Jan futures at premium

DERIVATIVES REPORT

Nifty futures continued to trade at a premium to the underlying spot index. Nifty January futures rose 0.48 per cent to close at 1888.30 while the NSE S&P CNX Nifty index, closed at 1,879.75, up 6.50 points over its Tuesday's close.

Open interest in Nifty January 2004 futures rose substantially to 76.14 lakh, from 71.12 lakh on Tuesday. In Nifty options, the implied volatility in call options increased to 20-21 per cent and in put options the volatility was around 24 per cent.

The most active call options were the Nifty with a strike of 1890. While the most active put options were the Nifty with strikes of 1890 and 1860. Meanwhile, the most active stock futures were Tisco, Tata Motors, Reliance Industries, Satyam and Mahindra & Mahindra.

Meanwhile, the turnover on the National Stock Exchange's futures & options (F&O) segment of the declined sharply to Rs 12,229.55 crore on Wednesday , compared to Tuesday's record turnover of Rs 15,656 crore.

While the cumulative FII positions as percentage of total gross market position in the derivative segment as on Tuesday stood at 19.69 per cent.

Most individual stock futures contracts ended at premium to the spot. Tisco January 2004 futures was the most active contract among individual stock futures segment.

Tisco January 2004 contracts registered a huge turnover of Rs 1,034 crore. But open interest in Tata Motors declined on Wednesday to 92.73 lakh shares, from Tuesday's 93.22 lakh shares.

Tata Motors January futures (at 456.95) ended at a premium to the spot close of Rs 452.10. Open interest in RIL January 2004 futures declined by 3.97 lakh shares to 59.01 lakh shares on Wednesday. RIL January 2004 futures (at Rs 574) ended a premium to the spot close of Rs 570.70.

In the stock option segment, Tisco with a strike of Rs 440, Tata Motors with a strike of Rs 450 and Reliance Industries with a strike of Rs 580 were most active. The most active put options were Reliance Industries with a strike of 560.