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C. Raja Rajeshwari

GAINING strength from the uptrend in the index, most of the positions on the October contracts were rolled over to the November contracts; and new positions initiated in the last three trading days. The turnover in the F&O segment of NSE hit an all-time high of Rs 21,338 crore on Thursday, the expiration day for October contracts. Most of the futures quoted at a premium to spot with an exception of BHEL and Cipla.

Foreign institutional investors who were wary in the beginning of the week with very few trades; mopped up positions in the past three days - primarily in stock futures.

Though options on most of the underlying stocks had trading interest, they remained subdued. With only one trading day after the expiration, interest in most of the options would gain in the up coming week. Hence, put-call open interest ratio would become more relevant in the only in the weeks to come.

Going by the volumes, options on specific underlying stocks such as Tata Motors, Tata Steel, ACC and Satyam Computers were the ones that were actively traded.

Contracts on Nifty: The surge in the broad-based index in the past two days by 3.8 per cent boosted sentiments across board. The November futures gained about 2.7 per cent in premium. The future closed at Rs 3.6 premium to spot, higher than previous week's premium.

Among the options, 1540 call (in-the-money) was the most active. However, November 1500-strike, 1520-strike, 1480-strike and 1540 puts were active (all out-of-the-money puts).

Volatility view: Implied volatility decreased during the week. Though there was an increase in volatility when the Nifty changed trends and appreciated; it closed the week at much-reduced levels of 23 per cent for calls than what it was in the previous week (27 per cent). However in the case of Nifty puts, shorting interest kept the implied volatility in the 25-30 per cent level for four weeks now.

Tech underlyings: The sentiment towards contracts on tech stocks was captured by the November futures of the CNX IT index closing the week with 559 contracts as open interest. The underlying index has gained 774.75 points on a week-on-week basis. Among the stock futures, Infosys November future closed the week at the highest premium of Rs 14.2 to the spot.

Implied volatility of call on underlying stocks such as Satyam Computers and Wipro have increased sharply from mean volatility levels, presenting option-selling opportunities, based on implied volatility.

The volatility for Infosys and Polaris reduced over the week, whereas for I-flex Solutions and Digital GlobalSoft volatility levels remained sluggish about average historical levels.

Auto underlyings: Among November futures, Maruti had 13 per cent increase in premium, M&M and Hero Honda had 11 per cent in premium and Bajaj Auto had 9 per cent increase in premium.

Among the options, Tata Motors hogged the limelight straddling trading interest in both 380-strike, 370-strike calls and 370-strike puts.

Banking underlyings: Among the November stock futures, the contracts on SBI closed with the highest open interest. Though the future was active even before the expiration of October contracts, most of the positions were initiated on Thursday.

The November futures on SBI had an Rs 10.7 decline in its premia to Rs 489.30. The spot has decreased week-on-week by Rs 7.7 to Rs 484.2.

Interestingly, though calls on SBI did not make it to the top ten traded calls puts specifically, the November 480-strike has been traded heavily.

Apart from SBI, contracts on Canara bank and Punjab National Bank substantial trading interest as compared with that of other banking stocks.

Other underlyings: With a jump in the Grasim spot, the November Grasim future's premium increased by 15 per cent with open interest also following suit.

Tata Steel November futures gained new positions three days prior to expiration. There was just a 6 per cent increase in open interest on Friday. Among the stock options, Tata Steel November 360 call closed the week with the highest open interest of 630 contracts. The Tata Steel spot closed the week at Rs 357.9.

ACC November 210 call was highly active closing with open positions of 480 contracts. (spot: Rs 213.2)

Note: Giving a major boost to the F&O trading in India, NRIs have been permitted to traded in exchange traded derivatives and also the positions limits for FIIs in stock options and futures have also been modified and revised upwards.

If you have any queries relating to the futures/options, please mail them to Futures & Options, Kasturi & sons, 859-860, Anna Salai, Chennai 600 002 or email them to fno@thehindu.co.in with a mention of futures/options in the subject line of the mail.

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