The Hindu Business Line : Volumes pick up ahead of June month's expiry

ACTIVITY picked up on the NSE's derivative segment on Wednesday, the penultimate day for the expiry of June contracts. Turnover improved to Rs 9,348 crore against the previous day's figure of Rs 7,990 crore, with stock futures attracting more attention on Wednesday.

Index futures: The S&P CNX Nifty index witnessed a steady decline during the day and plummeted by 2 per cent to close at 1446.10; it touched a high of 1481.45 and a low of 1445.55.

The June Nifty futures contract closed at 1447.50, a premium of 1.40 points to the spot; open interest positions slipped by about 21 per cent to 28,429 contracts. With just a day away for the settlement, this figure of open positions is high, as the sharp fall in index seemed to have left many traders stranded.

The July Nifty contracts closed at 1419.90, a discount of 26.20 points to the spot close; open interest positions improved by 53 per cent to 31,009 contracts. The discount was 23.20 points on Tuesday.

While the implied volatility of puts improved slightly, it remained around the same 28-30 per cent levels for calls. However, put/call ratio (volume-wise) jumped sharply.

The widening of discount between futures & spot (July month contracts), increase in puts implied volatility and a sharp jump in put/call ratio indicate a bearish outlook for the market.

With June month contracts expiring on Thursday, traders are advised to trade with caution by placing tight stop-loss.

Stock futures: Reliance was the most active among individual stock future contracts. Along with Reliance, contracts on SBI, Tata Motors, Satyam Computer, Tata Steel, Maruti, Infosys and M&M witnessed active trading.

Substantial rollover of open positions was witnessed in Gujarat Ambuja, ICICI Bank and Tata Tea.

While the rollover of open interest positions improved substantially for ICICI Bank, the discount in futures widened to Rs 10 (July contracts), indicating weakness.

The put/call ratio for most counters has been witnessing a steady increase, indicating the downward bias of the market.

Mahindra & Mahindra's put/call ratio, in fact, jumped well above the one-point mark to 1.23; implied volatility for puts stood around 44 per cent and that of calls 49 per cent.

FII Positions: Foreign institutional investors were net buyers to the tune of Rs 61 crore on Tuesday. Cumulative FII position as percentage of total gross market position in the derivative segment as on Tuesday was 21.91 per cent.