Financial Daily from THE HINDU group of publications
Sunday, Jul 24, 2005
Financial Daily from THE HINDU group of publications Sunday, Jul 24, 2005 |
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Investment World
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Derivatives Markets Markets - Derivatives Markets Heightened rollover K.S. Badri Narayanan
THE trading was rather moderate last week on the derivative segment at the NSE. The average daily turnover declined to Rs 13,656 crore against the previous week figure of Rs 15,517 crore. Hectic activity in puts was seen. Huge rollover of positions were seen in the Nifty and some frontline stocks. The Nifty August series added over 20,000 contracts in open interest. Allahabad Bank, VSNL, Satyam and SRF were the other counters that saw robust rollover. Fair value: The fair value of the Nifty July contracts (without considering dividend yields) works out to about 2267 against Friday's close of 2265.75 (assuming interest rate at 6 per cent). The FV of August contracts stood at 2278 against Friday's close 2255.95. The farther months' contracts continue to trail the fair price significantly. However, the discount of August contracts was wider at 10.8 points while the September contracts trails the Nifty spot by 20.8 points. FII position: The cumulative FII positions as percentage of total gross market position in the derivative segment remained flat at 28.98 per cent (29.38 per cent). Stock futures: Reliance, Tata Steel, SBI, Infosys Technologies, Satyam Computer, TCS and Reliance Capital were the most active contracts. Apart from this VSNL and Polaris also saw a hectic activity. * Most individual stock futures are ruling in discount to their respective spot prices. However, quite a few contracts, are ruling in 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 heavyweights indicating weakness.
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