The Hindu Business Line : Heightened activity

THE NSE witnessed an all-time high turnover at the derivative segment last week on Friday at Rs 25,421 crore; overall, the average daily turnover for the week rose to Rs 20,015 crore against the previous week's figure of Rs 13,656 crore.

Hectic activity was witnessed on the puts side.

The rollover of open positions in Nifty and frontline stocks was at moderate levels. Contracts on Tata Steel, Reliance, Reliance Capital and VSNL enjoyed a robust rollover in open positions.

Fair value: The fair value of the Nifty August contracts (without considering dividend yields) works out to about 2321 against the Friday's close of 2300.7 (assuming interest rate at 6 per cent).

The FV of September contracts stood at 2333 (appx) against the Friday's close 2295.15.

This indicates that farther-month (September) contracts are less expensive with respect to the August Nifty contracts

The September Nifty contract is now trading at a discount of 17.15 points; the gap, however, was 20.8 points last week.

FII position: The cumulative FII positions as percentage of total gross market position in the derivative segment remained flat at 28.5 per cent (28.9 per cent).

Stock futures: Reliance, Tata Steel, SBI, Infosys Technologies, Satyam Computer, TCS and Reliance Capital were the more actively traded contracts.

Apart from this, VSNL also saw a hectic activity.

* Most individual stock futures are ruling at a discount to their respective spot. A few contracts are 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 heavyweights indicating weakness.

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