Derivatives Update March 2006 NSE Leadership through change
INDEX OF DERIVATIVES UPDATE 1. OVERVIEW OF THE F&O SEGMENT OCTOBER 2005 TO MARCH 2006 1.1 Comparison of the NIFTY Contract, NIFTY Index & Daily Traded value 3 1.2 Records Achieved 4 1.3 Month wise Basic Statistics 4 1.4 Month wise Product wise Traded Value Analysis 6 1.5 Institutional, Retail & Proprietary Investors Turnover Analysis 7 1.6 Summary of Members Trading Activity 7 1.7 Value wise contribution of the Top Members 8 1.8 Comparative analysis of the Traded Value in the F&O and Cash Segments 9 1.9 Month wise Product wise Basic Statistics 10 1.10 Comparative Analysis World Exchanges (February 2006) 11 2. FUTURES SEGMENT (MARCH 2006) 2.1 Top 5 Traded Symbols 11 2.2 Top 5 most active futures contracts 12 2.3 Top 5 Symbols by Open Interest as on expiry (March 30, 2006) 12 2.4 Cost of Carry (in percentage) for Near Month Contracts 13 3. OPTIONS SEGMENT (MARCH 2006) 3.1 Top 5 Traded Symbols 14 3.2 Top 5 most active options contracts 14 3.3 Options Exercises Analysis 14 3.4 Top 5 Symbols by Open Interest as on expiry (March 30, 2006) 15 3.5 Put Call Ratios 16 4. ADDITION, REMOVAL & QUARTER SIGMA VALUES 18
1. Overview of the F&O Segment October 2005 to March 2006 1.1 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 3450 3350 3250 3150 3050 2950 2850 2750 2650 2550 2450 2350 2250 2150 2050 3-Oct-2005 10-Oct-2005 18-Oct-2005 25-Oct-2005 1-Nov-2005 10-Nov-2005 18-Nov-2005 25-Nov-2005 1-Dec-2005 8-Dec-2005 15-Dec-2005 22-Dec-2005 29-Dec-2005 5-Jan-2006 13-Jan-2006 20-Jan-2006 30-Jan-2006 6-Feb-2006 14-Feb-2006 21-Feb-2006 28-Feb-2006 7-Mar-06 14-Mar-06 22-Mar-06 29-Mar-06 Close Prices (Rs.) 50000 45000 40000 35000 30000 25000 20000 15000 10000 5000 0 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
1.2 Records Achieved in the F&O Segment: Traded Value Product (Rs. in crores) Date Index Futures 14,230 08-Mar-06 Stock Futures 32,359 30-Mar-06 Index Options 3,368 09-Mar-06 Stock Options 2,306 17-Jan-06 Interest Rate Futures 140 24-Jun-03 Total F&O Traded Value 47,272 30-Mar-06 Open Interest on Contract Expiry (number of contracts) 15,38,912 30-Mar-06 1.3 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 4,92,672 734849 Daily Average 21,683 19,793 23,809 24,379 25,930 33402 Number of Contracts Total 1,51,76,424 1,30,55,656 1,61,81,118 1,46,81,719 140,98,382 187,90,218 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 129 128 132 132 144 141 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 2006. F & O SEGMENT Page 4 of 21 Derivatives Update March 2006
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 51000 900000 Daily Avg. Traded Value & Open Interst (Rs. in crores) 46000 41000 36000 31000 26000 21000 16000 11000 6000 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Month 850000 800000 750000 700000 650000 600000 550000 500000 450000 400000 350000 300000 250000 200000 Daily Avg. number of contracts F & O SEGMENT Page 5 of 21 Derivatives Update March 2006
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% 170,100 135,478 183,293 166,127 156,359 192,035 60% Percentage 50% 40% 30% 214,398 216,526 280,283 265,042 288,715 473,251 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 2006. F & O SEGMENT Page 6 of 21 Derivatives Update March 2006
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 67,961 7.84 5,19,302 59.87 2,80,058 32.29 2 Nov 05 56,340 7.12 4,92,086 62.15 2,43,280 30.73 3 Dec 05 65,786 6.28 6,55,110 62.53 3,26,719 31.19 4 Jan 06 74,215 7.61 6,16,350 63.20 2,84,603 29.19 5 Feb 06 82,388 8.36 6,24,122 63.34 2,78,835 28.30 6 Mar 06 1,03,635 7.05 9,72,171 66.15 3,93,892 26.80 It may be observed that the contribution of retail trades has increased from 63.34% in February 2006 to 66.15% in March 2006. 1.6 Summary of Members Trading Activity: 1.6.1 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 32 26 24 24 29 24 Rs. 10 crores upto Rs. 50 crores 80 90 68 73 72 57 Rs. 50 crores upto Rs.250 crores 141 151 147 165 172 153 Rs. 250 crores upto Rs.500 crores 113 103 100 89 94 90 Rs. 500 crores upto Rs.1000 crores 89 91 103 111 102 98 Rs. 1000 crores and more 193 191 219 205 207 266 It may be observed that the maximum number of members is observed to be trading in the category of Rs. 1000 crores and more. F & O SEGMENT Page 7 of 21 Derivatives Update March 2006
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 34 26 27 27 31 26 Rs.10 crores upto Rs.50 crores 84 98 71 78 76 60 Rs.50 crores upto Rs.250 crores 149 160 159 173 179 159 Rs.250 crores upto Rs.500 crores 116 100 95 90 94 87 Rs.500 crores upto Rs.1000 crores 84 92 105 106 93 101 Rs 1000 crores and more 181 176 204 193 203 255 It may be observed that, the maximum numbers of members have been trading in the category of Rs. 1000 crores and more. 1.6.3 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 280 289 266 271 291 276 Rs.10 crores upto Rs.50 crores 172 161 160 160 179 161 Rs.50 crores upto Rs.250 crores 124 135 146 158 139 157 Rs.250 crores upto Rs.500 crores 30 29 39 36 29 45 Rs.500 crores upto Rs.1000 crores 23 21 24 18 19 18 Rs 1000 crores and more 19 17 26 24 19 31 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: 1.7.1 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 12 12 12 12 14 13 Top 10 Members 20 20 20 20 22 21 Top 15 Members 28 27 26 26 29 27 Top 25 Members 38 37 36 36 39 36 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
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 25 24 24 25 26 24 Top 10 Members 39 37 38 38 41 38 Top 15 Members 47 45 45 47 51 47 Top 25 Members 58 56 56 57 63 58 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 600000 Turnover (Rs. in crores) 734849 500000 400000 523807 487584 492672 300000 433660 395853 200000 F&O Segment 120810 Cash Segment Oct-05 109578 Nov-05 149908 Dec-05 149442 Jan-06 Month 135374 Feb-06 209395 100000 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
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 214398 216526 280283 265042 288715 473251 120.73 63.92 Index Futures 170100 135478 183293 166127 156359 192035 12.90 22.82 Stock Options 13575 12777 17244 17893 15268 22466 65.50 47.14 Index Options 35586 31073 42987 38521 32331 47097 32.35 45.67 Stock Futures 10720 10826 12740 13252 15196 21511 100.66 41.56 Index Futures 8505 6774 8332 8306 8229 8729 2.63 6.08 Stock Options 679 639 784 895 804 1021 50.37 26.99 Index Options 1779 1554 1954 1926 1702 2141 20.35 25.79 Number of Contracts Total Daily Average Stock Futures 6526919 6252736 7571377 7134199 7443178 10844400 66.15 45.70 Index Futures 6849732 5238175 6613032 5760999 5186835 5952206-13.10 14.76 Stock Options 389254 364188 456529 456055 401973 537261 38.02 33.66 Index Options 1410519 1200557 1540180 1330466 1066396 1456351 3.25 36.57 Stock Futures 326346 312637 344154 356710 391746 492927 51.04 25.83 Index Futures 342487 261909 300592 288050 272991 270555-21.00-0.89 Stock Options 19463 18209 20751 22803 21156 24421 25.47 15.43 Index Options 70526 60028 70008 66523 56126 66198-6.14 17.95 Open Interest (end of respective expiry day) Value in Rs. Crore Number of contracts Stock Futures 14238 14499 17587 19747 23028 29005 103.72 25.96 Index Futures 7524 7107 7834 9467 9573 12160 61.62 27.02 Stock Options 3050 2523 3307 2649 3155 3842 25.97 21.77 Index Options 6481 6816 7664 6513 7766 11818 82.35 52.18 Stock Futures 511812 467788 537012 598009 655920 7,39,074 44.40 12.68 Index Futures 317848 267705 277347 321692 311974 3,56,942 12.30 14.41 Stock Options 103867 76810 94213 80331 88667 97,234-6.39 9.66 Index Options 275454 258666 271578 221492 253618 3,45,662 25.49 36.29 Number of trading Days 20 20 22 20 19 22 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
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, 385583, 57% NIFTY, 190724, 29% SBIN, 24775, 4% TATAMOTORS, 23449, 4% MARUTI, 19512, 3% RELIANCE, 21243, 3% F & O SEGMENT Page 11 of 21 Derivatives Update March 2006
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 2006 5142631 164722 31 2 NIFTY APRIL 2006 764169 25467 5 3 TATASTEEEL MARCH 2006 490803 15779 3 4 SBIN MARCH 2006 474212 22508 3 5 RELIANCE MARCH 2006 404374 18322 2 OTHERS 9520417 418488 56 TOTAL 16796606 665286 100.00 2.3 Top 5 Symbols by Open Interest (number of contracts) (on 30 March 2006) NIFTY; 355038; 32% OTHERS; 636474; 58% RELIANCE; 28849; 3% INFOSYSTCH; 28137; 3% MTNL; 23257; 2% RANBAXY; 24261; 2% F & O SEGMENT Page 12 of 21 Derivatives Update March 2006
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 140.00 120.00 100.00 80.00 140.00 120.00 100.00 Cost of carry 60.00 40.00 Cost of carry 80.00 60.00 20.00 0.00 40.00-20.00 20.00-40.00 24-Feb-06 27-Feb-06 28-Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar-06 10-Mar-06 13-Mar-06 Date 14-Mar-06 16-Mar-06 17-Mar-06 20-Mar-06 21-Mar-06 22-Mar-06 23-Mar-06 24-Mar-06 27-Mar-06 28-Mar-06 29-Mar-06 30-Mar-06 0.00 24-Feb-06 27-Feb-06 28-Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar-06 10-Mar-06 13-Mar-06 Date 14-Mar-06 16-Mar-06 17-Mar-06 20-Mar-06 21-Mar-06 22-Mar-06 23-Mar-06 24-Mar-06 27-Mar-06 28-Mar-06 29-Mar-06 30-Mar-06 TATAMOTORS Futures Near Month Cost of Carry RELIANCE Futures Near Month Cost of Carry 250.00 20.00 200.00 15.00 150.00 10.00 Cost of carry 100.00 50.00 Cost of carry 5.00 0.00 0.00-5.00-50.00-10.00 24-Feb-2006 27-Feb-2006 28-Feb-2006 1-Mar-2006 2-Mar-2006 3-Mar-2006 6-Mar-2006 7-Mar-2006 8-Mar-2006 9-Mar-2006 10-Mar-2006 13-Mar-2006 Date 14-Mar-2006 16-Mar-2006 17-Mar-2006 20-Mar-2006 21-Mar-2006 22-Mar-2006 23-Mar-2006 24-Mar-2006 27-Mar-2006 28-Mar-2006 29-Mar-2006 30-Mar-2006 24-Feb-2006 27-Feb-2006 28-Feb-2006 1-Mar-2006 2-Mar-2006 3-Mar-2006 6-Mar-2006 7-Mar-2006 8-Mar-2006 9-Mar-2006 10-Mar-2006 13-Mar-2006 Date 14-Mar-2006 16-Mar-2006 17-Mar-2006 20-Mar-2006 21-Mar-2006 22-Mar-2006 23-Mar-2006 24-Mar-2006 27-Mar-2006 28-Mar-2006 29-Mar-2006 30-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
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 3200 125112 4071 6.28 2. NIFTY MARCH 2006 PE 3200 124163 4025 6.23 3. NIFTY MARCH 2006 PE 3100 115323 3625 5.78 4. NIFTY MARCH 2006 PE 3150 111223 3553 5.58 5. NIFTY MARCH 2006 CE 3150 109790 3536 5.51 OTHERS 1408001 50753 70.63 TOTAL 1993612 69564 100.00 3.3 Option Exercises Analysis (Contract Month March 2006) Option Type Underlying Call Put Total No. of contracts exercised % to Total Nifty 72539 4 72543 64.01 Others 33696 7084 40780 35.99 Total 106235 7088 113323 100 Underlying-wise Date-wise details of Stock Option contracts exercised: - Exercise.xls F & O SEGMENT Page 14 of 21 Derivatives Update March 2006
3.4 Top 5 Symbols by Open Interest (number of contracts) (on March 30, 2006) 3.4.1 Call Options Open Interest for Call Options (Number of contracts) OTHERS; 50,510; 26% INFOSYSTCH; 3933; 2% RELIANCE; 5879; 3% TATASTEEL; 5880; 3% NIFTY; 118627; 63% SBIN; 6691; 3% 3.4.2 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
3.5 Put Call Ratios (Contract Month March 2006) 3.5.1 NIFTY Options (number of contracts traded) Calls Puts Put Call Ratio 60,000.00 1.90 1.80 Number of contracts 50,000.00 40,000.00 30,000.00 20,000.00 10,000.00 1.70 1.60 1.50 1.40 1.30 1.20 1.10 1.00 0.90 0.80 0.70 Put-Call Ratio 0.60 0.00 24-Feb-06 27-Feb-06 28-Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar-06 10-Mar-06 13-Mar-06 14-Mar-06 16-Mar-06 17-Mar-06 20-Mar-06 21-Mar-06 22-Mar-06 23-Mar-06 24-Mar-06 27-Mar-06 28-Mar-06 29-Mar-06 30-Mar-06 0.50 Date 3.5.2 Stocks Options (number of contracts traded) Calls Puts Put Call Ratio 30,000.00 0.50 25,000.00 0.45 0.40 Number of contracts 20,000.00 15,000.00 10,000.00 0.35 0.30 0.25 Put-Call Ratio 0.20 5,000.00 0.15 0.00 24-Feb-06 27-Feb-06 28-Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar-06 10-Mar-06 13-Mar-06 14-Mar-06 16-Mar-06 17-Mar-06 20-Mar-06 21-Mar-06 22-Mar-06 23-Mar-06 24-Mar-06 27-Mar-06 28-Mar-06 29-Mar-06 30-Mar-06 0.10 Date F & O SEGMENT Page 16 of 21 Derivatives Update March 2006
3.5.3 NIFTY Options (Open Interest in number of contracts) Calls Puts Put Call Ratio 250,000.00 2.20 2.10 Open Interest (number of contracts) 200,000.00 150,000.00 100,000.00 50,000.00 2.00 1.90 1.80 1.70 1.60 1.50 1.40 1.30 1.20 1.10 Put Call Ratio 1.00 0.00 0.90 2/24/06 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 3.5.4 Stocks Options (Open Interest in number of contracts) Calls Puts Put Call Ratio 80,000.00 0.50 70,000.00 0.45 Open Interest (number of contracts) 60,000.00 50,000.00 40,000.00 30,000.00 20,000.00 10,000.00 0.00 24-Feb-06 27-Feb-06 28-Feb-06 1-Mar-06 2-Mar-06 3-Mar-06 6-Mar-06 7-Mar-06 8-Mar-06 9-Mar-06 10-Mar-06 13-Mar-06 14-Mar-06 16-Mar-06 17-Mar-06 20-Mar-06 21-Mar-06 22-Mar-06 23-Mar-06 24-Mar-06 27-Mar-06 28-Mar-06 29-Mar-06 30-Mar-06 0.40 0.35 0.30 0.25 Put Call Ratio 0.20 0.15 Date 4. AVERAGE QUARTER SIGMA SIZE AND MWPL F & O SEGMENT Page 17 of 21 Derivatives Update March 2006
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 1855879.66 748.71 2 ACC 4074801.58 1359.04 3 ALBK 943391.62 200.26 4 ALOKTEXT 691221.38 166.50 5 ANDHRABANK 1075529.58 254.10 6 ARVINDMILL 1496593.77 263.21 7 ASHOKLEY 3316086.37 443.48 8 AUROPHARMA 794285.19 259.13 9 BAJAJAUTO 4155623.97 2463.28 10 BANKBARODA 1585459.13 424.56 11 BANKINDIA 1782376.41 377.85 12 BEL 1771081.48 382.06 13 BHARATFORG 2027060.79 987.23 14 BHARTI 3279093.43 713.50 15 BHEL 4777147.54 1786.55 16 BILT 608679.91 212.93 17 BONGAIREFN 390190.32 59.36 18 BPCL 1881950.62 546.57 19 CANBK 1910537.18 556.71 20 CENTURYTEX 2831200.24 326.17 21 CESC 841892.68 240.47 22 CHAMBLFERT 656643.85 188.44 23 CHENNPETRO 611782.24 147.38 24 CIPLA 2919823.28 1981.34 25 COCHINREFN 453673.44 52.31 26 COLGATE 728674.04 518.50 27 CORPBANK 659079.36 142.19 28 CUMMINSIND 791388.09 424.27 29 DABUR 1474204.98 149.29 30 DIVISLAB 722271.17 200.77 31 DRREDDY 3216100.28 1519.17 32 ESCORTS 936939.37 81.70 33 ESSAROIL 679584.68 93.85 34 FEDERALBNK 850329.47 129.17 35 GAIL 2859684.2 667.70 36 GESHIPPING 2148210.51 725.08 F & O SEGMENT Page 18 of 21 Derivatives Update March 2006
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 928799.66 465.05 38 GNFC 879621.54 215.00 39 GRASIM 3309952.03 1464.02 40 GUJAMBCEM 3274019.35 1398.25 41 HCLTECH 2095549.32 614.38 42 HDFC 5563791.42 2018.43 43 HDFCBANK 3208682.24 1152.77 44 HEROHONDA 3571026.43 903.59 45 HINDALC0 3526506.52 1412.63 46 HINDLEVER 4318226.92 4135.71 47 HINDPETRO 1270022.86 381.86 48 ICICIBANK 6673037.6 2335.10 49 IDBI 2767342.24 515.76 50 IDFC 4088518.24 563.03 51 IFCI 4157613.62 139.87 52 I-FLEX 2136548.66 589.47 53 INDHOTEL 1403237.85 728.59 54 INDIACEM 2270885.33 355.90 55 INDUSINDBK 582632.03 66.90 56 INFOSYSTCH 24329622.35 7977.61 57 IOB 821117.2 154.63 58 IOC 1871006.94 843.86 59 IPCL 4094604.88 623.94 60 ITC 10314125.28 3367.62 61 IVRCLINFRA 2044341.65 354.13 62 J&KBANK 529392.02 144.76 63 JETAIRWAYS 2420018.77 330.72 64 JINDALSTEL 767699.67 113.05 65 JPHYDRO 979636.43 102.60 66 JSTAINLESS 1046960.18 114.25 67 KTKBANK 1057943.7 160.13 68 LICHSGFIN 700137.68 205.09 69 M&M 3714766.63 1437.10 70 MAHSEAMLES 508147.45 140.11 71 MARUTI 7971415.04 1245.50 72 MATRIXLABS 1050969.73 276.58 73 MPHASISBFL 760065.85 198.61 74 MRPL 617096.23 80.79 75 MTNL 2326638.12 781.13 76 NAGARFERT 937062.05 85.10 77 NATIONALUM 1622590.97 481.13 78 NDTV 1093461.51 116.94 F & O SEGMENT Page 19 of 21 Derivatives Update March 2006
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 472399.44 56.21 80 NICOLASPIR 753803.21 133.53 81 NTPC 3812967.6 1665.34 82 ONGC 12701271.83 4443.25 83 ORCHIDCHEM 1336692.12 322.79 84 ORIENTBANK 1515833.84 285.71 85 PATNI 840843.16 322.47 86 PNB 2990852.93 779.21 87 POLARIS 1231145.28 164.86 88 PUNJLLOYD 1892427.79 506.67 89 RANBAXY 7841690.34 2160.06 90 REL 3368392.35 885.77 91 RELCAPITAL 15980620.89 787.33 92 RELIANCE 28193949.47 10294.04 93 SATYAMCOMP 15948464.21 4334.78 94 SBIN 17676497.63 3611.80 95 SCI 705509.92 164.02 96 SIEMENS 4446934.17 744.09 97 SRF 4543012.44 221.14 98 STAR 425599.17 170.55 99 STER 1446534.3 592.74 100 SUNPHARMA 1039836.07 524.40 101 SUZLON 11377384.53 1798.86 102 SYNDIBANK 1378234.99 310.63 103 TATACHEM 1839192.52 647.91 104 TATAMOTORS 11297174.42 3885.74 105 TATAPOWER 2364828.12 973.54 106 TATASTEEL 10670318.22 3396.18 107 TATATEA 1441746.48 735.48 108 TCS 10349652.23 2157.37 109 TITAN 12847290.29 307.64 110 TVSMOTOR 695232.49 185.02 111 UNIONBANK 982642.77 310.83 112 UTIBANK 1503281.03 390.92 113 VIJAYABANK 571996.94 85.29 114 VSNL 8156327.14 609.86 115 WIPRO 5999825.27 1840.93 116 WOCKPHARMA 1157616.38 284.18 *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
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