Financial Daily from THE HINDU group of publications
Sunday, Sep 11, 2005
Financial Daily from THE HINDU group of publications Sunday, Sep 11, 2005 |
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Investment World
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Derivatives Markets Markets - Derivatives Markets Videocon Intl crosses market-wide limit K.S. Badri Narayanan
DESPITE Nifty recording a new high, trading activity in the derivative segment on the NSE slipped last week. The average daily turnover was Rs 11,495 crore against the previous week figure of Rs 12,828 crore. Accumulation of open interest position was seen in IDFC, Arvind Mills, Karnataka Bank, IDBI, ICICI Bank and India Cements even as Chambal Fert and NTPC shed some OI positions. Meanwhile, NSE has banned trading in Videocon International as derivative contracts crossed 95 per cent of the market-wide position limit on September 5. Fair value: The fair value of the Nifty September contracts (without considering dividend yields) works out to about 2461 against the Friday's close of 2442.95 (assuming interest rate at 6 per cent). The FV of October contracts stood at 2473 (appx) against the Friday's close 2432. This indicates that farther month contracts are still trading cheap with respect to the near-month contracts. FII position: The cumulative FII positions as percentage of total gross market position in the derivative segment declined to 32.65 per cent against the last week position of 34.04 per cent. Stock futures: Reliance, SBI, Tata Steel, Reliance Capital, IDFC, SRF, VSNL and Tata Motors were the most active contracts. Apart from them, contracts on Infosys, Satyam and TCS also remained active. * Implied volatility of puts increased for index heavyweights while the same decreased for calls. * Put/call ratio on volume-basis and open-positions wise increased for the index heavyweights, indicating the possibility of weakness.
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