Trends in the South African Hedging Space Part I: Derivatives Market Trade Numbers & Equity Index Concentration

Peregrine Securitites, 2013

40 Pages Posted: 21 Apr 2016

See all articles by Emlyn James Flint

Emlyn James Flint

Legae Peresec; Department of Actuarial Science, University of Cape Town

Anthony Seymour

University of Cape Town (UCT)

Florence Chikurunhe

Peregrine Securities

Date Written: February 08, 2013

Abstract

This report considers the South African market from two trade-led perspectives. In the first segment, we provide a critical and detailed breakdown of the equity and currency derivatives markets over the period 2007 to the end of 2012. We consider the evolution of index and single stock futures and options usage, the latent term-structure within the index derivatives market, the concentration within the single stock derivatives market, the USDZAR bias of the currency derivatives market, and finally give a short précis on events within the Can-Do derivatives space.

In the second segment, we provide a diagnostic review of SA index concentrations between 2007 and 2012. We compare total concentration across all JSE indices as well as focussing on the latent stock, sector and currency bets within the same. Building on this, the idea of risk-optimised benchmark construction is introduced through a simple example.

Keywords: Derivatives market statistics, index concentration

JEL Classification: G10, G15, G16

Suggested Citation

Flint, Emlyn James and Seymour, Anthony and Chikurunhe, Florence, Trends in the South African Hedging Space Part I: Derivatives Market Trade Numbers & Equity Index Concentration (February 08, 2013). Peregrine Securitites, 2013. Available at SSRN: https://ssrn.com/abstract=2767416 or http://dx.doi.org/10.2139/ssrn.2767416

Emlyn James Flint (Contact Author)

Legae Peresec ( email )

15 Cavendish Street
Claremont
Cape Town, Western Cape 7700
South Africa
27117227556 (Phone)

HOME PAGE: http://www.legaeperesec.co.za

Department of Actuarial Science, University of Cape Town ( email )

Actuarial Science Section, University of Cape Town
Private Bag X3, Rondebosch
Cape Town, Western Cape 7701
South Africa
+27 21 650 2475 (Phone)

Anthony Seymour

University of Cape Town (UCT) ( email )

Private Bag X3
Rondebosch, Western Cape 7701
South Africa

Florence Chikurunhe

Peregrine Securities ( email )

21 Main Road
Claremont
Cape Town, Western Cape 7700
South Africa
+27117227551 (Phone)

HOME PAGE: http://www.peregrine.co.za

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