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C. Raja Rajeshwari

The week saw interest waning in index futures and options and shifting to stock derivatives. Huge build-up in open interest was in July future contracts of Tata Steel, Reliance, Satyam Computers, HPCL and Tata Engg

Index futures: The Nifty gained 2 per cent on a week-on-week basis. There was a build-up of open interest, which stood at 18550 contracts on Tuesday. On Wednesday, the Nifty fell by 5.35 points. The open interest declined by 4 per cent to 17772 contracts, over the next two days.

The contracts closed the week at 1158.20 points and open interest marginally improved to 18163 contracts. Lot size is 200 contracts.

Trading interest in August futures picked up, adding 300 contracts to its last week's open interest (698 contracts)

Interest rate futures: The July and August futures on notional 10-year coupon bearing bond were active. The July contract closed the week at Rs 95.50.

Stock futures: Satyam Computers, HPCL, Tata Steel, BPCL and SBI were actively traded.

Tata Steel July future contracts quoted at a huge discount to spot at Rs 183.85.

The spot climbed 6 per cent over the week to close at Rs 183.85. There was a 5 per cent increase in open interest to 6849 contracts on Monday. However, over the week, the contract shed its open interest to close at 6467 contracts.

The Tata Power was declining the whole week. However, open interest stood firm at 3325 contracts.

Among August contracts, HPCL, Tata Steel, ICICI Bank and Tata Engg were active.

ICICI Bank's August contract ended the week at Rs 150.05 with 236 contracts as open interest.

Infosys: There was a lot of activities in the Infosys contracts on Thursday, thanks to its first quarter results. Majority of the position on July future contracts was initiated in the month of June, the day before the expiry of the June contracts, as seen by the increase in open interest.

On Wednesday, the underlying spot climbed by Rs 14.45 to Rs 3,255.70. Open interest decreased by 10 per cent to 3536 contracts the same day. Market lot is 100.

The contract closed the week at Rs 3,536.95 and open interest stood at 4234 contracts.

The implied volatility increased this week. It was 71.96 per cent for call options while in put options the implied volatility was 71.21 per cent.

Maruti: The shares listed on NSE on Wednesday. The stock closed the week at Rs 173.25. On Wednesday, contracts with strikes ranging from 80 - 170 were introduced.

The July futures added 1786 contracts on the first day, closing the day at Rs 165.75. The market lot is 1600

The July contracts closed the week at Rs 175.10, with open interest at 1701 contracts.

The July 170 call (in-the-money) increased in value to quote at Rs 10.55 on Friday. Open interest stood at 678 contracts

Among the puts, July 170 put (out-of-the-money) was active, with 47 contracts as open interest as on Friday.

Other active contracts, July 160 put, July 160-strike and 165 calls

Index options: With the Nifty climbing from 1130 levels to 1160 levels, trading interest shifted to higher levels.

The most active contracts were calls. The interest was concentrated around the July 1170 strike (out-of-the-money), 1150 strike and 1140 strike (both in-the-money).

The July 1070 call, which was deep-in-the-money, appreciated by 8.3 per cent to Rs 91, on a week-on-a-week basis.

Among the puts, July 1140 put (out-of-the-money) was the least costly at Rs 12.30. Open interest stood at 937 contracts.

The July 1180 put (in-the-money) quoted at Rs 29.50. Trading interest was minimal in puts with strikes above the 1170 level.

Equity options: Trading interest was higher in call as compared to puts. Tata steel, Infosys, HPCL and Maruti options were the most sought often.

Shipping Corporation declined by 4 per cent to Rs 68.60, on a week-on-week basis. The July 75 call (out-of-the-money) closed the week at Rs 2.75, with open interest of 108 contracts.

ACC gained Rs 3.45 per cent over the week, to close at Rs 172. The July 180 call (out-of-the-money) stood at Rs 4 with an open interest of 340 contracts.

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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