The Hindu Business Line : June Nifty futures ends in premium to the spot

NOTWITHSTANDING the settlement week for June contracts, lacklustre activity continued to plague the derivative segment on the NSE. Though the turnover improved marginally to Rs 7,990 crore on Tuesday against Monday's figure of Rs 7,116 crore, it used to be quite high during settlement weeks on earlier occasions.

Index futures: The near-month June Nifty contracts closed the day on positive note at 1477.05 against previous day's close of 1475.85 and in premium to the Nifty spot, which closed the day weak at 1474.70 points. Open interest positions slipped by 11 per cent to 39,550 contracts.

The July Nifty contracts closed the day at 1451.60, a discount of 23.10 points to the spot close. Open positions improved 20,173 contracts.

The divergent trend between the future and the spot market indicates that there were short-coverings in futures market ahead of the expiry of June contracts. (The futures price tends to converge towards the spot rate when the contract approaches expiry.)

The Nifty put/call ratio inched up marginally; the implied volatility of puts dropped sharply to 38 per cent, while the same for calls remained around the Monday's level of 27 per cent to 28 per cent.

The positive unmatched bid/ask order book, drop in puts implied volatility and the narrowing down of gap between the Nifty futures and the spot index suggest that market may recover on short-covering. However, traders are advised caution and trade with strict stop-loss in place.

Stock futures: SBI was the most active among individual stock futures. Apart from SBI, contracts on Satyam Computer, Reliance, ONGC, Tata Motors, Tata Steel and Maruti witnessed keen activity.

The Reliance June futures closed at Rs 432.15 against the spot close of Rs 431.75; open interest positions slipped about 14 per cent to 5,896 contracts.

The Reliance July contracts closed at Rs 432.70, a premium of about Rs 1 to the spot; open interest positions jumped to 3,292 contracts. The implied volatility for both puts and calls on Reliance remains around 38 per cent to 40 per cent levels while the put/call ratio stood at 0.60.

Most counters witnessed a decent rollover of open interest positions to the July contracts.

FIIs: It seems foreign institutional investors have rolled-over their positions to July contracts as there was a market improvement in their trading activity. However, they were net buyers only to the tune of about Rs 30 crore on Monday. Cumulative FII positions as percentage of total gross market position, as on Monday was 22.54 per cent.