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

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