The Hindu Business Line : Reliance Capital in focus

THE trading activity at the F&O segment on the NSE picked up ahead of the settlement of June month contracts; the average daily volumes jumped to Rs 13,947 crore against the previous week figure of Rs 9,638 crore. The roll-over of positions from June to July series was about 18-22 per cent. Reliance Capital was one of the most active individual contracts.

Fair Value: The fair value of the Nifty June contracts (without considering dividend yields) works out to about 2180 against the Friday's close of 2178.5 (assuming interest rate at 6 per cent%). The FV of July contracts stood at 2169 (appx) against the Friday's close 2157.4. This indicates that spot Nifty is ruling higher with respect to the actual/fair price of Nifty (close to 16 points). This provides a great arbitrage opportunity for investors by buying Nifty futures and selling the Nifty index.

However, it is not possible for a common investor to sell the Nifty index, though institutional investors can do by selling it through `basket selling'. This also indicates that farther months' contracts are fairly under-priced with respect to near-month contract. In this backdrop, buying the farther month contract and selling the near one may also be beneficial.

The discount of July and August contracts was even wider at 36.95 and 50.3 points.

FII position: The cumulative FII positions as percentage of total gross market position in the derivative segment has remained around the previous week levels of 29 per cent.

Stock futures: Reliance, Tata Steel, SBI, Infosys Technologies, Hindustan Lever, Satyam Computer, TCS, Tata Motors, Maruti and TCS were the most active contracts.

* Most individual stock futures are ruling around the spot close quite contrary to the Nifty trend, where the discount was remaining firm.

* Implied volatility of puts jumped for most contracts while that of calls slipped. This indicates a negative bias as most players are not betting on their upside movement. Put/call ratio on volume-basis declined while the same on open-positions wide improved marginally for index heavyweights.

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