Derivatives Update March NSE Leadership through change

Transcription

1 Derivatives Update March 2006 NSE Leadership through change

2 INDEX OF DERIVATIVES UPDATE 1. OVERVIEW OF THE F&O SEGMENT OCTOBER 2005 TO MARCH Comparison of the NIFTY Contract, NIFTY Index & Daily Traded value Records Achieved Month wise Basic Statistics Month wise Product wise Traded Value Analysis Institutional, Retail & Proprietary Investors Turnover Analysis Summary of Members Trading Activity Value wise contribution of the Top Members Comparative analysis of the Traded Value in the F&O and Cash Segments Month wise Product wise Basic Statistics Comparative Analysis World Exchanges (February 2006) FUTURES SEGMENT (MARCH 2006) 2.1 Top 5 Traded Symbols Top 5 most active futures contracts Top 5 Symbols by Open Interest as on expiry (March 30, 2006) Cost of Carry (in percentage) for Near Month Contracts OPTIONS SEGMENT (MARCH 2006) 3.1 Top 5 Traded Symbols Top 5 most active options contracts Options Exercises Analysis Top 5 Symbols by Open Interest as on expiry (March 30, 2006) Put Call Ratios ADDITION, REMOVAL & QUARTER SIGMA VALUES 18

3 1. Overview of the F&O Segment October 2005 to March Comparison of the close prices of the NIFTY Near Month Futures Contract (F&O Segment) with the underlying movement of the NIFTY Index (Cash Segment), along with the Daily Traded value of the F&O Segment: Traded Value F&O segment(rs in crores) Near Month Futures Close Price NIFTY Cash Segment movement Oct Oct Oct Oct Nov Nov Nov Nov Dec Dec Dec Dec Dec Jan Jan Jan Jan Feb Feb Feb Feb Mar Mar Mar Mar-06 Close Prices (Rs.) F&O Traded value (Rs. in crores) Date Note BCP Live Trading November 26, 2005 Muhurat trading on November 01, 2005 F & O SEGMENT Page 3 of 21 Derivatives Update March 2006

4 1.2 Records Achieved in the F&O Segment: Traded Value Product (Rs. in crores) Date Index Futures 14, Mar-06 Stock Futures 32, Mar-06 Index Options 3, Mar-06 Stock Options 2, Jan-06 Interest Rate Futures Jun-03 Total F&O Traded Value 47, Mar-06 Open Interest on Contract Expiry (number of contracts) 15,38, Mar Monthwise Basic Statistics of the F&O Segment: Particulars Oct 2005 Nov 2005 Dec 2005 Jan 2006 Feb 2006 Mar 2006 Traded Value (Rs in crores) Total 4,33,660 3,95,853 5,23,807 4,87,584 4,92, Daily Average 21,683 19,793 23,809 24,379 25, Number of Contracts Total 1,51,76,424 1,30,55,656 1,61,81,118 1,46,81, ,98, ,90,218 Daily Average 7,58,821 6,52,783 7,35,505 7,34,086 7,42,020 8,54,101 Open Interest (Rs in crores) End of day averages 27,870 25,377 31,376 32,082 37,377 46,959 % of Open interest to Daily Average Traded value It may be observed from the above table that during March 2006 average daily figures for volumes & contracts traded have increased compared to the previous months. The ratio of average open interest to average traded value has decreased from 144 % in February 2006 to 141% in March F & O SEGMENT Page 4 of 21 Derivatives Update March 2006

5 Following is the graphical representation of the above data w.r.t. the Daily Average of Traded Value & Number of Contracts, and Open Interest. Daily Average number of contracts Daily Average Traded Value Open interest - end of day averages Daily Avg. Traded Value & Open Interst (Rs. in crores) Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Month Daily Avg. number of contracts F & O SEGMENT Page 5 of 21 Derivatives Update March 2006

6 1.4 Month wise Product wise Traded Value Analysis: A graphical representation of the month wise product wise turnover in the F&O Segment for the period October 2005 to March 2006 is as below: Monthly Productwise Traded Value (Rs. in crores) Stock Futures Index Futures Stock Options Index Options 100% 90% 35,586 31,073 42,987 38,521 32,331 47,097 13,575 12,777 17,244 17,893 15,268 22,466 80% 70% 170, , , , , ,035 60% Percentage 50% 40% 30% 214, , , , , ,251 20% 10% 0% Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Month It may be observed that proportion of stock products has increased in this month as compared to index products from 62 % in February 2006 to 64% in March F & O SEGMENT Page 6 of 21 Derivatives Update March 2006

7 1.5 Institutional, Retail & Proprietary Investors Turnover Analysis: No Month Institutional investors Retail Proprietary Gross Traded Value (Rs in crores) Percen tage Contri bution Gross Traded Value (Rs in crores) Percenta ge Contribu tion Gross Traded Value (Rs in crores) Percentage Contribution 1 Oct 05 67, ,19, ,80, Nov 05 56, ,92, ,43, Dec 05 65, ,55, ,26, Jan 06 74, ,16, ,84, Feb 06 82, ,24, ,78, Mar 06 1,03, ,72, ,93, It may be observed that the contribution of retail trades has increased from 63.34% in February 2006 to 66.15% in March Summary of Members Trading Activity: Total Turnover (F&O Segment) Number of Members Month Oct 05 Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Upto Rs. 10 crores Rs. 10 crores upto Rs. 50 crores Rs. 50 crores upto Rs.250 crores Rs. 250 crores upto Rs.500 crores Rs. 500 crores upto Rs.1000 crores Rs crores and more It may be observed that the maximum number of members is observed to be trading in the category of Rs crores and more. F & O SEGMENT Page 7 of 21 Derivatives Update March 2006

8 1.6.2 Total Turnover (Futures sub segment) Number of Members Month Oct 05 Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Upto Rs. 10 crores Rs.10 crores upto Rs.50 crores Rs.50 crores upto Rs.250 crores Rs.250 crores upto Rs.500 crores Rs.500 crores upto Rs.1000 crores Rs 1000 crores and more It may be observed that, the maximum numbers of members have been trading in the category of Rs crores and more Total turnover (Options sub segment) Number of Members Month Oct 05 Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Upto Rs. 10 crores Rs.10 crores upto Rs.50 crores Rs.50 crores upto Rs.250 crores Rs.250 crores upto Rs.500 crores Rs.500 crores upto Rs.1000 crores Rs 1000 crores and more The maximum number of members is observed to be trading in the category of Upto Rs. 10 crores. 1.7 Value wise contribution of the Top Members: Futures sub segment Percentage contribution to sub-segment turnover Month Oct 05 Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Top 5 Members Top 10 Members Top 15 Members Top 25 Members It may be observed that, there has been no significant change in the contribution pattern. F & O SEGMENT Page 8 of 21 Derivatives Update March 2006

9 1.7.2 Options sub-segment Percentage contribution to sub-segment turnover Month Oct 05 Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Top 5 Members Top 10 Members Top 15 Members Top 25 Members It may be observed that, there has been no significant change in the contribution pattern. 1.8 Comparative analysis of the Traded Value in the F&O Segment with the Cash Segment: Cash Segment F&O Segment Turnover (Rs. in crores) F&O Segment Cash Segment Oct Nov Dec Jan-06 Month Feb Mar-06 0 It may be observed that, the ratio of Futures & Options segment to Cash segment has continued to be more than 3 times. F & O SEGMENT Page 9 of 21 Derivatives Update March 2006

10 1.9 Monthwise Productwise Basic Statistics: Category Product Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 % change from Oct-05 to Mar- 06 Traded Value (Rs in crores) Total Daily Average *There have been no trades in Interest Rate Futures for the period under consideration. % change from Feb 06 to Mar 06 Stock Futures Index Futures Stock Options Index Options Stock Futures Index Futures Stock Options Index Options Number of Contracts Total Daily Average Stock Futures Index Futures Stock Options Index Options Stock Futures Index Futures Stock Options Index Options Open Interest (end of respective expiry day) Value in Rs. Crore Number of contracts Stock Futures Index Futures Stock Options Index Options Stock Futures ,39, Index Futures ,56, Stock Options , Index Options ,45, Number of trading Days It may be observed that in March 2006 all the products except Index futures recorded a impressive growth in daily average volume and contracts traded. Open interest also increased for all the products as compared to previous month. F & O SEGMENT Page 10 of 21 Derivatives Update March 2006

11 1.10 Comparative Analysis World Exchanges (February 2006) Product Stock Futures Index Futures Stock Options Index Options NSE's Position Rank 1 1st with 7,443,178 contracts Name of the Exchange Number of Contracts NSE, India 74,43,178 3rd with 51,86,835 contracts Name of the Exchange Number of Contracts 14th with 4,01,973 contracts Name of the Exchange Number of Contracts 9th with 10,66,396 contracts Name of the Exchange Number of Contracts Chicago Mercantile Exchange 2,81,21,979 CBOE 2,80,38,604 KSE 25,62,27,396 2 JSE 36,22,216 Eurex 1,52,60,594 Sao Paulo SE 2,18,74,298 CBOE 1,73,10,191 3 OMX 703,323 NSE, India 51,86,835 Eurex 2,13,28,616 Eurex 1,47,92,495 * OMX include Copenhagen, Helsinki and Stockholm Exchanges only.; NSE continues to be at number 1 position in the world for number of contracts traded in Stock Futures. NSE has also become the 3 rd exchange in the world in terms of contracts traded in Index Futures. 2 FUTURES SEGMENT (March 2006) 2.1 Top 5 Traded Symbols Traded Value (Rs. in crores) OTHERS, , 57% NIFTY, , 29% SBIN, 24775, 4% TATAMOTORS, 23449, 4% MARUTI, 19512, 3% RELIANCE, 21243, 3% F & O SEGMENT Page 11 of 21 Derivatives Update March 2006

12 2.2 Top 5 most active Futures contracts: Sr. No. Contract Descriptor No. of Contracts Traded Value (Rs. Crores) Percentage of Contracts to Total Contracts 1 NIFTY MARCH NIFTY APRIL TATASTEEEL MARCH SBIN MARCH RELIANCE MARCH OTHERS TOTAL Top 5 Symbols by Open Interest (number of contracts) (on 30 March 2006) NIFTY; ; 32% OTHERS; ; 58% RELIANCE; 28849; 3% INFOSYSTCH; 28137; 3% MTNL; 23257; 2% RANBAXY; 24261; 2% F & O SEGMENT Page 12 of 21 Derivatives Update March 2006

13 2.4 Cost of carry (in percentage) for Near Month Contracts NIFTY Futures Near Month Cost of Carry SBIN Futures Near Month Cost of Carry Cost of carry Cost of carry Feb Feb Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar Mar Mar-06 Date 14-Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Feb Feb Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar Mar Mar-06 Date 14-Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar-06 TATAMOTORS Futures Near Month Cost of Carry RELIANCE Futures Near Month Cost of Carry Cost of carry Cost of carry Feb Feb Feb Mar Mar Mar Mar Mar Mar Mar Mar Mar-2006 Date 14-Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Feb Feb Feb Mar Mar Mar Mar Mar Mar Mar Mar Mar-2006 Date 14-Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar-2006 From the above graphs, it may be observed that during March 2006, near month contract of NIFTY, was trading at a discount throughout the month except near the expiry day. SBIN traded at a premium through out the month, while TATAMOTORS and RELIANCE had a mixed trend. F & O SEGMENT Page 13 of 21 Derivatives Update March 2006

14 3. OPTIONS SEGMENT (March 2006) 3.1 Top 5 Traded Symbols Traded Value (Rs. in crores) OTHERS; 13729; 20% TATAMOTORS; 1318; 2% TATASTEEL; 1980; 3% RELIANCE; 2464; 4% SBIN; 2979; 4% NIFTY; 47093; 67% 3.2 Top 5 most active Options contracts: Sr. No. Contract Descriptor No. of Contracts Traded Value (Rs. In crs) Percentage of contracts to total contracts 1. NIFTY MARCH 2006 CE NIFTY MARCH 2006 PE NIFTY MARCH 2006 PE NIFTY MARCH 2006 PE NIFTY MARCH 2006 CE OTHERS TOTAL Option Exercises Analysis (Contract Month March 2006) Option Type Underlying Call Put Total No. of contracts exercised % to Total Nifty Others Total Underlying-wise Date-wise details of Stock Option contracts exercised: - Exercise.xls F & O SEGMENT Page 14 of 21 Derivatives Update March 2006

15 3.4 Top 5 Symbols by Open Interest (number of contracts) (on March 30, 2006) Call Options Open Interest for Call Options (Number of contracts) OTHERS; 50,510; 26% INFOSYSTCH; 3933; 2% RELIANCE; 5879; 3% TATASTEEL; 5880; 3% NIFTY; ; 63% SBIN; 6691; 3% Put Options SATYAMCOMP; 1,507; 1% RELIANCE; 2,393; 1% Open Interest for Put Options (Number of contracts) SBIN; 2,688; 1% OTHERS; 13,964; 6% TATASTEEL; 3,819; 2% NIFTY; 227,005; 89% F & O SEGMENT Page 15 of 21 Derivatives Update March 2006

16 3.5 Put Call Ratios (Contract Month March 2006) NIFTY Options (number of contracts traded) Calls Puts Put Call Ratio 60, Number of contracts 50, , , , , Put-Call Ratio Feb Feb Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Date Stocks Options (number of contracts traded) Calls Puts Put Call Ratio 30, , Number of contracts 20, , , Put-Call Ratio , Feb Feb Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Date F & O SEGMENT Page 16 of 21 Derivatives Update March 2006

17 3.5.3 NIFTY Options (Open Interest in number of contracts) Calls Puts Put Call Ratio 250, Open Interest (number of contracts) 200, , , , Put Call Ratio /24/06 2/27/06 2/28/06 3/1/06 3/2/06 3/3/06 3/6/06 3/7/06 3/8/06 3/9/06 3/10/06 3/13/06 3/14/06 3/16/06 3/17/06 3/20/06 3/21/06 3/22/06 3/23/06 3/24/06 3/27/06 3/28/06 3/29/06 3/30/06 Date Stocks Options (Open Interest in number of contracts) Calls Puts Put Call Ratio 80, , Open Interest (number of contracts) 60, , , , , , Feb Feb Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Put Call Ratio Date 4. AVERAGE QUARTER SIGMA SIZE AND MWPL F & O SEGMENT Page 17 of 21 Derivatives Update March 2006

18 The results of the Average quarter sigma order size and MWPL value for the period September 16, 2005 to March 14, 2006 for the securities on which presently the derivatives contracts are permitted are presented below: Sr. No. Name of the underlying on which Futures and options are available for trading Quarter Sigma Order size for the period September 16, 2005 to March 14, 2006 (Rs.) MWPL value as on February 23, 2006 (Rs. crs.) 1 ABB ACC ALBK ALOKTEXT ANDHRABANK ARVINDMILL ASHOKLEY AUROPHARMA BAJAJAUTO BANKBARODA BANKINDIA BEL BHARATFORG BHARTI BHEL BILT BONGAIREFN BPCL CANBK CENTURYTEX CESC CHAMBLFERT CHENNPETRO CIPLA COCHINREFN COLGATE CORPBANK CUMMINSIND DABUR DIVISLAB DRREDDY ESCORTS ESSAROIL FEDERALBNK GAIL GESHIPPING F & O SEGMENT Page 18 of 21 Derivatives Update March 2006

19 Sr. No. Name of the underlying on which Futures and options are available for trading Quarter Sigma Order size for the period September 16, 2005 to March 14, 2006 (Rs.) MWPL value as on February 23, 2006 (Rs. crs.) 37 GLAXO GNFC GRASIM GUJAMBCEM HCLTECH HDFC HDFCBANK HEROHONDA HINDALC HINDLEVER HINDPETRO ICICIBANK IDBI IDFC IFCI I-FLEX INDHOTEL INDIACEM INDUSINDBK INFOSYSTCH IOB IOC IPCL ITC IVRCLINFRA J&KBANK JETAIRWAYS JINDALSTEL JPHYDRO JSTAINLESS KTKBANK LICHSGFIN M&M MAHSEAMLES MARUTI MATRIXLABS MPHASISBFL MRPL MTNL NAGARFERT NATIONALUM NDTV F & O SEGMENT Page 19 of 21 Derivatives Update March 2006

20 Sr. No. Name of the underlying on which Futures and options are available for trading Quarter Sigma Order size for the period September 16, 2005 to March 14, 2006 (Rs.) MWPL value as on February 23, 2006 (Rs. crs.) 79 NEYVELILIG NICOLASPIR NTPC ONGC ORCHIDCHEM ORIENTBANK PATNI PNB POLARIS PUNJLLOYD RANBAXY REL RELCAPITAL RELIANCE SATYAMCOMP SBIN SCI SIEMENS SRF STAR STER SUNPHARMA SUZLON SYNDIBANK TATACHEM TATAMOTORS TATAPOWER TATASTEEL TATATEA TCS TITAN TVSMOTOR UNIONBANK UTIBANK VIJAYABANK VSNL WIPRO WOCKPHARMA *Non-promoter holding is as of post-issue For all other securities non-promoter holding is as on December 31, 2005 F & O SEGMENT Page 20 of 21 Derivatives Update March 2006

21 National Stock Exchange of India Ltd Exchange Plaza, Bandra Kurla Complex, Bandra East, Mumbai Tel : / Futures & Options Market Watch: Tel : / Fax : Futures & Options Clearing & Settlement: Tel : / Futures & Options Risk Management: Tel : / CTCL Enquiries: Tel : Membership Department: Tel : / / / Investor Grievances: Tel : DISCLAIMER All rights reserved. No part of the Derivatives Update may be reproduced or copied in any form by any means without the written permission of NSE. This document is not meant for circulation. NSE, its directors and employees, will not in any way be responsible for the contents of this report. This is not an offer to sell or a solicitation to buy any securities and / or derivatives contracts. Investors must make their own investment decision based on their own investment objectives, goals and financial position and based on their own analysis.