Total volumes improve at NSE

Anup Menon

OVERALL Trends: Trading in the cash market was range-bound for a major part of the previous week. On a week-on-week basis, the benchmark BSE Sensex gained close to 0.1 per cent to close at 3941.10. In contrast, the S&P CNX Nifty closed the week at 1239.6, down by around 0.2 per cent as compared to the previous week.

Click here for Table

The futures market tracked the cash market on a higher scale. For instance, the Sensex November contract closed the week up by around 0.3 per cent at 3959.6 points. The contract with the same maturity on the Nifty lost around 1.1 per cent to close at 1243 points.

Trading statistics: During the week, while volumes in the BSE contracts dipped, on the NSE, there was improvement. The total volumes on the Sensex contracts declined by around 34 per cent to 2,224 contracts as compared to 3,386 contracts traded the week before.

Click here for Table

The lower volumes can be attributed to lower interest in the medium- to long-term contracts. In contrast, at the NSE, total volumes increased by around 45 per cent to 2,130 contracts as compared to 1,465 contracts traded the week before.

Nifty November: The Nifty November contract saw heightened activity during the week. Total traded volumes were around 1,830 contracts as compared to 1,281 contracts traded in the week before. Trading interest is likely to increase, as the contract moves closer to its maturity date at the end of this month.

Click here for Chart

The valuation of the contract based on the last day of trading may provide some opportunity for arbitrage. The implied cost-of-carry on the contract works out to around 4 per cent. Investors can consider taking a long position in the contract.

Nifty December: The Nifty December, which is the medium range contract at present, attracted some interest during the week. Traded volumes increased from 116 contracts to around 250 contracts. The open interest at the end of the week was around 93 contracts. The valuation of the contract based on the last day of trading provides some scope for arbitrage. The implied cost-of-carry on the contract works out to around 5 per cent. Investors with a moderate risk profile can consider taking a long position in the contract.

Click here for Table

Nifty January: Volumes in the Nifty January contract is not very promising at the moment. Total traded volumes declined from 68 contracts to around 50 contracts for the week. The valuation of the contract also provides little scope for arbitrage. Fresh investments in the contract need not be considered.

Sensex November: Trading in the Sensex November contract has been fairly active. However, on a week-on-week basis, volumes have registered some declines. Total volumes have declined from 3,088 contracts to around 2,080 contracts. As recommended in the previous week, a long position in the contract would have generated positive returns during the week.

Click here for Chart

The valuation of the contract based on the last day of trading provides virtually no scope for arbitrage. The implied cost-of-carry on the contract works out to around 8 per cent. Fresh position need not be considered at present levels.

Sensex December: Trading in the Sensex December contracts was also subdued during the week. Total traded volumes declined from around 210 contracts to around 128 contracts during the week. Investors who had long positions in the previous week could have booked profits in the course of the week. The valuation of the contract provides scope for arbitrage. The implied cost-of-carry on the contract works out to around 3.4 per cent. Investors can consider taking long positions in the contract.

Click here for Table

Sensex January: The Sensex January contract hardly found any takers. Total traded volumes were just around 16 contracts. Given the lack of liquidity, investors can avoid taking positions in this contract.