anishatulsian
New member
National Stock Exchange of India Limited
Futures and Options
Derivatives update for August 2004
The total turnover of the derivatives segment for the month of August 2004 stood at Rs.
176,006 crores as against total turnover of Rs. 175345 crores in the previous month
registering an increase of 0.38 % over previous month.
The details of the turnover of the Derivatives Segment from March 2004 – August 2004
are as follows: (Rs in crores)
Month
Mar-04 Apr–04 May-04 Jun-04 Jul 04 Aug-04
Futures on Indices 88710 79560 82149 64017 61125 57926
Futures on Individual Securities 144243 121048
92628 78392 94009 99591
Options on Indices 8168 7315 10293 8473 9915 7385
Options on Individual Securities 19359 12376 9693 7424 10296 11104
Interest Rate Futures 0 0 0 0 0 0
Total 260481 220299 194763 158306 175345 176006
The graph below depicts the contribution of each segment to the total turnover from
March 2004 – August 2004
Derivatives Turonver Mar '04 -Aug '04
0
20000
40000
60000
80000
100000
120000
140000
160000
Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04
Month
Value Rs. Crs.
Futures on Individual Securities Options on Individual Securities
Futures on Indices Options on Indices
Interest Rate Futures
Comparison of the Volumes in the F&O Segment with the Cash Segment
The turnover in the F&O segment as a percentage of the turnover in the cash segment for
the month of August 2004 was 203 %. The comparison of the turnover of the F&O
Segment with Cash segment for the period March 2004 – August 2004 is as follows:
(Rs in crores)
Turnover Mar-04 Apr-04 May-04 Jun-04 Jul - 04 Aug- 04
F&O
Segment
260481 220299 194762 158306 175345 176006
Underlying
Segment
104877 100951
98919 84898 93836 86856
% of F&O
to
Underlying
248% 218% 197% 186% 187% 203%
The derivatives update for the month has been divided into six parts as follows: (A)
Futures on Indices (B) Futures on Individual Securities (C) Options on Indices. (D)
Options on Individual Securities (E) Interest Rate Futures (F) General.
(A) Futures on Indices:
The total traded value in the Index futures for the month of August 2004 stands at
Rs.57926 crores, while a total of 1803263 contracts were traded during the month.
Turnover of futures on S&P CNX Nifty stood at Rs 57562 crores with 1787276 contracts
being traded. Turnover of futures on CNXIT stood at Rs 364 crores with 15987 contracts
being traded. The average daily traded value of Rs.2633 crores in August 2004, decreased
by 5.22% as compared to July 2004. The average number of contracts traded daily
decreased by 8.52% over the previous month. The details of trading are given in the table
below:
Month Mar-04 Apr-04 May-04 Jun -04 Jul-04 Aug-04
No.of days 22 20 21 22 22 22
Total traded value Rs.Crs 88710 79560 82149 64017 61125 57926
Avg daily traded value Rs.Crs 4032 3978 3912 2910 2778 2633
Total No.of contracts traded 2505102 2164528 2551985 2152644 1971231 1803263
Avg No. of contracts 113868 108226 121523 97847 89601 81967
The graph below depicts the average daily turnover and the average number of contracts
traded daily from March 2004 till August 2004.
Futures on Indices
200
1200
2200
3200
4200
Mar Apr May Jun Jul Aug
Month
Avg. daily traded
value (Rs. Crs.)
11000
31000
51000
71000
91000
111000
Avg. No. of contracts
traded daily
Avg. daily traded value Rs Crs. Avg. No. of contracts traded
Contract wise details:
The details of contract wise turnover of the Index Futures on S & P CNX Nifty index
contracts during the period March 2004 – August 2004 are given below:
Sr.
No. Contract
No.of
Contracts
Traded Value
Rs.Crs
1 NIFTY FEBRUARY FUTURES 2372272 87885.37
2 NIFTY MARCH FUTURES 2505102 80443.26
3 NIFTY APRIL FUTURES 2430343 88584.13
4 NIFTY MAY FUTURES 2312882 76391.77
5 NIFTY JUNE FUTURES 2092483 62819.32
6 NIFTY JULY FUTURES 2265540 69388.64
7 NIFTY AUGUST FUTURES 1701317 54760.41
8 NIFTY SEPTEMBER FUTURES 297264 9528.64
9 NIFTY OCTOBER FUTURES 2400 76.92
10 NIFTY NOVEMBER FUTURES 19 0.61
(B) FUTURES ON INDIVIDUAL SECURITIES:
The total traded value for the month of August 2004 was Rs. 99591 Crs and the total
contracts traded for the month were around 3577911. The average daily traded value
increased from Rs. 4273 crs in July 2004 to Rs.4527 crs in the current month registering
an increase of 5.94% over the previous month. The average number of contracts traded
daily increased from 158762 contracts in July 2004 to 162632 contracts in the current
month – an increase of almost 2.44 % over the previous month.
The details of trading for the months March 2004 to August 2004 are indicated in the
table below:
Month Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04
No of days 22 20 21 22 22 22
Total traded value Rs. Crs 144243 121048 92628 78392 94009 99591
Avg daily traded value Rs.Crs 6557 6052 4411 3563 4273 4527
Total No of contracts traded 3777206 3829403 3322799 3125283 3492774 3577911
Average No. of contracts 171691 191470 158229 142058 158762 162632
The graph below depicts the average daily turnover and the average number of contracts
traded daily from March 2004 to August 2004.
Futures on Individual Securities
0
1000
2000
3000
4000
5000
6000
7000
8000
9000
10000
Mar Apr May Jun Jul Aug
Month
Avg. daily traded
value (Rs. Crs.)
50000
70000
90000
110000
130000
150000
170000
190000
210000
Avg. No. of
contracts traded
daily
Avg. daily traded value Rs Crs. Avg. No. of contracts traded
Most active Futures contracts on individual securities:
It has been observed that during the month TISCO (August Expiry) has been the most
actively traded with 300100 contracts being traded with a traded value of Rs.10675 Crs.
The top 5 contracts (contract wise) for the month are follows:
Sr no. Contract Descriptor
No of
Contracts
Traded Value
(Rs in crores)
1 FUTSTK TISCO 26-AUG-2004 300100 10675
2 FUTSTK RELIANCE 26-AUG-2004 293151 8468
3 FUTSTK TATAMOTORS 26-AUG-2004 277122 9400
4 FUTSTK MARUTI 26-AUG-2004 227071 3597
5 FUTSTK SBIN 26-AUG-2004 206957 4588
The top 5 underlying securities in the month of August 2004 are as follows:
Sr no Symbol No of Traded Value
Contracts
( Rs in crores)
1 TISCO 357849 12633
2 TATAMOTORS 324347 10906
3 RELIANCE 354621 10187
4 SATYAMCOMP 138737 5687
5 SBIN 244902 5417
(C) OPTIONS ON INDICES:
The total traded value and the number of contracts traded for the current month is
Rs.7385 crores and 226397 contracts respectively. Turnover of options on S&P CNX
Nifty stood at Rs 7385 crores with 226397 contracts being traded. There was no turnover
of options on CNXIT. The average daily traded value decreased by 25% from Rs.451
crores in the previous month to Rs.336 crores. The average daily traded no. of contracts
decreased by 28%, with 10291 contracts being traded daily on an average during the
month of August 2004.
The details of trading between March 2004 – August 2004 are indicated in the table
below:
Month Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04
No of days 22 20 21 22 22 22
Total traded value Rs. Crs 8168 7315 10293 8473 9915 7385
Average daily traded value Rs.Crs 371 366 490 385 451 336
Total No of contracts traded 224716 196111 296628 275825 313531 226397
Average No. of contracts 10214 9806 14125 12538 14251 10291
The graph below depicts the average daily turnover and the average number of contracts
traded daily from March 2004 to August 2004.
Options on Indices
0
40
80
120
160
200
240
280
320
360
400
440
480
520
Mar Apr May Jun Jul Aug
Month
Avg. daily traded value (Rs.
Crs.)
0
1500
3000
4500
6000
7500
9000
10500
12000
13500
15000
Avg. No. of contracts traded
daily
Avg. daily traded value Rs Crs. Avg. No. of contracts traded
Classification of Option Type from March 2004 –August 2004
It has been observed that during the month of August 2004, the number of calls being
traded is 1.30 times the number of puts which is the lowest during the period March 2004
to August 2004
Month Calls Puts
No of Contracts Notional Value
(Rs. Crs.)
No of Contracts Notional Value
(Rs. Crs.)
Mar – 04 132352 4811.48 92364 3356.74
Apr – 04 115378 4346.86 80733 2968.13
May-04 196198 6823.76 100430 3468.88
June – 04 158784 4914.12 117041 3558.91
July – 04 189179 6058.97 124352 3856.11
Aug - 04 127779 4192.12 98618 3192.73
Most active Index Options Contracts:
It has been observed during the month, the NIFTY August 2004 1600 Call was most
actively traded with 44744 contracts being traded with a notional value of Rs.1455.72
Crs. The top 5 contracts (contract wise) for the month are follows:
Sr no. Contract
No of
Contracts
Rs in
crores
1 OPTIDX NIFTY 26-AUG-2004 CE 1600 44744 1455.72
2 OPTIDX NIFTY 26-AUG-2004 PE 1600 44375 1437.84
3 OPTIDX NIFTY 26-AUG-2004 CE 1650 14503 484.26
4 OPTIDX NIFTY 30-SEP-2004 CE 1600 9680 317.29
5 OPTIDX NIFTY 30-SEP-2004 PE 1600 8397 274.43
CE-Call European, PE-Put European
(D) OPTIONS ON INDIVIDUAL SECURITIES:
The total traded value for the current month is Rs. 11104 crores and 370932 contracts
were traded during the month. The average daily traded value decreased by 7.91% to Rs.
505 crores from previous month’s Rs 468 crores. The average daily traded no. of
contracts has increased by 3.91% with 16861 contracts on an average being traded daily
during the month of August 2004.
The details of trading for the months March 2004 – August 2004 are indicated in the table
below:
Month Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04
No of days 22 20 21 22 22 22
Total traded value Rs. Crs 19360 12376 9693 7424 10296 11104
Average daily traded value Rs.Crs 880 619 462 337 468 505
Total No of contracts traded 499596 378626 309786 269067 356977 370932
Average No. of contracts 22708 18931 14752 12230 16226 16861
The graph below depicts the average daily turnover and the average number of contracts
traded daily from March 2004 to August 2004.
Options on Individual Securities
0
200
400
600
800
1000
Mar Apr May Jun Jul Aug
Month
Avg. value traded
daily (Rs. Crs.)
0
5000
10000
15000
20000
25000
30000
35000
Avg. No. of
contracts traded
daily
Avg. daily traded value Rs Crs. Avg. No. of contracts traded
Classification of Options Type from March 2004 – August 2004
It has been observed that during the month of August 2004, the number of calls being
traded is 3.27 times the number of puts.
Month Calls Puts
No of Contracts Notional Value
(Rs. Crs.)
No of Contracts Notional Value
(Rs. Crs.)
Mar - 04 367722 14308.98 131874 5050.86
Apr- 04 292628 9640.13 85998 2736.28
May-04 246630 7717.07 63156 1976.24
Jun - 04 193687 5339.48 75380 2084.33
Jul - 04 262755 7613.74 94222 2682.25
Aug - 04 284013 8499.10 86919 2604.44
Most active options contracts on individual securities:
It has been observed during the last month, AUGUST 2004 SATYAMCOMP 340 call
has been the most actively traded with 9139 contracts being traded with a notional value
of Rs.382 Crs. The top 5 contracts (contract wise) for the month are follows:
Sr no Contracts
No of
contracts
Rs in
crores
1 OPTSTK SATYAMCOMP 26-AUG-2004 CA 340 9139 382
2 OPTSTK TISCO 26-AUG-2004 CA 260 7248 262
3 OPTSTKRELIANCE26-AUG-2004 CA 500 6191 189
4 OPTSTKSBIN 26-AUG-2004 CA 450 5267 121
5 OPTSTKSATYAMCOMP 26-AUG2004 CA 350 5049 216
CA-Call American, PA-Put American
The top 5 underlying securities in the month of August 2004, are as follows:
Sr no Security No. of
Contracts
Notional
Value
(Rs.
Crs.)
1 TISCO 57162 2080
2 TATAMOTORS 38892 1353
3 SATYAMCOMP 31099 1301
4 RELIANCE 40218 1185
5 SBIN 28709 653
(E) INTEREST RATE FUTURES:
There was no trading in Interest Rate Futures in the month of August 2004.
Details of trading in Interest Rate Futures for the months of February 2004 to July 2004
are given in the table below:
Month
Mar04 Apr-04 May04 Jun–04 Jul-04 Aug-04
No of days 22 20 21 22 22 22
Total traded value Rs Crs. 0 0 0 0 0 0
Avg. daily traded value Rs Crs. 0 0 0 0 0 0
Total No. of contracts traded 0 0 0 0 0 0
Avg. No. of contracts traded 0 0 0 0 0 0
(F) GENERAL:
1. RECORDS TILL DATE IN THE DERIVATIVES SEGMENT
Product Value (Rs. Crs.) Date
Index Futures 7563.18 22-JAN-04
Futures on individual
securities 13100.06 28-JAN-04
Index Options 1212.92 08-JUL-04
Options on individual
securities 1484.22 29-JAN-04
Interest Rate Futures 139.92 24-JUN-03
Total Derivatives volumes 21921.34 28-JAN-04
2. OPEN INTEREST AS ON EXPIRY DATE (No. of Contracts):
Mar-04 Apr-04 May- 04
Jun - 04
Jul - 04
Aug -04
Futures on Individual
Securities 177657 203728 126955
133025
161589 188351
Options on Individual
Securities 71442 78088 63803
48536
61039 72809
Index Futures 54078 54549 64973 57181 65980 53489
Index Options 38543 41488 57509
40682
53321
39518
Interest Rate Futures 0 0 0
0
0 0
Total 341720 377853 313240 279424 341929 354167
CLASSIFICATION OF MEMBERS FOR THE DERIVATIVES SEGMENT:
As on August 31, 2004, there are 640 SEBI registered members in the F&O Segment, of
which 599 are enabled on the F&O segment of the Exchange. The details are as follows:
Category SEBI
registered
Enabled on
F&O
PCM - (Clears for others) 17 8
CM + TM – (Trades and clears for self and others) 154 140
TM + SCM – (Trades and Clears for Self) 79 63
TM - (Trades for self and clears through others) 390 388#
Total 640 599
# Of which 15 are regarded as TMSCM and 13 as TMCM.
MEMBER INFORMATION:
Region wise classification of Active Members for the month of August 2004:
Sr
No CITY
No of
Members
1 AGRA 2
2 AHMEDABAD 14
3 ANAND/ VALLABH-VIDHYANAGAR 1
4 BANGALORE 7
5 BARODA 4
6 CALCUTTA / HOWRAH 70
7 CHANDIGARH/MOHALI/PANCHKULA 1
8 CHENNAI 28
9 COCHIN/ERNAKULAM/PARUR/KALAMSERRY/ALWAYE 5
10 COIMBATORE 3
11 DELHI/GHAZIABAD 130
12 GAJUWAKA/VISHAKHAPATNAM 2
13 GANDHINAGAR 1
14 GORAKHPUR 1
15 HYDERABAD/SECUNDERABAD/KUKATPALLY 18
16 INDORE 7
17 JAIPUR 4
18 KANPUR 1
19 LUCKNOW 2
20 LUDHIANA 1
21 MEERUT 1
22 MUMBAI 260
23 PUNE 5
24 RAJKOT 3
25 SURAT 1
26 TENALI 1
27 TRIVANDRUM 1
28 Grand Total 574
MEMBER TRADING ACIVITY IN THE DERIVATIVES SEGMENT:
Total Turnover (F&O)
An analysis of members trading across both products in the month of August 2004
indicates that the majority of members have a monthly traded value between 50 crores to
Rs. 250 crores.
No. of Members
Month Mar Apr May June July Aug
Upto Rs. 10 crore 24 26 26 43 46 42
Rs.10 crore upto Rs.50 crore 69 72 96 104 89 93
Rs.50 crore upto Rs.250 crore 140 155 160 188 177 183
Rs.250 crore upto Rs.500 crore 98 94 97 80 100 97
Rs.500 crore upto Rs.1000
crore 84 91 78 67 75 68
Rs 1000 Crs and more 131 109 93 80 85 91
Futures sub segment:
The member-trading activity in the futures segment for the month of August 2004
indicates that the majority of members have a monthly traded value of more than Rs.50
crore.
No. of Members
Month Mar Apr May June July Aug
Upto Rs. 10 crore 28 30 29 50 55 48
Rs.10 crore upto Rs.50 crore 76 77 106 109 92 97
Rs.50 crore upto Rs.250 crore 147 158 166 183 178 188
Rs.250 crore upto Rs.500 crore 95 92 87 82 96 90
Rs.500 crore upto Rs.1000
crore 77 91 77 68 78 72
Rs 1000 Crs and more 123 99 85 70 73 79
Options sub segment:
In the options segment for the month of August 2004, most of the members have monthly
notional traded value of more than Rs. 10 crore.
No. of Members
Month Mar Apr May June July Aug
Upto Rs. 10 crore 197 233 239 286 269 282
Rs.10 crore upto Rs.50 crore 170 177 176 162 163 164
Rs.50 crore upto Rs.250 crore 120 99 96 78 101 91
Rs.250 crore upto Rs.500 crore 30 25 24 25 20 23
Rs.500 crore upto Rs.1000
crore 22 8 10 8 14 10
Rs 1000 Crs and more 7 5 5 3 5 4
Member wise Contribution (value wise)
Futures sub segment: It has been observed that in the month of August 2004, top 5
members have contributed to 14% of the volumes in the futures segment.
Turnover Mar% Apr% May% Jun% Jul% Aug%
Top 5 Members 14 15 14 15 13 14
Top 10 Members 24 25 24 23 22 22
Top 15 Members 30 31 30 30 28 28
Top 25 Members 40 40 40 40 38 37
Options sub segment: It has been observed that in the month of August 2004 top 5
members have contributed to nearly 20% of the volumes in the options sub-segment.
Turnover Mar% Apr % May% Jun% Jul% Aug%
Top 5 Members 18 21 22 20 19 20
Top 10 Members 28 32 32 31 29 31
Top 15 Members 35 39 39 38 36 38
Top 25 Members 46 50 50 49 49 49
Volume contribution (Gross) from Institutional and non-institutional Participants
for the period March 2004 – August 2004:
It may be observed that during the months, March to May 2004, contribution of
institutional investors has increased from 2.02% to 4.54% but in June 2004 it dipped to
3.21%. The details of the institutional trading for the period January 2004 to June 2004 is
enclosed below:
S
No Month Institutional Investors
Non - Institutional
investors
Value
in Rs.
Crs
%
Contribution
Value
in Rs.
Crs
%
Contribution
1 Mar-04 13274 2.55 507688 97.45
2 Apr- 04 13674 3.10 426924 96.90
3 May-04 17341 4.54 372185 95.56
4 June-04 10159 3.21 306452 96.79
5 Jul-04 10055 2.87 340635 97.13
6 Aug-04 11541 3.28 340471 96.72
CITY WISE CONTRIBUTION OF TURNOVER FOR THE DERIVATIVES
SEGMENT:
The details of city wise contribution for the month March 2004 – August 2004 are as
follows:
Location Mar-04 Apr-04 May– 04 Jun -04 Jul-04 Aug-04
MUMBAI 48.52% 44.24% 46.97% 45.50% 46.30% 42.04%
DELHI 26.24% 30.25% 27.89% 28.78% 27.50% 22.85%
KOLKATA 10.48% 10.78% 11.03% 11.05% 10.97% 13.02%
CHENNAI 1.73% 1.70% 1.70% 1.82% 1.99% 2.54%
AHMEDABAD 2.79% 3.02% 3.45% 3.18% 3.38% 2.88%
CHANDIGARH 1.95% 1.69% 1.62% 1.45% 1.54% 1.80%
JAIPUR 0.54% 0.70% 0.53% 0.95% 1.01% 2.11%
BANGALORE 0.72% 0.70% 0.68% 0.70% 0.68% 1.55%
HYDERABAD 1.97% 1.89% 1.72% 1.79% 1.91% 1.16%
LUDHIANA 0.59% 0.59% 0.53% 0.58% 0.57% 0.69%
OTHERS 4.47% 4.44% 3.88% 4.20% 4.15% 9.36%
TOTAL 100.00% 100% 100% 100% 100% 100%
Futures and Options
Derivatives update for August 2004
The total turnover of the derivatives segment for the month of August 2004 stood at Rs.
176,006 crores as against total turnover of Rs. 175345 crores in the previous month
registering an increase of 0.38 % over previous month.
The details of the turnover of the Derivatives Segment from March 2004 – August 2004
are as follows: (Rs in crores)
Month
Mar-04 Apr–04 May-04 Jun-04 Jul 04 Aug-04
Futures on Indices 88710 79560 82149 64017 61125 57926
Futures on Individual Securities 144243 121048
92628 78392 94009 99591
Options on Indices 8168 7315 10293 8473 9915 7385
Options on Individual Securities 19359 12376 9693 7424 10296 11104
Interest Rate Futures 0 0 0 0 0 0
Total 260481 220299 194763 158306 175345 176006
The graph below depicts the contribution of each segment to the total turnover from
March 2004 – August 2004
Derivatives Turonver Mar '04 -Aug '04
0
20000
40000
60000
80000
100000
120000
140000
160000
Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04
Month
Value Rs. Crs.
Futures on Individual Securities Options on Individual Securities
Futures on Indices Options on Indices
Interest Rate Futures
Comparison of the Volumes in the F&O Segment with the Cash Segment
The turnover in the F&O segment as a percentage of the turnover in the cash segment for
the month of August 2004 was 203 %. The comparison of the turnover of the F&O
Segment with Cash segment for the period March 2004 – August 2004 is as follows:
(Rs in crores)
Turnover Mar-04 Apr-04 May-04 Jun-04 Jul - 04 Aug- 04
F&O
Segment
260481 220299 194762 158306 175345 176006
Underlying
Segment
104877 100951
98919 84898 93836 86856
% of F&O
to
Underlying
248% 218% 197% 186% 187% 203%
The derivatives update for the month has been divided into six parts as follows: (A)
Futures on Indices (B) Futures on Individual Securities (C) Options on Indices. (D)
Options on Individual Securities (E) Interest Rate Futures (F) General.
(A) Futures on Indices:
The total traded value in the Index futures for the month of August 2004 stands at
Rs.57926 crores, while a total of 1803263 contracts were traded during the month.
Turnover of futures on S&P CNX Nifty stood at Rs 57562 crores with 1787276 contracts
being traded. Turnover of futures on CNXIT stood at Rs 364 crores with 15987 contracts
being traded. The average daily traded value of Rs.2633 crores in August 2004, decreased
by 5.22% as compared to July 2004. The average number of contracts traded daily
decreased by 8.52% over the previous month. The details of trading are given in the table
below:
Month Mar-04 Apr-04 May-04 Jun -04 Jul-04 Aug-04
No.of days 22 20 21 22 22 22
Total traded value Rs.Crs 88710 79560 82149 64017 61125 57926
Avg daily traded value Rs.Crs 4032 3978 3912 2910 2778 2633
Total No.of contracts traded 2505102 2164528 2551985 2152644 1971231 1803263
Avg No. of contracts 113868 108226 121523 97847 89601 81967
The graph below depicts the average daily turnover and the average number of contracts
traded daily from March 2004 till August 2004.
Futures on Indices
200
1200
2200
3200
4200
Mar Apr May Jun Jul Aug
Month
Avg. daily traded
value (Rs. Crs.)
11000
31000
51000
71000
91000
111000
Avg. No. of contracts
traded daily
Avg. daily traded value Rs Crs. Avg. No. of contracts traded
Contract wise details:
The details of contract wise turnover of the Index Futures on S & P CNX Nifty index
contracts during the period March 2004 – August 2004 are given below:
Sr.
No. Contract
No.of
Contracts
Traded Value
Rs.Crs
1 NIFTY FEBRUARY FUTURES 2372272 87885.37
2 NIFTY MARCH FUTURES 2505102 80443.26
3 NIFTY APRIL FUTURES 2430343 88584.13
4 NIFTY MAY FUTURES 2312882 76391.77
5 NIFTY JUNE FUTURES 2092483 62819.32
6 NIFTY JULY FUTURES 2265540 69388.64
7 NIFTY AUGUST FUTURES 1701317 54760.41
8 NIFTY SEPTEMBER FUTURES 297264 9528.64
9 NIFTY OCTOBER FUTURES 2400 76.92
10 NIFTY NOVEMBER FUTURES 19 0.61
(B) FUTURES ON INDIVIDUAL SECURITIES:
The total traded value for the month of August 2004 was Rs. 99591 Crs and the total
contracts traded for the month were around 3577911. The average daily traded value
increased from Rs. 4273 crs in July 2004 to Rs.4527 crs in the current month registering
an increase of 5.94% over the previous month. The average number of contracts traded
daily increased from 158762 contracts in July 2004 to 162632 contracts in the current
month – an increase of almost 2.44 % over the previous month.
The details of trading for the months March 2004 to August 2004 are indicated in the
table below:
Month Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04
No of days 22 20 21 22 22 22
Total traded value Rs. Crs 144243 121048 92628 78392 94009 99591
Avg daily traded value Rs.Crs 6557 6052 4411 3563 4273 4527
Total No of contracts traded 3777206 3829403 3322799 3125283 3492774 3577911
Average No. of contracts 171691 191470 158229 142058 158762 162632
The graph below depicts the average daily turnover and the average number of contracts
traded daily from March 2004 to August 2004.
Futures on Individual Securities
0
1000
2000
3000
4000
5000
6000
7000
8000
9000
10000
Mar Apr May Jun Jul Aug
Month
Avg. daily traded
value (Rs. Crs.)
50000
70000
90000
110000
130000
150000
170000
190000
210000
Avg. No. of
contracts traded
daily
Avg. daily traded value Rs Crs. Avg. No. of contracts traded
Most active Futures contracts on individual securities:
It has been observed that during the month TISCO (August Expiry) has been the most
actively traded with 300100 contracts being traded with a traded value of Rs.10675 Crs.
The top 5 contracts (contract wise) for the month are follows:
Sr no. Contract Descriptor
No of
Contracts
Traded Value
(Rs in crores)
1 FUTSTK TISCO 26-AUG-2004 300100 10675
2 FUTSTK RELIANCE 26-AUG-2004 293151 8468
3 FUTSTK TATAMOTORS 26-AUG-2004 277122 9400
4 FUTSTK MARUTI 26-AUG-2004 227071 3597
5 FUTSTK SBIN 26-AUG-2004 206957 4588
The top 5 underlying securities in the month of August 2004 are as follows:
Sr no Symbol No of Traded Value
Contracts
( Rs in crores)
1 TISCO 357849 12633
2 TATAMOTORS 324347 10906
3 RELIANCE 354621 10187
4 SATYAMCOMP 138737 5687
5 SBIN 244902 5417
(C) OPTIONS ON INDICES:
The total traded value and the number of contracts traded for the current month is
Rs.7385 crores and 226397 contracts respectively. Turnover of options on S&P CNX
Nifty stood at Rs 7385 crores with 226397 contracts being traded. There was no turnover
of options on CNXIT. The average daily traded value decreased by 25% from Rs.451
crores in the previous month to Rs.336 crores. The average daily traded no. of contracts
decreased by 28%, with 10291 contracts being traded daily on an average during the
month of August 2004.
The details of trading between March 2004 – August 2004 are indicated in the table
below:
Month Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04
No of days 22 20 21 22 22 22
Total traded value Rs. Crs 8168 7315 10293 8473 9915 7385
Average daily traded value Rs.Crs 371 366 490 385 451 336
Total No of contracts traded 224716 196111 296628 275825 313531 226397
Average No. of contracts 10214 9806 14125 12538 14251 10291
The graph below depicts the average daily turnover and the average number of contracts
traded daily from March 2004 to August 2004.
Options on Indices
0
40
80
120
160
200
240
280
320
360
400
440
480
520
Mar Apr May Jun Jul Aug
Month
Avg. daily traded value (Rs.
Crs.)
0
1500
3000
4500
6000
7500
9000
10500
12000
13500
15000
Avg. No. of contracts traded
daily
Avg. daily traded value Rs Crs. Avg. No. of contracts traded
Classification of Option Type from March 2004 –August 2004
It has been observed that during the month of August 2004, the number of calls being
traded is 1.30 times the number of puts which is the lowest during the period March 2004
to August 2004
Month Calls Puts
No of Contracts Notional Value
(Rs. Crs.)
No of Contracts Notional Value
(Rs. Crs.)
Mar – 04 132352 4811.48 92364 3356.74
Apr – 04 115378 4346.86 80733 2968.13
May-04 196198 6823.76 100430 3468.88
June – 04 158784 4914.12 117041 3558.91
July – 04 189179 6058.97 124352 3856.11
Aug - 04 127779 4192.12 98618 3192.73
Most active Index Options Contracts:
It has been observed during the month, the NIFTY August 2004 1600 Call was most
actively traded with 44744 contracts being traded with a notional value of Rs.1455.72
Crs. The top 5 contracts (contract wise) for the month are follows:
Sr no. Contract
No of
Contracts
Rs in
crores
1 OPTIDX NIFTY 26-AUG-2004 CE 1600 44744 1455.72
2 OPTIDX NIFTY 26-AUG-2004 PE 1600 44375 1437.84
3 OPTIDX NIFTY 26-AUG-2004 CE 1650 14503 484.26
4 OPTIDX NIFTY 30-SEP-2004 CE 1600 9680 317.29
5 OPTIDX NIFTY 30-SEP-2004 PE 1600 8397 274.43
CE-Call European, PE-Put European
(D) OPTIONS ON INDIVIDUAL SECURITIES:
The total traded value for the current month is Rs. 11104 crores and 370932 contracts
were traded during the month. The average daily traded value decreased by 7.91% to Rs.
505 crores from previous month’s Rs 468 crores. The average daily traded no. of
contracts has increased by 3.91% with 16861 contracts on an average being traded daily
during the month of August 2004.
The details of trading for the months March 2004 – August 2004 are indicated in the table
below:
Month Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04
No of days 22 20 21 22 22 22
Total traded value Rs. Crs 19360 12376 9693 7424 10296 11104
Average daily traded value Rs.Crs 880 619 462 337 468 505
Total No of contracts traded 499596 378626 309786 269067 356977 370932
Average No. of contracts 22708 18931 14752 12230 16226 16861
The graph below depicts the average daily turnover and the average number of contracts
traded daily from March 2004 to August 2004.
Options on Individual Securities
0
200
400
600
800
1000
Mar Apr May Jun Jul Aug
Month
Avg. value traded
daily (Rs. Crs.)
0
5000
10000
15000
20000
25000
30000
35000
Avg. No. of
contracts traded
daily
Avg. daily traded value Rs Crs. Avg. No. of contracts traded
Classification of Options Type from March 2004 – August 2004
It has been observed that during the month of August 2004, the number of calls being
traded is 3.27 times the number of puts.
Month Calls Puts
No of Contracts Notional Value
(Rs. Crs.)
No of Contracts Notional Value
(Rs. Crs.)
Mar - 04 367722 14308.98 131874 5050.86
Apr- 04 292628 9640.13 85998 2736.28
May-04 246630 7717.07 63156 1976.24
Jun - 04 193687 5339.48 75380 2084.33
Jul - 04 262755 7613.74 94222 2682.25
Aug - 04 284013 8499.10 86919 2604.44
Most active options contracts on individual securities:
It has been observed during the last month, AUGUST 2004 SATYAMCOMP 340 call
has been the most actively traded with 9139 contracts being traded with a notional value
of Rs.382 Crs. The top 5 contracts (contract wise) for the month are follows:
Sr no Contracts
No of
contracts
Rs in
crores
1 OPTSTK SATYAMCOMP 26-AUG-2004 CA 340 9139 382
2 OPTSTK TISCO 26-AUG-2004 CA 260 7248 262
3 OPTSTKRELIANCE26-AUG-2004 CA 500 6191 189
4 OPTSTKSBIN 26-AUG-2004 CA 450 5267 121
5 OPTSTKSATYAMCOMP 26-AUG2004 CA 350 5049 216
CA-Call American, PA-Put American
The top 5 underlying securities in the month of August 2004, are as follows:
Sr no Security No. of
Contracts
Notional
Value
(Rs.
Crs.)
1 TISCO 57162 2080
2 TATAMOTORS 38892 1353
3 SATYAMCOMP 31099 1301
4 RELIANCE 40218 1185
5 SBIN 28709 653
(E) INTEREST RATE FUTURES:
There was no trading in Interest Rate Futures in the month of August 2004.
Details of trading in Interest Rate Futures for the months of February 2004 to July 2004
are given in the table below:
Month
Mar04 Apr-04 May04 Jun–04 Jul-04 Aug-04
No of days 22 20 21 22 22 22
Total traded value Rs Crs. 0 0 0 0 0 0
Avg. daily traded value Rs Crs. 0 0 0 0 0 0
Total No. of contracts traded 0 0 0 0 0 0
Avg. No. of contracts traded 0 0 0 0 0 0
(F) GENERAL:
1. RECORDS TILL DATE IN THE DERIVATIVES SEGMENT
Product Value (Rs. Crs.) Date
Index Futures 7563.18 22-JAN-04
Futures on individual
securities 13100.06 28-JAN-04
Index Options 1212.92 08-JUL-04
Options on individual
securities 1484.22 29-JAN-04
Interest Rate Futures 139.92 24-JUN-03
Total Derivatives volumes 21921.34 28-JAN-04
2. OPEN INTEREST AS ON EXPIRY DATE (No. of Contracts):
Mar-04 Apr-04 May- 04
Jun - 04
Jul - 04
Aug -04
Futures on Individual
Securities 177657 203728 126955
133025
161589 188351
Options on Individual
Securities 71442 78088 63803
48536
61039 72809
Index Futures 54078 54549 64973 57181 65980 53489
Index Options 38543 41488 57509
40682
53321
39518
Interest Rate Futures 0 0 0
0
0 0
Total 341720 377853 313240 279424 341929 354167
CLASSIFICATION OF MEMBERS FOR THE DERIVATIVES SEGMENT:
As on August 31, 2004, there are 640 SEBI registered members in the F&O Segment, of
which 599 are enabled on the F&O segment of the Exchange. The details are as follows:
Category SEBI
registered
Enabled on
F&O
PCM - (Clears for others) 17 8
CM + TM – (Trades and clears for self and others) 154 140
TM + SCM – (Trades and Clears for Self) 79 63
TM - (Trades for self and clears through others) 390 388#
Total 640 599
# Of which 15 are regarded as TMSCM and 13 as TMCM.
MEMBER INFORMATION:
Region wise classification of Active Members for the month of August 2004:
Sr
No CITY
No of
Members
1 AGRA 2
2 AHMEDABAD 14
3 ANAND/ VALLABH-VIDHYANAGAR 1
4 BANGALORE 7
5 BARODA 4
6 CALCUTTA / HOWRAH 70
7 CHANDIGARH/MOHALI/PANCHKULA 1
8 CHENNAI 28
9 COCHIN/ERNAKULAM/PARUR/KALAMSERRY/ALWAYE 5
10 COIMBATORE 3
11 DELHI/GHAZIABAD 130
12 GAJUWAKA/VISHAKHAPATNAM 2
13 GANDHINAGAR 1
14 GORAKHPUR 1
15 HYDERABAD/SECUNDERABAD/KUKATPALLY 18
16 INDORE 7
17 JAIPUR 4
18 KANPUR 1
19 LUCKNOW 2
20 LUDHIANA 1
21 MEERUT 1
22 MUMBAI 260
23 PUNE 5
24 RAJKOT 3
25 SURAT 1
26 TENALI 1
27 TRIVANDRUM 1
28 Grand Total 574
MEMBER TRADING ACIVITY IN THE DERIVATIVES SEGMENT:
Total Turnover (F&O)
An analysis of members trading across both products in the month of August 2004
indicates that the majority of members have a monthly traded value between 50 crores to
Rs. 250 crores.
No. of Members
Month Mar Apr May June July Aug
Upto Rs. 10 crore 24 26 26 43 46 42
Rs.10 crore upto Rs.50 crore 69 72 96 104 89 93
Rs.50 crore upto Rs.250 crore 140 155 160 188 177 183
Rs.250 crore upto Rs.500 crore 98 94 97 80 100 97
Rs.500 crore upto Rs.1000
crore 84 91 78 67 75 68
Rs 1000 Crs and more 131 109 93 80 85 91
Futures sub segment:
The member-trading activity in the futures segment for the month of August 2004
indicates that the majority of members have a monthly traded value of more than Rs.50
crore.
No. of Members
Month Mar Apr May June July Aug
Upto Rs. 10 crore 28 30 29 50 55 48
Rs.10 crore upto Rs.50 crore 76 77 106 109 92 97
Rs.50 crore upto Rs.250 crore 147 158 166 183 178 188
Rs.250 crore upto Rs.500 crore 95 92 87 82 96 90
Rs.500 crore upto Rs.1000
crore 77 91 77 68 78 72
Rs 1000 Crs and more 123 99 85 70 73 79
Options sub segment:
In the options segment for the month of August 2004, most of the members have monthly
notional traded value of more than Rs. 10 crore.
No. of Members
Month Mar Apr May June July Aug
Upto Rs. 10 crore 197 233 239 286 269 282
Rs.10 crore upto Rs.50 crore 170 177 176 162 163 164
Rs.50 crore upto Rs.250 crore 120 99 96 78 101 91
Rs.250 crore upto Rs.500 crore 30 25 24 25 20 23
Rs.500 crore upto Rs.1000
crore 22 8 10 8 14 10
Rs 1000 Crs and more 7 5 5 3 5 4
Member wise Contribution (value wise)
Futures sub segment: It has been observed that in the month of August 2004, top 5
members have contributed to 14% of the volumes in the futures segment.
Turnover Mar% Apr% May% Jun% Jul% Aug%
Top 5 Members 14 15 14 15 13 14
Top 10 Members 24 25 24 23 22 22
Top 15 Members 30 31 30 30 28 28
Top 25 Members 40 40 40 40 38 37
Options sub segment: It has been observed that in the month of August 2004 top 5
members have contributed to nearly 20% of the volumes in the options sub-segment.
Turnover Mar% Apr % May% Jun% Jul% Aug%
Top 5 Members 18 21 22 20 19 20
Top 10 Members 28 32 32 31 29 31
Top 15 Members 35 39 39 38 36 38
Top 25 Members 46 50 50 49 49 49
Volume contribution (Gross) from Institutional and non-institutional Participants
for the period March 2004 – August 2004:
It may be observed that during the months, March to May 2004, contribution of
institutional investors has increased from 2.02% to 4.54% but in June 2004 it dipped to
3.21%. The details of the institutional trading for the period January 2004 to June 2004 is
enclosed below:
S
No Month Institutional Investors
Non - Institutional
investors
Value
in Rs.
Crs
%
Contribution
Value
in Rs.
Crs
%
Contribution
1 Mar-04 13274 2.55 507688 97.45
2 Apr- 04 13674 3.10 426924 96.90
3 May-04 17341 4.54 372185 95.56
4 June-04 10159 3.21 306452 96.79
5 Jul-04 10055 2.87 340635 97.13
6 Aug-04 11541 3.28 340471 96.72
CITY WISE CONTRIBUTION OF TURNOVER FOR THE DERIVATIVES
SEGMENT:
The details of city wise contribution for the month March 2004 – August 2004 are as
follows:
Location Mar-04 Apr-04 May– 04 Jun -04 Jul-04 Aug-04
MUMBAI 48.52% 44.24% 46.97% 45.50% 46.30% 42.04%
DELHI 26.24% 30.25% 27.89% 28.78% 27.50% 22.85%
KOLKATA 10.48% 10.78% 11.03% 11.05% 10.97% 13.02%
CHENNAI 1.73% 1.70% 1.70% 1.82% 1.99% 2.54%
AHMEDABAD 2.79% 3.02% 3.45% 3.18% 3.38% 2.88%
CHANDIGARH 1.95% 1.69% 1.62% 1.45% 1.54% 1.80%
JAIPUR 0.54% 0.70% 0.53% 0.95% 1.01% 2.11%
BANGALORE 0.72% 0.70% 0.68% 0.70% 0.68% 1.55%
HYDERABAD 1.97% 1.89% 1.72% 1.79% 1.91% 1.16%
LUDHIANA 0.59% 0.59% 0.53% 0.58% 0.57% 0.69%
OTHERS 4.47% 4.44% 3.88% 4.20% 4.15% 9.36%
TOTAL 100.00% 100% 100% 100% 100% 100%