Volumes tumble at the NSE

Anup Menon

OVERALL trends: Trading during the week remained listless with the markets showing signs of weakness towards the end of the week. On a week-on-week basis, the benchmark BSE Sensex lost around 1 per cent to close at 3,863.3.

The trends in NSE were no different, with the S&P CNX Nifty closing the week at 1,225.2, down by around 0.9 per cent from the previous week.

Click here for Table

The futures markets moved in tandem with the cash markets. For instance, the Sensex November contract ended the week down by around 1.1 per cent at 3,879.1 points. The contract with the same maturity on the Nifty lost around 1.8 per cent to close at 1,217.1 points.

Trading statistics: The trends in volumes indicate that market interest during the week was subdued. During the week, total volumes on the BSE recorded a marginal improvement as against the NSE, where volumes tumbled. The total volumes on the Sensex contracts increased by around 4 per cent to 1,821 contracts compared to 1,749 contracts traded the week before. Volumes in the short-maturity contracts continued to decline.

Click here for Table

At the NSE, total volumes dropped by around 59 per cent to 1,075 contracts compared to 2,637 the week before.

Nifty November: The Nifty November contract will mature during the week. Total traded volumes stood at around 724 contracts compared to 1,898 contracts in the previous week. The valuation of the contract based on Thursday's close provides some opportunity for arbitrage. The implied cost of carry on the contract works out to around 4.5 per cent. But, since the contract is just two days from maturity, fresh investments need not be considered.

Click here for Chart

Nifty December: Volumes in the Nifty December contract tumbled from 628 contracts to 275 contracts during the week. The open interest as of Thursday stood at 258 contracts, up from around 160 in the previous week. The Nifty December moves into the one-month trading range from the following Tuesday.

Click here for Table

The valuation of the contract based on Thursday's close provides very limited scope for arbitrage. The implied cost of carry on the contract works out to around 10.24 per cent. Fresh investments need not be considered at current levels.

Nifty January: Trading in the Nifty January contracts continued to remain subdued during the week. Volumes stood at 76 contracts as against 111 contracts in the previous week. The implied cost of carry on the contract works out to around 10 per cent based on Thursday's close. This puts the contract in the no-arbitrage range. Fresh investments need not be considered at current levels.

Sensex November: The Sensex November contract was the most actively-traded contract among the Sensex contracts. On a week-on-week basis, volumes declined from 1,621 contracts to 1,224 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 17 per cent. Investors with a penchant for risk can consider selling the contract at present levels.

Click here for Chart

Sensex December: Trading interest in the Sensex December contract improved during the week. Total volumes increased from around 94 contracts to around 582 contracts. The contract moves into the one-month trading range from this week. 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 3 per cent. Fresh long positions can be initiated at current levels.

Click here for Table

Sensex January: The Sensex January contract failed to attract market attention during the week. Total volumes dropped to around 15 contracts as against 34 contracts traded in the previous week. Given the lack of liquidity, fresh positions need not be initiated at current levels.