The Hindu Business Line : Modest rollover

THE trading activity at the F&O segment on the NSE rose due to the settlement of June month contracts; the average daily volumes jumped to Rs 16,846 crore against the previous week's figure of Rs 13,947 crore. The rollover of positions from June to July series was quite modest at about 80 per cent.

Rollover levels were high in Century Textile, NDTV, Ranbaxy, HLL and IPCL.

Rollover was low in Hero Honda, Mahindra & Mahindra, Bajaj Auto, Satyam and Wipro.

Fair value: The fair value of the Nifty July contracts (without considering dividend yields) works out to about 2216 against the Friday's close of 2206.85 (assuming interest rate at 6 per cent). The FV of August contracts stood at 2217 (appx) against the Friday's close 2196.8.

This 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-month one may also be beneficial.

The discount of August contracts was wider at 15.1 points.

FII position: The cumulative FII positions as percentage of total gross market position in the derivative segment has jumped to 36.48 per cent against the previous week levels of 29 per cent.

Stock futures: Reliance, Tata Steel, SBI, Infosys Technologies, Satyam Computer, TCS and Reliance Capital, Reliance Energy were the more actively traded contracts. SRF, Matrix Labs and Century Textile also witnessed spurt in trading activity.

* Most individual stock futures are ruling close to the close. A few of contracts, however, are ruling at a premium.

* Implied volatility of puts jumped for most contracts while that of calls declined marginally.

Put/call ratio on volume-basis and open-positions wise increased for the index heavyweight stocks indicating weakness.

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