DGCX September 2006 -Market Activity report

Foraying into the prestigious launch of the first fuel oil futures contract in the Middle East due on October 30, 2006, the exchange has further strengthened its position as a global commodities exchange. The gross traded volume in value terms since inception touched nearly $8.50 billion.

Gold futures valued at $816.46 million were traded on DGCX in September 2006. Total open interest in respect of gold futures i.e. the number of contracts executed (bought or sold) but not closed out by the participants, as on September 29, 2006 stood at 2397 contracts valued at $46.23 million. On 7th September, 2006 the exchange recorded an open interest of 2580 contracts in the October delivery gold futures. This was the highest ever open interest registered for any near term contract since the inception of the exchange.

The total value of all the futures contracts traded on the exchange from inception till the month of September 2006 stood at $8.47 billion. Of the said amount, gold futures were worth $6.82 billion whereas silver and currency futures jointly contributed the balance $1.65 billion to the total traded volume.

A higher average intra-day volatility of $11.04/troy oz was observed during the month in the near-term gold futures as compared to $10.32/troy oz observed during August 2006.

In the first settlement of currency contracts, which were launched this summer, 1.5 million Euros, 3.05 million Sterling totaling to $7.6 million were delivered using the electronic interface between the Exchange and the clearing banks. Mashreq Securities, Trust Securities and Fimat Internationale Banque SA participated in the delivery of these currencies.

DGCX implemented the Standard Portfolio Analysis of Risk (SPAN) based Risk Management System using the SPAN framework licensed by Chicago Mercantile Exchange (CME) with effect from Monday, August 14, 2006. SPAN is globally accepted portfolio based approach which evaluates the risk of an entire account's futures/options portfolio and assesses a margin requirement based on such risk. The end result is that the minimum margin on the portfolio will more accurately reflect the inherent risk involved with those positions as a whole.

The Exchange introduced Spread trading facility in Gold & Silver futures contracts on September 8, 2006. Spread trading facility allows DGCX Members and traders in creating calendar spread positions through a single order. Initially this can be done in contracts for nearest expiry month and the next expiry month i.e. first and second available expiry contracts in a given commodity. It can also be used by investors and traders for rolling-over of their positions from a near month to a far month contract using a single order. Later in the month, the facility was extended to cover all the currency futures contracts as well.