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Our Bureau

Chennai, Sept. 25 Trading volume improved on the settlement day of September series to Rs 82,698 crore from Wednesday’s figure of Rs 67,052 crore.

The Nifty September future closed at 4113.2 against the spot close of 4110.55 while the October future closed at 4152, with a hefty premium of 41.45 points. Nifty rollover stood at about 57 per cent versus 75 per cent in the last expiry. Even, the overall market-wide rollover was lower at about 69 per cent against last month’s of over 80 per cent.

Among the October options, Nifty 4100 put and 4300 call were the most active. Apart from them, Nifty 4500 call and 4000 put also remained active. While 4100 put and 4300 call witnessed genuine buying interest (according to un-matched bid/ask deal), the 4000 put and 4500 call saw the emergence of writers (sellers). This indicates that Nifty might hover between 4000 and 4500 range.

The NSE volatility index or India VIX, which measures the expected immediate volatility of the market, slipped to 34.09 from Wednesday’s value of 35.61.

Reliance Industries was the most active followed by SBI and Reliance Capital. Reliance Industries saw a rollover of 68 per cent and SBI 70 per cent.

The rollover of some of the frontline stocks was still very muted as traders are not willing to commit themselves. However, most of the frontline stocks’ October future ended with sharp premium, indicating that short positions were not rolled over.

Akruti City entered active zone in the F&O segment for the first time. Its September future closed at 991.25 against the spot close of 983.20. However, the October future closed at 951.05 (after touching a day’s low of 895). Akruti City added 12.6 lakh shares in September series. Its October Futures ended at a discount of 32 points and the rollover was at 16 per cent. This indicates that lot of short positions have rolled over to next month series. Akruti attracted NSE ban in the F&O segment a couple of days back as its open interest position crossed the stipulated 95 per cent market-wide position limit. It may be recalled that post January, none of the shares attracted NSE ban.

Foreign institutional investors remained net sellers to the tune of about Rs 420 crore; they offloaded index futures worth Rs 1,477.5 crore but bought index options (Rs 373 crore), stock futures (Rs 569.5 crore) and stock options (Rs 115 crore). Overseas investors were also net sellers in the cash segment by Rs 1,050 crore, according to NSE provisional data.

More Stories on : Derivatives Markets | On the hedge

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