Financial Daily from THE HINDU group of publications
Sunday, Aug 28, 2005
Financial Daily from THE HINDU group of publications Sunday, Aug 28, 2005 |
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Investment World
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Derivatives Markets Markets - Derivatives Markets Moderate rollovers K.S. Badri Narayanan
LAST week saw the settlement of August contracts and the introduction of November contracts. Trading activity was robust with average daily turnover of Rs 2,0515 crore against the previous week figure of Rs 15,148 crore. Rollover of open position was moderate in Nifty (about 80 per cent) and individual stocks (about 75 per cent). While Reliance, Tata Steel, SBI, ONGC, ACC, Oriental Bank, Ranbaxy and India Cements witnessed healthy rollovers, low rollover of positions was seen on HCL Tech, Satyam Computer, Tata Motors, Tata Power, BHEL Fair value: The fair value of the Nifty September contracts (without considering dividend yields) works out to about 2369 against the Friday's close of 2335.55 (assuming interest rate at 6 per cent). The FV of October contracts stood at 2380 (appx) against the Friday's close 2321.65. This indicates that farther-month contracts are trading cheaper with respect to the near-month one. FII position: The cumulative FII positions as percentage of total gross market position in the derivative segment jumped to 39.06 per cent against the last week position of 30.41 per cent. This indicates that while FIIs have rolled over their positions, local funds/traders did not rolled-over their positions expecting a volatile trend ahead. Stock futures: Reliance, SBI, Tata Steel, Reliance Capital, VSNL and SRF were the more actively traded contracts Apart from them, contracts on Infosys, Satyam and TCS were also remained active. * Implied volatility of puts increased for index heavyweights while decreased for calls. * Put/call ratio on volume-basis and open-positions wise increased for the index heavyweights, indicating weakness.
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