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Our Bureau

Chennai, Aug. 28 Trading turnover improved to Rs 66,164.24 crore in the F&O segment on Thursday on account of settlement day for August series. The Nifty August future closed in premium at 4218.2 and the September future at 4222.9 against the spot Nifty close of 4214.

Rollover of open interest position picked up to 75 per cent, which is slightly higher than the previous month’s rollover figure. Accumulation of open interest positions, in the closing hours, seemed to have pushed the Nifty futures into the premium.

Among the options, the Nifty September 4200 put and 4300 call remained the most active. Apart from these, Nifty September 4400 call and 4300 put were also in the active zone.

All these options added open interest positions, though accumulation of open interest was on the higher side for call options. This indicates that traders are slightly bullish on September series.

The NSE Volatility index or India VIX, generally referred as fear gauge, inched up marginally to 33.31 against Wednesday’s figure of 32.8. However, during intraday it skyrocketed to 73.29 indicating the uncertainty in the market.

Reliance Industries was the most active followed by Reliance Capital, Reliance Petroleum and State Bank of India.

Rollover was quite healthy on stock futures. While Reliance Industries saw a rollover of about 75 per cent, RCap, RPL and SBI witnessed 84 per cent rollover in open interest positions.

Most of these counters’ September contracts ended in premium, indicating rollover of long positions.

Ranbaxy provides yet another arbitrage opportunity. Its September future closed today at 393.35 and August future at 513.9 against the spot close of 514.1. Traders can consider selling Ranbaxy 500 call, which ended on Friday at 113.2, and buying Ranbaxy 400 put (Rs 31.6) and going long on Ranbaxy September futures.

The open offer (at Rs 737 a share) from Daiichi Sankyo for Ranbaxy open offer ends on September 4 and the consideration for the shares and balance unaccepted shares would be returned by September 19.

Hence, the spot price of Ranbaxy could fall and align with the September futures price, the strategy would yield handsome profits.

More Stories on : Derivatives Markets | On the hedge

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