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C. Raja Rajeshwari

FUTURES' premium have reduced, open interest across September contracts have decreased with the exception of Nifty contracts and contracts on Oriental Bank, Dr Reddy, Reliance, Digital Globalsoft and Grasim. However, the put-call ratio levels of the index and the actively traded stocks indicate positive undertones in the market. The September contracts expire on the coming Thursday. The interest in the futures and options segment of the NSE has tilted towards the October contracts.

Nifty: The index futures are quoting at a premium to spot but the quantum of premium has reduced.

The September futures shed open interest to the extent of 16 per cent from the previous week. The mid-week correction in the underlying index created a flutter and forced the players to close positions or rollover to the October futures. Consequently, the October futures witnessed a two-fold jump in open interest.

The cost-of-carry is still positive, however, it has reduced, when compared with last week's levels.

Adding strength to positive sentiment is the put-call open interest ratio at 0.44.

The ratio has consistently declined for the past two weeks from more than 0.80. Market participants generally infer this as bullish.

Among the options, the trading action is concentrated in the 1300-levels (in-the-money). Active trading in the October 1350 call and October 1400 call indicates the underlying bullishness in the index.

Volatility check: The implied volatility (IV) of the Nifty puts, which rose to 31 per cent level during the week, closed the week at a more subdued level at 29 per cent. The IV is higher than last week's close of 27 per cent. The September 1220 put closed the week with IV of 60 per cent.

HPCL: The September futures trade at a slight discount to spot, but the October futures are at a premium to spot, indicating positive trends in the week ahead. Open interest is more than 80 per cent of the market wide limits.

The put call open interest ratio at 0.03, lower than previous week's ratio, indicates a positive outlook. IV of calls has reduced to 47 per cent and the IV of puts has stabilised at 67 per cent.

Tata Steel: The trading interest has shifted to the October contracts. The open interest for the September contracts is more than the market wide limit, causing the margins on futures and options to jump.

The Put-call ratio closed at 0.22 as compared with previous week's 0.54. The options on both calls and puts are trading rich, owing to the high IV. The calls IV closed at 47 per cent whereas the puts IV has steadied at a higher than average - 67 per cent. Interest has also perked in the October 260-strike and 270 call.

MTNL: The futures and options contracts have substantial build up in open interest. The September futures are at a slight discount to spot whereas the October futures are at a premium to spot. Among the options, trading interest and open interest build up is among the 130-strike and the 140-strike. The put-call open interest ratio is 0.15. Gauging from the indicators, the outlook for the stock is bullish.

Andhra Bank: The futures are traded more than the options. The trading interest in highly concentrated on the September 45 call (out-of-the-money). The open interest for this call has jumped up 12 per cent on the week-on-week basis. The put-call open interest ratio at 0.13 also indicated that there is much to look forward in the week ahead. The IV for deep out-of-the-money September calls (45-strike and 50-strike) were very high, making these calls expensive.

Reliance: The future contracts are trading at premium to spot. The IV of the calls has reduced to 39 per cent, but the calls are trading rich with the call writers cautious on the underlying stock. The put call open interest closed the week at 0.40.

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

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