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K.S. Badri Narayanan

WITH the cash market zooming to a 14-month high this week, trading activity picked up at the derivative segment; the average daily turnover jumped to about Rs 3,593 crore as against last week's average daily turnover of about Rs 2,969 crore on the NSE ahead of the settlement week. The near-month June contracts are expiring on coming Thursday i.e. June 26.

Index futures: With the markets revival on encouraging monsoon reports, the benchmark results have been rallying. As a result, activity in index futures perked up during the week, particularly for June and July contracts. Maintaining the backwardation, the June Nifty futures ended the week at 1096.05 as against the previous week's close of 1045.65, a gain of 4.82 per cent and in discount to the Nifty spot close of 1100.25. Open interest position was a bit volatile but closed higher at 16,432 contracts (15,589 contracts).

The July Nifty Futures ended the week higher at 1091.50 (1042.45); open interest jumped to 5668 contracts from last weekend position of 2104 contracts. The farther month August contracts evoked little response and ended the week at 1093.

Stock futures: Reliance stole the limelight during the week with heightened trading activity. Apart from Reliance, counters such as SBI, Satyam, HPCL, Infosys and Tata Steel were also actively traded.

In line with the spot movement, the Reliance June contracts ended the week at Rs 334.30 (Rs 314.15) and the July contracts at Rs 334.55 (Rs 315.05). With just four days only for settlement for June contracts, investors seemed to have shifting their positions to July contracts; open interest for June contracts witnessed a steady decline to 7,228 contracts from last weekend position of 8,296 contracts while for July contracts it shot up to 1,119 contracts (176 contracts).

Expectation that Reliance might place three per cent of its equity with an overseas investor at Rs 360 per share seemed to have perked up interest in the counter. The underlying equity closed the week at Rs 335.45 (Rs 312.95).

The SBI June futures ended the week at Rs 359.85 (348.75); open interest improved to 6771 contracts from last weekend position of 6,739 contracts. The heightened activity in the SBI counter has to been seen in the light of the bank declaring improved results on Thursday; SBI posted a net profit of Rs 737.55crore for the quarter ended March 31, 2003 as compared with Rs 615.69 crore for the quarter ended March 31, 2002.

Index options: As the index pierced the crucial 1100-mark during the week, new contracts came into the trading pit for active trading. Among them were, the June 1070, the 1080, the 1090 and the June 1100 strikes (both calls and puts).

The in-the-money (ITM) 1080 calls on Nifty, which came into the trading on Tuesday only, closed the week on a strong note at Rs 19.30 as against Tuesday's close of Rs 7.90 Open interest now stands at 921 contracts.

The just-listed 1100 calls closed the week at Rs 7.55 from Wednesday's opening level of Rs 3.85.

The out-of-the money (OTM) 1080-puts ended the week sharply lower at Rs 4.50 from Monday's settlement price of Rs 41.55. Open interest, however, improved to 459 contracts.

Equity options: Contracts on Reliance, SBI, Satyam, HPCL and Infosys attracted attention during the week.

Among the calls, the June 320, the June 330 and the June 310 strikes on Reliance, the June 350 and the 360 strikes on SBI and the June 180 and the 190 strikes on Satyam were the most actively traded.

With the Reliance spot climbing 10 per cent on a week-on-week basis, the Reliance options were traded actively. The June 320 Reliance calls (ITM) ended the week higher at Rs 15.10 (Rs 5.75); open interest slipped to 1,557 contracts (2,008 contracts). The 310 strike (also ITM) ended higher at Rs 24.85 (Rs 10) with open interest declining to 745 contracts (1,041contracts). Similar to futures, investors seemed to have shifted their open positions to July contracts.

The SBI 350 puts (ITM) lost value to close at Rs 2.05 from Rs 9.65. Open interest improved to 716 contracts (418 contracts). The underlying SBI spot closed the week at Rs 358.80.

If you have any queries relating to the futures/options markets and strategies, please mail them to Futures & Options, Kasturi & sons, 859-860, Anna Salai, Chennai 600 002 or email them to vaidy@thehindu.co.in with a mention of futures/options in the subject line of the mail.

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