013/14 is forming a peak to the right of that for 2012/13 (graph 8). The shape of the distribution is more closely in line with that seen in 2010/11 and 2011/12 which is consistent with the slightly higher levels of volatility and wider trading ranges seen over the whole 2013/14 period.

Lastly, as illustrated in graph 9 a downward trend in the tracking error is potentially attributed to a lower overnight cash rate and therefore lower wholesale funding rates.

ASX 24 Equity Index Futures

3

1. Trading activity – Day trading session

2. Trading activity – Night trading session

ASX SPI 200 Index Futures

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

Average Daily Volume (LHS) Trade Size (RHS)

Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

1.6

1.7

1.8

1.9

2.0

2.1

2.2

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1 0

0.5

1.0

1.5

2.0

2.5

4

3. Bid-Ask spreads and average quoted depth – Day trading session

4. Bid-Ask spreads and average quoted depth – Night trading session

0

50

100

150

200

250

300

350

400

450

500

Num

ber o

f Con

tract

s

Inde

x Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS)

0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

0

50

100

150

200

250

300

350

Num

ber o

f Con

tract

s

Inde

x Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS)

0

2

4

6

8

10

ASX SPI 200 Index Futures continued

5

5. Trading range – Day trading session

6. Trading range – Night trading session

0

50

100

150

200

250

300

350

400

450

500

Inde

x Po

ints

19/0

3/20

10

19/0

5/20

10

19/0

7/20

10

19/0

9/20

10

19/1

1/20

10

19/0

1/20

11

19/0

3/20

11

19/0

5/20

11

19/0

7/20

11

19/0

9/20

11

19/1

1/20

11

19/0

1/20

12

19/0

3/20

12

19/0

5/20

12

19/0

7/20

12

19/0

9/20

12

19/1

1/20

12

19/0

1/20

13

19/0

3/20

13

19/0

5/20

13

19/0

7/20

13

19/0

9/20

13

19/1

1/20

13

19/0

1/20

14

Trading Range Day Range Moving Average

0

100

200

300

400

500

600

Inde

x Po

ints

19/0

3/20

10

19/0

5/20

10

19/0

7/20

10

19/0

9/20

10

19/1

1/20

10

19/0

1/20

11

19/0

3/20

11

19/0

5/20

11

19/0

7/20

11

19/0

9/20

11

19/1

1/20

11

19/0

1/20

12

19/0

3/20

12

19/0

5/20

12

19/0

7/20

12

19/0

9/20

12

19/1

1/20

12

19/0

1/20

13

19/0

3/20

13

19/0

5/20

13

19/0

7/20

13

19/0

9/20

13

19/1

1/20

13

19/0

1/20

14


6

7. Volatility

8. Trading Range Frequency

0

20

40

60

80

100

120

140

Freq

uenc

y

10 30 50 70 90 110

130

150

170

190

Mor

e

2010/11 2011/12 2012/13 2013/14

Basis Points

10-Q2 10-Q3 10-Q4 11-Q1 11-Q2 11-Q3 11-Q4 12-Q1

Panel A : Day Trading

Average Daily Range (B.P.) 54.754 49.475 45.150 40.393 46.526 60.738 60.164 40.965

Standard Deviation 0.762 0.403 0.321 0.386 0.346 0.973 0.542 0.324 of Returns (%)

Panel A : Night Trading



12-Q2 12-Q3 12-Q4 13-Q1 13-Q2 13-Q3 13-Q4 14-Q1







ASX SPI 200 Index Futures continued

7

9. ASX SPI 200 Futures vs Cash Index Basis

10. Average Quarterly Basis

10-Q2 10-Q3 10-Q4 11-Q1 11-Q2 11-Q3 11-Q4 12-Q1

Average Daily Error -16.24 10.65 -13.30 10.65 -13.30 -18.65 8.36 -20.51

12-Q2 12-Q3 12-Q4 13-Q1 13-Q2 13-Q3 13-Q4 14-Q1

Average Daily Error 3.85 -24.23 0.77 -24.22 -1.34 -30.90 0.34 -28.64

-80

-70

-60

-50

-40

-30

-20

-10

010

20

30

40

50

60

70

80

Inde

x Po

ints

16/0

3/20

10

16/0

5/20

10

16/0

7/20

10

16/0

9/20

10

16/1

1/20

10

16/0

1/20

11

16/0

3/20

11

16/0

5/20

11

16/0

7/20

11

16/0

9/20

11

16/1

1/20

11

16/0

1/20

12

16/0

3/20

12

16/0

5/20

12

16/0

7/20

12

16/0

9/20

12

16/1

1/20

12

16/0

1/20

13

16/0

3/20

13

16/0

5/20

13

16/0

7/20

13

16/0

9/20

13

16/1

1/20

13

16/0

1/20

14

8

Market Activity for Q4 2013 and Q1 2014

The Reserve Bank of Australia (RBA) left the overnight cash rate unchanged at a historic low of 2.5% throughout Q4 2013 and Q1 2014. While initially stating that it would not “close off the possibility of reducing rates further”, the RBA has more recently indicated that the “prudent course of action would likely be a period of stability in interest rates”. The short term yield curve has therefore flattened, affecting activity levels and narrowing trading ranges in the short term interest rate products. Charts 11 and 12 show a decline in volume in the 30 Day Interbank Cash Rate Futures with trades that were executed, transacted at relatively larger lot sizes. Volume in the 90 Day Bank Bill Futures also declined although not to the same extent. Market depth has increased significantly across both short term interest rate futures products. In Q1 2014, total market depth in the Cash Rate Futures and Bank Bill Futures averaged approximately 38,000 lots and 23,000 lots respectively in the day session.

Compared to the shorter end of the Australian yield curve, the longer end has been more volatile. As a result, activity levels have either remained stable (3 Year Bond Futures) or have continued with an upward trend (10 Year Bond Futures) into 2014. Similar to the short term interest rate futures, market depth in the 3 and 10 Year Bond Futures have also increased significantly. This is particularly evident in the 3 Year Bond Futures (Charts 29 and 30) where market depth averages 29,000 lots and 16,000 lots in the Day and Night Sessions respectively. Activity continues to be driven by Government bond yield differentials between Australia and other major developed nations. Major central bank policy direction continues to cause ripples in international bond markets. Strong turnover in the physical bond market continues to underpin strong futures market activity as the Australian Office of Financial Management (AOFM) continues to increase issuance into Commonwealth Government Bonds.

The Month of March 2014 was a record trading month for both the 3 and 10 Year Treasury Bond Futures contracts. An ASX 24 daily exchange record as well as daily product records for the 3 and 10 Year Bond Futures were reached on 13 March 2014.

In New Zealand, the Reserve Bank of New Zealand (RBNZ) was the first developed economy central bank to increase its official cash rate, increasing the rate by 0.25% to 2.75% in March 2014. An increase was universally anticipated given domestic inflation concerns. Traded volume in the NZ 90 Day Bank Bill Futures contract continued to increase in the day session and spiked in the night session in Q4 2013. Market depth declined following elevated levels in the prior two quarters.

The report concludes with the graphs of the CAB spread (Overnight Cash Rate Futures contract vs Bank Bill Futures contract) and BAT spread (Bank Bill Futures contract vs Three Year Bond Futures contract) relative to the RBA overnight cash rate. Both spread levels have remained positive throughout the latest six month period. The BAT spread has remained at a historically high level given the flat short term interest rate outlook and an anticipation that rates will eventually rise in the medium term. The flat interest rate expectations in the short term are illustrated by a steadily increasing CAB spread.

ASX 24 Interest Rate Futures

9



30 Day Interbank Cash Rate Futures

0

2,000

4,000

6,000

8,000

10,000

12,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

0

50

100

150

200

250

0

500

1,000

1,500

2,000

2,500

3,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

0

50

100

150

200

250

10



0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

0

10,000

20,000

30,000

40,000

50,000

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0

0.4

0.8

1.2

1.6

2.0

2.4

2.8

30 Day Interbank Cash Rate Futures continued

11



0

5

10

15

20

25

30

35

Trading Range RBA Official Cash Rate Moving Average

Basi

s Po

ints

RBA

offic

ial c

ash

rate

%

01/0

4/10

07/0

6/10

10/0

8/10

13/1

0/10

15/1

2/10

04/0

3/11

06/0

5/11

11/0

7/11

12/0

9/11

11/1

1/11

16/0

1/12

13/0

3/12

16/0

5/12

18/0

7/12

17/0

9/12

15/1

1/12

18/0

1/13

20/0

3/13

22/0

5/13

25/0

7/13

24/0

9/13

21/1

1/13

10/0

2/14

0

1

2

3

4

5

6

7

0

5

10

15

20

25

30

35

Trading Range RBA Official Cash Rate Moving Average

Basi

s Po

ints

RBA

offic

ial c

ash

rate

%

01/0

4/10

14/0

5/10

12/0

7/10

07/0

9/10

18/1

0/10

04/0

1/11

03/0

3/11

21/0

4/11

10/0

6/11

02/0

8/11

14/0

9/11

01/1

1/11

12/1

2/11

01/0

2/12

13/0

3/12

02/0

5/12

13/0

6/12

25/0

7/12

10/0

9/12

22/1

0/12

06/1

2/12

22/0

1/13

08/0

3/13

22/0

4/13

06/0

6/13

18/0

7/13

03/0

9/13

11/1

0/13

22/1

1/13

20/0

1/14

12/0

3/14

0

1

2

3

4

5

6

7

12

17. Volatility


30 Day Interbank Cash Rate Futures continued

10-Q2 10-Q3 10-Q4 11-Q1 11-Q2 11-Q3 11-Q4 12-Q1







12-Q2 12-Q3 12-Q4 13-Q1 13-Q2 13-Q3 13-Q4 14-Q1







0

20

40

60

80

100

120

Basis Points

0 1 3 5 7 9 11 13 15

Mor

e

2010/11 2011/12 2012/13 2013/14

Freq

uenc

y

90 Day Bank Accepted Bill Futures

13



0

5,000

10,000

15,000

20,000

25,000

30,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

0

5

10

15

20

25

30

35

40

45

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

0

5

10

15

20

25

30

35

40

45

14



90 Day Bank Accepted Bill Futures continued

0

5,000

10,000

15,000

20,000

25,000

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

0

5,000

10,000

15,000

20,000

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

2.0

15



0

10

20

30

40

50

60

Basi

s Po

ints

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

12

15/0

1/20

14

15/0

3/20

14


0

5

10

15

20

25

30

35

40

45

50

Basi

s Po

ints

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

12

15/0

1/20

14

15/0

3/20

14


16

25. Volatility


90 Day Bank Accepted Bill Futures continued

10-Q2 10-Q3 10-Q4 11-Q1 11-Q2 11-Q3 11-Q4 12-Q1







12-Q2 12-Q3 12-Q4 13-Q1 13-Q2 13-Q3 13-Q4 14-Q1







0

20

40

60

80

100

120

Basis Points

1 3 5 7 9 11 13 15 17 19 21

Mor

e

2010/11 2011/12 2012/13 2013/14

Freq

uenc

y

3 Year Treasury Bond Futures

17


28. Trading Activity – Night trading session

0

20,000

40,000

60,000

80,000

100,000

120,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

0

10

20

30

40

50

60

70

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000

50,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

0

5

10

15

20

25

30

35

40

45

50

18



3 Year Treasury Bond Futures continued

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0.80

0.85

0.90

0.95

1.00

1.05

1.10

1.15

1.20

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

16,000

18,000

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0.80

0.85

0.90

0.95

1.00

1.05

1.10

1.15

1.20

19



0

10

20

30

40

50

Basi

s Po

ints

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

13

15/0

1/20

14

15/0

3/20

14


0

5

10

15

20

25

30

35

40

45

Basi

s Po

ints

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

13

15/0

1/20

14

15/0

3/20

14


20

33. Volatility



10-Q2 10-Q3 10-Q4 11-Q1 11-Q2 11-Q3 11-Q4 12-Q1







12-Q2 12-Q3 12-Q4 13-Q1 13-Q2 13-Q3 13-Q4 14-Q1







0

10

20

30

40

50

60

70

80

90

100

Basis Points

1 3 5 7 9 11 13 15 17 19

Mor

e

2010/11 2011/12 2012/13 2013/14

Freq

uenc

y

10 Year Treasury Bond Futures

21



0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

0

2

4

6

8

10

12

0

5,000

10,000

15,000

20,000

25,000

30,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

0

2

4

6

8

10

12

14

22




0

1,000

2,000

3,000

4,000

5,000

6,000

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0

0.2

0.4

0.6

0.8

1.0

1.2

23



0

5

10

15

20

25

30

35

40

Basi

s Po

ints

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

13

15/0

1/20

14

15/0

3/20

14


0

5

10

15

20

25

30

Basi

s Po

ints

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

13

15/0

1/20

14

15/0

3/20

14


24

41. Volatility



10-Q2 10-Q3 10-Q4 11-Q1 11-Q2 11-Q3 11-Q4 12-Q1







12-Q2 12-Q3 12-Q4 13-Q1 13-Q2 13-Q3 13-Q4 14-Q1







Basis Points

1 3 5 7 9 11 13 15 17 19

Mor

e

Freq

uenc

y

0

10

20

30

40

50

60

70

80

90

100

2010/11 2011/12 2012/13 2013/14

90 Day New Zealand Bank Bill Futures

25



0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1

0

10

20

30

40

50

0

50

100

150

200

250

300

350

400

450


Num

ber o

f Con

tract

s

Aver

age

Trad

e Si

ze

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1 0

10

20

30

40

50

60

26



90 Day New Zealand Bank Bill Futures continued

0

200

400

600

800

1,000

1,200

1,400

1,600

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0

1

2

3

4

5

0

100

200

300

400

500

600

700

800

900

1,000

1,100

1,200

Num

ber o

f Con

tract

s

Basi

s Po

ints

10-Q

2

10-Q

3

10-Q

4

11-Q

1

11-Q

2

11-Q

3

11-Q

4

12-Q

1

12-Q

2

12-Q

3

12-Q

4

13-Q

1

13-Q

2

13-Q

3

13-Q

4

14-Q

1


0

1

2

3

4

5

6

7

8

9

10

27



0

5

10

15

20

25

30

35

Basi

s Po

ints

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

12

15/0

1/20

14

15/0

3/20

14


0

5

10

15

20

25

30

35

Basi

s Po

ints

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

12

15/0

1/20

14

15/0

3/20

14


28

49. Volatility


90 Day New Zealand Bank Bill Futures continued

0

20

40

60

80

100

120

140

Freq

uenc

y

1 3 5 7 9 11 13 15 17 19

Mor

e

2010/11 2011/12 2012/13 2013/14

Basis Points

10-Q2 10-Q3 10-Q4 11-Q1 11-Q2 11-Q3 11-Q4 12-Q1







12-Q2 12-Q3 12-Q4 13-Q1 13-Q2 13-Q3 13-Q4 14-Q1







29

51. 3 vs. 10 Year Spread

52. BAT spread (90 Day Bank Bill vs. 3 Year Bond)

Interest Rate Futures – Curve Spreads

0

20

40

60

80

100

120

140

Spread RBA Official Cash Rate

Basi

s Po

ints

RBA

offic

ial c

ash

rate

%

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

12

15/0

1/20

14

15/0

3/20

14

0

1

2

3

4

5

6

7

8

-100

-80

-60

-40

-20

0

20

40

60

80

Spread RBA Official Cash Rate

Basi

s Po

ints

RBA

offic

ial c

ash

rate

%

15/0

3/20

10

15/0

5/20

10

15/0

7/20

10

15/0

9/20

10

15/1

1/20

10

15/0

1/20

11

15/0

3/20

11

15/0

5/20

11

15/0

7/20

11

15/0

9/20

11

15/1

1/20

11

15/0

1/20

12

15/0

3/20

12

15/0

5/20

12

15/0

7/20

12

15/0

9/20

12

15/1

1/20

12

15/0

1/20

13

15/0

3/20

13

15/0

5/20

13

15/0

7/20

13

15/0

9/20

13

15/1

1/20

12

15/0

1/20

14

15/0

3/20

14

0

1

2

3

4

5

6

7

8

30

53. CAB Spread (30 Day Interbank vs. 90 Day Bank Bill)

Interest Rate Futures – Curve Spreads continued

-150

-100

-50

0

50

100

CAB Spread RBA Official Cash Rate

Basi

s Po

ints

RBA

offic

ial c

ash

rate

%

22/0

3/10

13/0

5/10

05/0

7/10

24/0

8/10

13/1

0/10

02/1

2/10

03/0

2/11

01/0

4/11

25/0

5/11

14/0

7/11

02/0

9/11

24/1

0/11

13/1

2/11

06/0

2/12

18/0

4/12

07/0

6/12

27/0

7/12

05/1

0/12

04/1

2/12

08/0

2/13

08/0

5/13

12/0

7/13

02/1

0/13

02/1

2/13

17/0

2/14

0

1

2

3

4

5

6

7

8

Methodology

31

• DataisobtainedfromaReuterstradeandquotedatabasemanaged by SIRCA. The data contains a record describing each transaction, including the contract code, date, time and the price and volume of each trade. The data also provides the prices and volumes of the best bid and ask quotes.

• Thetimeperiodextendsfrom12March2010to31March2014.

• ThecontractsexaminedaretheSPI200futures,30DayInterbank Cash Rate futures, 90 Day Bank Accepted Bill futures, 3 Year Treasury Bond futures, 10 Year Treasury Bond futures and 90 Day New Zealand Bank Bill Futures.

• Foreachcontract,weexcludethe5dayspriortoexpiration.

• Tradedvolumeiscalculatedasthetotalnumberofcontractstraded.

• Tradesizeisequaltotheaveragenumberofcontractspertrade.

• Theabsolutebid-askspreadismeasuredasthebestask-priceminus the best bid-price.

• Bestdepthisdefinedastheaverageofthevolumeavailableat the best bid and best ask price.

• Totaldepthisdefinedastheaverageofthevolumeavailableat each bid and ask price throughout the visible limit-order book.

• Tradingrangeiscalculatedasthedifferencebetweenthehigh and low price for the day and night trading session.

• Standarddeviationofreturnsisdefinedasthestandarddeviation of the logarithm of the daily high and low price for the quarter.

• Thebasistrackingisthedifferenceintheclosingpricesofthe SPI 200 futures and the ASX 200 index.

• The3vs.10YearSpreadisthedifferenceinthedailyclosingprices of the 10 Year Treasury Bond futures and 3 Year Treasury bond futures.

• TheBATspreadisthedifferenceinthedailyclosingpricesof the 3 Year Treasury Bond futures and 90 Day Bank Accepted Bill futures (second month).

• TheCABSpreadisthedifferenceinthedailyclosingpricesof the 90 Day Bank Accepted Bill futures (second month) and 30 Day Interbank Cash Rate futures (second month).

32

Notes

Contact Details

Australia Maurice Farhart Senior Manager, International Sales +61 2 9227 0268 [email protected]

AsiaAndrew Musgrave Regional Manager, Asia +61 2 9227 0211 [email protected]

EuropeJames Keeley Regional Manager, Europe +44 203 009 3375 [email protected]

North AmericaCynthia TazioliVice PresidentBusiness Development, North AmericaChicago: +1 312 803 [email protected]

Head office ASX Limited Exchange Centre 20 Bridge Street Sydney NSW 2000 Australia Telephone +61 2 9227 0000

www.asx.com.au

This is not intended to be financial product advice. To the extent permitted by law, ASX Limited ABN 98 008 624 691 and its related bodies corporate excludes all liability for any loss or damage arising in any way including by way of negligence. This document is not a substitute for the Operating Rules of the relevant ASX entity and in the case of any inconsistency, the Operating Rules prevail.

© Copyright 2014 ASX Limited ABN 98 008 624 691. All rights reserved 2014.

Domestic Information Line: 131 279 International Information Line: +61 2 9338 0000

www.asx.com.au For these contracts the market is operated by Australian Securities Exchange Limited ACN 000 943 377

market quality indicators - australian · pdf filemarket quality indicators has been developed...

Documents