FUTURES Record business

Press, 15 April 1987, Page 45

FUTURES Record business

Strong trading in interest rate and sharemarket futures contracts caused record trading on the New Zealand Futures Exchange yesterday. The total number of lots traded yesterday was 2832, compared with the previous best of 2718 lots on December 9.

The market had to grapple with the implications of yesterday’s consumer price index (CPI) quarterly report and Monday’s announcement of the Government stock tender programme.

For the Government stock (GSK) contract and the Barclays share index contract it was a particularly volatile day. The Barclays futures was at a discount to the physical index, in the morning but ended at a substantial premium. Mr Peter Dumbleton, a trader for Mair Astley Futures, said yesterday that after the CPI announcement the GSK contract had sold as high as 8360, after the figure was lower than expected. However, the upward movement was still restricted by the size of the premium between the physical rates and the GSK index, and it finished at 8355.

The size of the premium was such that sellers were able to. arbitrage. But this would not continue if interest rates fell.

The bank accepted bills (BAB) contract was volatile ending in the mid-range of trading for May and June. Short term rates remained high, and there was still some activity by hedging on the sell side of the contract, he said. The Barclays contract was extremely volatile. It had traded as low as 3060 during the morning but began to rise after the CPI figure was

announced. An indication of the volatility was that at one stage the index moved through 30 points in about one minute, Mr Dumbleton said. The contract stood at a discount of between 30 to 40 points in the morning, but renewed buying on the sharemarket in the afternoon pushed the index back to a substantial premium of 62 points. The trading range was 144 points, and the contract ended 14 points below its high at 3190. Trading still appeared to be directionless on the sharemarket. The United States dollar contract did not really react to the firm New Zealand dollar, although trading was busier. The kiwi moved in a USO.SC trading range as it found support through high call rates, a weak United States dollar, a strong Australian dollar, and the settlement of Yankee bond issues. The wool contract was weaker in the morning, but back up in the afternoon, possibly after stop-losses were triggered off. Also the market might have been helped by the expectations for today’s wool sale in Christchurch, Mr Dumbleton said. In Sydney, the June share price index futures finished sharply lower, losing 45 points to 1779.0, roughly in line with the physical market. Details of yesterday’s trading were:

Contracts traded: 25 Open positions at Apr 13: Apr 374, May 35, Jun 12, total 421 (up 2). COMMERCIAL BILLS Mth Open H/L Last Vol Contracts traded: nil. Open positions at Apr 13: Jun 123, Sep 43, Dec 40, Mar 39, Jun 10, total 255 (same). GOVERNMENT STOCK Mth Open H/L Last Vol Jun 8345 360/332 355 1545 Contracts traded: 1545 Open positions at Apr 13: Apr 22, Jun 3694, Sep 36, Dec 105, total 3857 (up 153). WOOL Mth Open H/L Last Vol Aug 690 695/690 690 8 Oct 695 700/695 700 4 Jan 707 708/697 708 43 Mar ’712 712/710 712 19 May 725 725/725 725 2 Contracts traded: 76 Open positions at Apr 13: May 143, Aug 120, Oct 114, Dec 116, Jan 282, Mar 226, May 83, Aug 16, total 1100 (up 10). WHEAT Mth Open H/L Last Vol Contracts traded: nil. Open positions at Apr 13: May 7, total 7 (same). 90-DAY BANK BILLS Mth Open H/L Last Vol Apr 7462 489/462 485 5 May 7670 680/635 655 93 Jun 7860 900/835 860 148 Sep 8105 105/105 105 2 Contracts traded: 248 Open positions at Apr 13: Apr 421, May 463, Jun 348, Sep 187, Dec 44, Mar 53, Jun 40, Sep 40, Dec 40, total 1636 (up 70). SYDNEY ALL-ORDS (half-points omitted) Prev. Mth close H/L Last Vol Jun 1824 1818/72 1780 2601 Sep 1826 1797/77 1780 110 Contracts traded: 2711. Open positions at Apr 13: 13062. BARCLAY’S SHARE INDEX Mth Open H/L Last Vol Jun 3070 204/60 190 938 Contracts traded: 938 Open positions at Apr 13: Jun 1028, Dec 82, total 1110 (down 20).

SUS CONTRACTS Mth Open H/L Last Vol Apr 1.7250 7300/7250 7275 4 May 1.7450 7550/7450 7525 8 Jun 1.7826 7826/7810 7810 3 Sep 1.8510 8510/8510 8510 10