Nifty's premium run on

DERIVATIVES REPORT

Nifty futures continued to trade at an premium to the underlying spot index. Nifty January 2004 futures rose 2.22 per cent to close at 1877.85, while the NSE S&P CNX Nifty settled at 1874.05, up 37 points over its Friday's close.

Nifty futures added nearly six lakh shares in open interest. In Nifty options, the implied volatility for call options was 19 per cent and the volatility for put options was 24 per cent.

The total turnover on National Stock Exchange's future's and option segment touched Rs 10,249 crore.

Meanwhile, the cumulative FII positions as percentage of total gross market position in the derivative segment on Friday stood at 20.09 per cent.

The most active individual stock futures on Monday were Tisco, ACC, Tata Motors, Satyam Computer, Reliance Industries (RIL), State Bank of India (SBI), Maruti Udyog, Gail India and HPCL.

Most futures ended at a premium to their spot prices. The open interest in Tisco rose to 1.23 crore, from 1.21 crore on Friday. Tisco January 2004 futures (at Rs 448.15) ended at a premium to the spot close of Rs 442.

Tisco's January Rs 430 call witnessed hectic action and traded Rs 27.95.

Tata Motors added 2.25 lakh shares in open interest to 92.76 lakh. Tata Motors January 2004 futures (at Rs 452.05) ended at a premium to the spot close of Rs 448.40.

However, open interest in Maruti January 2004 futures declined to 51.74 lakh, from 54.89 lakh shares on Friday. Maruti January 2004 futures (at Rs 388.70) ended at a premium to the spot close of Rs 382.90. The open interest in cement major ACC also declined on Monday.

Open interest in ACC January 2004 futures declined by 4.26 lakh shares to 92.22 lakh. ACC January 2004 futures (at Rs 254.50) ended at a premium to the spot closing of Rs 251.20.

The open interest in SBI January 2004 futures rose to 70.56 lakh shares, from 66.18 lakh shares on Friday. SBI January 2004 futures (at Rs 546.60) ended at a premium to the spot close of Rs 540.