April Nifty futures down 30 points

DERIVATIVES REPORT

The equity derivatives market dipped by 30 points on Monday, with April Nifty futures closing at 1834.95 from the previous trading day's 1834.95.

The drop was significant as the spot S&P CNX Nifty ended at a premium to the futures at 1843.55 despite losing from its previous close of 1868.10 points.

FIIs were net sellers in derivatives to the extent of Rs 72 crore on Saturday and the implied volatility(IV) for call was 21 per cent and put was 31 per cent. The sharp increase in Put (IV) indicates further weakness in Nifty, dealers said.

The futures segment continued to be most active in Nifty. SBI was the most active future contracts with 14806 contracts and Tisco was the next most active futures contracts with 12244 contracts traded.

Open interest fell in almost 80 per cent of the securities traded in the segment.

Among prominent losers in open interest, Union Bank shed 8 lakh or 15 per cent, Satyam lost 7.9 lakh or 14 per cent, while MTNL, BPCL and IPCL lost more than 10 per cent each. Most heavyweights like ONGC, Tisco, SBI , Ranbaxy witnessed a erosion in open interest.

Reliance Industries and Gujarat Ambuja were the only counters that attracted higher open interest. Both added 3.5 lakh and 2 lakh in open interest, respectively.

All of the stock futures on 52 underlying securities got traded. The total number of contracts traded was 170446 with a traded value of Rs 5464.76 crore. The top ten contracts contributed to around 57 per cent of the total traded volume in futures on individual securities.

Index futures saw a trading volume of Rs 3822.88 crore arising out of 103874 contracts and Index options saw 9753 contracts getting traded at a notional value of Rs 366.35 crore. The total turnover of the futures & options segment of the exchange was around Rs 10254.37 crore.

Among the options segment ONGC was the most active with 1880 contracts and TISCO was the next most active options contracts with 1640 contracts being traded. The top twenty contracts contributed to around 36 per cent of the total traded volume in options on individual securities.

Out of 52 securities, options on 46 underlying securities got traded. The total number of contracts traded was 18068 with a notional value of Rs 600.38 crore.