The Hindu Business Line : Sharp rise in volumes

AMID the sharp fall, the derivative segment witnessed hectic activity on the NSE last week; the average daily turnover was Rs 23,276 crore against the previous week figure of Rs 15,687 crore.

In fact, the F&O segment witnessed record turnover of Rs 28,780 crore on Wednesday when the market swung wildly.

The sharp decline seemed to have led a low rollover of positions to October contracts.

Only about 25-30 per cent of positions were rolled over to October month contracts that too mainly on Nifty futures.

Among the stock futures apart from frontline counters, Ashok Leyland, Ispat, Nagarjuna Fert and OBC added open interests in October series

Fair value: The fair value of the Nifty September contracts (without considering dividend yields) works out to about 2479 against the Friday's close of 2474.05 (assuming interest rate at 6 per cent).

The FV of October contracts stood at 2491 (appx) against the Friday's close 2461.9.

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 as on Thursday is 32.34 per cent.

Stock futures: Reliance, SBI, Tata Steel, ICICI Bank, IDFC, SRF, VSNL, Titan Industries and Tata Motors were the more actively contracts Apart from them, contracts on Infosys, Satyam and TCS were also remained active.

* Implied volatility of puts decreased sharply for index heavyweights while the same jumped for calls.

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

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