In an effort to subdue the volatility of the AEX-index, the financial markets of Amsterdam Exchanges repeatedly invoked what is known as the 2% rule. This rule comes into force when the AEX-index has risen or fallen by more than 2% during a one-hour period. On Friday, 15 August, trading ceased for the day at 16.24 hrs after the AEX-index had fallen by 5% in comparison with the opening level.
AEX-Effectenbeurs
On the AEX-Effectenbeurs heavy trading in stocks and bonds generated high turnover. Total August turnover of stocks and bonds amounted to 20.1 bn, an increase of 26.35% in comparison with August 1996.
Even more remarkable was the substantial rise in the number of transactions by 147.9% to 824,989. The number of transactions on the AEX-Effectenbeurs during the first eight months of this year has risen to 5.7 million, an increase of 78% in comparison with the same period in 1996.
Price moves on the AEX-Effectenbeurs were affected by several factors, including the value of the American dollar and share prices on Wall Street, growing fear of interest rate hikes and by the half-year figures published by many Dutch companies.
The AEX-index sky-rocketed to a record high of 1011.62 this past month, an increase of 52% in comparison with the index's opening level in 1997. However, the index dropped below the 900 level later in the period and closed the month at 868.29.
AEX-Optiebeurs
August turnover on the AEX-Optiebeurs amounted to 4.9 million contracts, an increase of 132% in comparison with August of 1996. Premium volume in the same period rose by 419% by 5.1bn.
During the first eight months of this year, the number of traded contracts rose by 88% to 34 million. Premium turnover in the same period rose by 263% to 83bn.
Individual shares, and hence the AEX-index, experienced substantial price fluctuations. The biggest one-day gain was recorded on 19 August, when the AEX-index picked up 29.97 points in a single day. The biggest loss - 42.64 points - was recorded on 13 August.
As a result of the enormous volatility of shares prices, volatility on the AEX-Optiebeurs rose across the board. The 3-month volatility of the AEX-index climbed from 16.35 on 1 August to 25.12 at the beginning of September. Individual stocks experienced even greater increases in volatility. The 3-month volatility of Hoogovens stocks jumped from 24.92 to 42.27 during the same period.
Volatility is an important tool in determining the theoretical value of options. The more volatile the stock, the greater the chance that an option on the stock will acquire - or lose - intrinsic value.
AEX-Agrarische Termijnmarkt
AEX-Agrarische Termijnmarkt, the agricultural futuresmarket of Amsterdam Exchanges, traded more contracts than in the same month last year, and turnover was also higher than in July of 1997. Total August turnover reached 16,474 contracts.
With a turnover of 13,712 contracts, potato futures were responsible for the lion's share of this total. Here too, prices were volatile as an August heat wave caused the price the potato futures contract to rise by more than 10% on 12 August.
Monthly statistics Amsterdam Exchanges August '97
Indices August '97 August '96 change end '96 change AEX 868 551 57.6% 648 33.95% AMX 1,367 839 62.9% 939 45.68% TOPS 1,524 832 83.1% 1,024 48.78% E100 2,135 1,409 51.6% 1,613 32.37% AEX-Effectenbeurs August '97 August '96 change Turnover (in Dfl, mln) Shares 114,063 42,812 166.4% Bonds 86,981 116,393 -25.3% NMM 16 - 0.0% Total 201,061 159,204 26.3% Transactions Stocks 794,550 297,779 166.4% Bonds 28,642 34,982 -18.1% NMAX 1,797 - 0.0% Total 824,989 332,761 147.9% AEX-Clearing & Depository August '97 August '96 change Transactions Clearing & Depository 792,569 304,308 160.4% ASAS 20,946 12,726 64.6% AEX-Optiebeurs August '97August '96 change Premium turnover (in Dfl. mln) Indices 5,148 993 418.6% Shares 7,588 1,374 452.3% Total 12,876 2,414 433.5% Contracts Indices 801,645 511,928 56.6% Shares 3,759,292 1,420,677 164.6% Futures 265,693 129,675 104.9% Other 117,834 72,038 63.6% Total 4,944,464 2,134,318 131.7% Exercised contracts Indices 53,242 27,057 96.8% Shares 174,451 119,145 46.4% Futures 8,403 4,063 106.8% Other 8,554 11,976 -28.6% Total 244,650 162,241 50.8% AEX-Agrarische Termijranarkt August '97 August '96 change Contracts Live Hogs 2,706 7,877 -65.6% Potatoes 13,712 5,376 115.1% Piglets 56 141 -60.3% Total 16,474 13,394 23.0% Indices August 97 August 96 change end 96 change AEX 868 551 57.6% 648 33.95% AMX 1,367 839 62.9% 938 45.68% Dutch Top5 1,524 832 83.1% 1,024 48.78% FTSE E100 2,135 1,049 51.6% 1,613 32.37% AEX-Effectenbeurs Y.T.D. '97 Y.T.D. '96 change Turnover (in Dfl. mln) Stocks 764,369 414,172 84.6% Bonds 764,966 935,118 -18.2% NMM 221 - 0.0% Total 1,529,556 1,349,290 13.4% Transactions Stocks 5,347,238 2,867,627 86.5% Bonds 287,987 309,433 -6.9% NMAX 22,758 - 0.0% Total 5,657,983 3,177,060 78.1% AEX-Clearing & Depository Y.T.D. '97 Y.T.D. '96 change Transactions Clearing & Settlement 5,380,996 2,903,842 85.3% ASAS 256,674 172,230 49.0% AEX-Optiebeurs Y.T.D. '97 Y.T.D. '96 change Premium turnover (in Dfl. ln) Indices 29,790 9,054 229.0% Shares 52,136 13,151 296.4% Other 1,049 653 60.6% Total 82,975 22,858 263.0% Contracts Indices 6,020,478 4,470,565 34.7% Shares 25,431,712 11,751,617 116.4% Futures 1,684,186 988,413 70.4% Other 881,718 899,642 -2.0% Total 34,018,094 18,110,237 87.8% Exercised contracts Indices 383,625 219,727 74.6% Shares 1,549,858 1,081,910 43.3% Futures 46,473 32,906 41.2% Other 76,975 114,365 -32.7% Total 2,056,931 1,448,908 42.0% AEX-Agrarische Termijnmarkt Y.T.D. 97 Y.T.D. '96 change Contracts Live Hogs 40,968 33,090 23.8% Potatoes 52,798 63,989 -17.5% Piglets 2,053 1,985 3.4% Total 95,819 99,064 -3.3%
The content of this article is intended to provide a general guide to the subject matter. Specialist advice should be sought about your specific circumstances.
For further information contact Thom Hoedemakers, Amsterdam Exchanges AEX Amsterdam: 00 31 20 550 4540 or Paddy Manning, St James Corporate Communications London: 44 171 436 4101.
