The Hindu Business Line : Trading modest

TRADING activity was just modest last week amid volatile condition at the derivative segment on the NSE; the average daily turnover was Rs 15,148 crore against the previous week figure of Rs 17,227 crore.

Robust rollover of positions both in Nifty and individual stocks was seen.

Fair Value: The fair value of the Nifty August contracts (without considering dividend yields) works out to about 2385 against the Friday's close of 2384.8 (assuming interest rate at 6 per cent). The FV of September contracts stood at 2396 (appx) against the Friday's close 2369.25 while for October contracts, the FV stands at 2414 against the actual price of 2361.15.

This indicates that farther month (September) contracts are trading cheaper with respect to the August Nifty contracts. The Nifty September contract is now trading at a discount of 14.25 points against the previous week gap of 14.2 points.

FII position: The cumulative FII position as a percentage of total gross market position in the derivative segment was flat at 30.41 per cent against 30.56 per cent last week.

Stock futures: Reliance, SBI, Tata Steel, Reliance Capital, Tata Motors, VSNL and HLL were the more actively traded contracts. Apart from them, contracts on Infosys, Satyam and TCS were also remained active.

IDFC, NTPC, Ispat, IDBI, Ashok Leyland and SRF witnessed spurt in trading activity.

Implied volatility remained flat for most contracts though for quite a few contracts puts IV increased.

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

SBI, NTPC and Tata Steel saw open interest declining in August contracts; Ashok Leyland, Ispat and Reliance Industries saw a decent build-up in open interest positions in September contracts.

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