Cost of carry falls drastically

Derivatives Report

The cost of carry has fallen quite dramatically in the last couple of sessions from an average of above 20 per cent to below 10 per cent. Volumes were below average at Rs 8,902.62 crore.

The most active futures contracts were the Nifty, Tata Motors, Tata Steel, Satyam Computer and Reliance Industries.

Also, cumulative FII positions as percentage of total gross market position in the derivatives segment on Thursday stood at 18.82 per cent.

Nifty futures continued to trade at a premium to the underlying index, indicating that weakness will continue in the market.

November Nifty futures fell 28.80 points to close at 1,558.25, while the S&P CNX Nifty settled at 1550.45.

In Nifty options, call options dominated the trades. Nifty November 1,600 call was in action with 730 contracts being traded. Other calls, at strike prices of 1,620 and 1,640, too witnessed hectic trading.

In puts options of the Nifty, November contracts, at strike prices of 1,580 and 1,570, were also active.

In stock derivatives, futures saw a drop in open interest positions. The open interest fell across the board in most stocks regardless of the sector. However, the fall was of lesser compared to that yesterday.

The implied volatility fell sharply in cement stocks. The implied volatility in ACC fell from 60 per cent in call options to 50 per cent.

The fall was similar in Gujarat Ambuja. FMCG and PSU stocks remained firm. Shipping Corporation added nearly 1.8 lakh shares or 7 per cent in open interest positions, indicating that there could be some positive movement in future.