March futures at discount

DERIVATIVES REPORT

Total volumes in the derivatives segment on the National Stock Exchange was of the order of Rs 13,359 crore from 4.09 lakh contracts. In the futures segment, apart from the Nifty, the most active contracts were those of Tata Motors, Tata Steel, Reliance and State Bank.

Nifty March futures closed at a significant discount of around 14 points to the spot value. April and May futures also closed at a discount to the underlying. Statistics at the end of the day showed that the implied volatility in the case of the call options was at around 23 per cent and 40 per cent in the case of put options.

There was also an addition of five lakh shares to the open interest position of the Nifty, at the end of the day. Individual stock futures saw a total turnover of Rs 6,597 crore from 2.17 lakh contracts, while index futures witnessed a turnover of Rs 5,220.50 crore from 1.47 lakh contracts being traded.

There was a drop in the open interest position of many of the active stocks. Dealers said that there was some unwinding during the day as investors closed positions due to the uncertainty in the markets. Satyam saw a reduction in open interest by around six lakh shares, while Hind Lever saw a reduction by 5.5 lakh shares.

Tata Motors' open interest position stood reduced by two lakh shares and Tata Steel by 1.8 lakh shares. Dealers said that Tata Steel futures were sold heavily in the market.