March futures at premium

DERIVATIVES REPORT

Most outstanding positions were rolled over to the March contract on the expiry of February contracts on Thursday. The total turnover on the National Stock Exchange's (NSE) futures and options (F&O) segment jumped to Rs 18,144.41 crore from Rs 15,915 crore on Wednesday.

Derivatives contracts expire on the last Thursday of each month. Exchanges compulsorily close out outstanding positions (as reflected in the open interest) for the near-month (in this case February 2004) on the day of expiry. The difference is debited (in case of a loss) or credited (in case of a profit) in the brokers' accounts.

Nifty March futures were traded at a premium of nearly 10 points to the underlying spot index. The implied volatility in call options was 24 per cent, while the volatility in put options was 27 per cent.

Stock futures witnessed a rollover of close to 80 per cent of open interest positions. Build-up of open interest was observed in Reliance Industries, Mahindra & Mahindra, State Bank of India and Satyam Computer.

Open interest in Nifty March 2004 futures leapt to 76.67 lakh from 54.74 lakh. Funds took positions in Nifty futures contracts for the purpose of hedging. Nifty March 2004 futures ended at a premium to the spot at 1,777 compared with the spot Nifty closing of 1,765.80.

Nifty February 2004 futures also ended at a premium at 1,766.20. In the spot market, Nifty shed 1.1 per cent to 1,765.80 on Thursday.

Most individual stock futures of February 2004 ended at a discount to the spot due to the expiry. A substantial roll-over has taken place in March 2004 futures contracts of Tata Steel and Tata Motors.

Both Tata Steel and Tata Motors March futures ended at a premium to spot prices. Open interest in Tata Steel March futures rose sharply to 1.18 crore shares on Thursday from 85.32 lakh shares on Wednesday.

Tata Steel March futures ended at Rs 428, a premium to the spot closing of Rs 425. Open interest in Tata Motors March futures at the end of Thursday's trading was 52.96 lakh shares.

Tata Motors March futures ended at a premium to the spot at 502 compared with the spot closing of Rs 496.70.