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Good demand in Nifty front-month contracts

B. Venkatesh

MONDAY's trading in the derivatives segment saw heavy volumes in the front-month contracts. The October 980 calls were in good demand as were the 980 puts.

The premium on the October 980 puts closed at Rs 12.90, which was 2.5 times the call premium. This reflects the underlying demand for the 980 puts, which suggests that the market expects the index to fall before the contract expires this Thursday. Given the option premium of Rs 12.90, the 980 puts are currently in-the-money by Rs 3.6, but the break-even point for the put buyer is 967.10.

Interestingly, deals were also struck in the October 900 and 880 calls and puts. The October 900 calls closed at Rs 73.75, with volumes amounting to 36 contracts. The 900 puts closed at Rs 0.45 with total volumes of 104 contracts. With the Nifty spot cur rently at 976.40, it is interesting to note the high volumes in the October 900 puts; the put buyer will profit only if the index falls to below 900. That means that the Nifty Index will need to fall by at least eight per cent before this Thursday.

In the November contracts, the Nifty 1020 calls traded at Rs 9.25 with volumes amounting to 39 contracts. The call option is currently out-of-the-money by Rs 43.6. The November 1000 calls closed the day at 14.05, with volumes amounting to 100 contracts. There were no option writers for the November 1000 puts.

In the single-stock options segment, October calls in Satyam, Reliance and ACC were in good demand. The ACC October 130 calls traded at Rs 8.25, with total contracts amounting to 418. The October 130 puts closed at Rs 0.55, with total volumes of 20 contr acts. Satyam calls were heavily traded in 150, 130 and 160 strikes.

Only ACC and Sterlite saw some trading in the November contracts. The November 130 puts on Sterlite closed at Rs 11.30, with volumes amounting to 87 contracts. The November 130 put is currently in-the-money by Rs 26.6.

In the Index futures segment, the October contracts closed at 972.50, up 14.20 points over Friday's close. The November contracts closed at 969.90, with volumes amounting to 5,84,600. The open interest in this contract stands at 5,61,000. The December co ntract closed at 968, with volumes amounting to 1,03,000.