Improved volumes on BSE, NSE

Anup Menon

OVERALL Trends: The first week of trading in the year 2001 ended on a positive note.

On a week-on-week basis, the benchmark BSE Sensex gained close to 5.3 per cent to close at 4183.70 points. Trading at the National Stock Exchange mirrored the trading at the BSE, with the S&P CNX Nifty closing the week up by around 5 per cent at 1327.3 points. The futures market continued to track the cash market closely. For instance the near term January Sensex and Nifty contract ended the week up by around 5.1 per cent at 4185.40 and 1331.3 points respectively.

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Trading statistics: Overall liquidity levels in the market improved over the previous week. Volumes in both the Nifty and the Sensex improved over the previous week. Total traded volumes in the Sensex contracts improved by around 78 per cent to 2222 contracts as compared to 1248 contracts traded the week before. Similarly total volumes in the Nifty contracts also improved by around 127 per cent to 4652 contracts as compared to 2049 contracts traded the week before.

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Nifty January: The Nifty January contract was the most actively traded contract in the Nifty family. Volumes in the contract jumped to around 3494 contracts as compared to 1070 contracts traded the week before. The level of open interest in the contract was also high at 1669 contracts. As mentioned in the previous week, investors with a long position in the contract could have closed the contract profitably during the week.

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The valuation of the contract, based on the last day of trading, provides some opportunity for investors with a penchant for risk. The implied cost-of-carry, based on the last day of trading, works out to around 5.50 per cent. Investors willing to take a risk can consider taking a long position in the contract.

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Nifty February: Volumes in the Nifty February contract improved considerably during the week. Total traded volumes for the week was around 1120 contracts. Investors with a long position based on the previous week's close could have closed their position profitably during the week.

The valuation of the contract does not provide scope for arbitrage. The implied cost-of-carry, based on the last day of trading, works out to around 7 per cent. Fresh investments need not be considered at present levels.

Nifty March: The Nifty March contract did not find many takers during the week. Total traded volumes stood at around 38 contracts. The valuation of the contract provides some scope for profitable trading. The implied cost-of-carry, based on the last day of trading, works out to around 4.20 per cent. However given the lack of liquidity, fresh long positions need not be initiated at present levels.

Sensex January: Volumes in the Sensex January contract improved considerably during the week. Total traded volumes was around 2189 contracts during the week. The valuation of the contract provides scope for arbitrage. The implied cost-of-carry, based on the last day of trading, works out to around 0.72 per cent. Fresh long positions can be initiated at current levels.

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Sensex February: The Sensex February contract did not find many takers during the week. Total traded volumes during the week was around 33 contracts. The valuation of the contract provides some scope for arbitrage. The implied cost-of-carry, based on the last day of trading, works out to around 0.30 per cent. However given the low level of liquidity, fresh investments need not be considered at present levels.

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Sensex March: The Sensex March which has the longest time to maturity found no takers during the course of the week. Given the long time to maturity, the contract is not likely to attract market interest for the time being.