The Derivatives Denizen.

Your one stop derivatives guide.

Aug 28, 2004

Markets see highest rollover in 5 months. Bulls attempting comeback.

FII outstanding long positions at 3106 crs.

The markets have risen on a week-on-week basis on 12 % higher volumes as the retail participants seem to have rolled over their positions to the September series. The bulls seemed to be on the offensive in the markets as oil prices are the decline. The Outstanding net long positions are down approximately 23 % on a week-on-week basis. This is a routine development on expiry as the OI has decreased in the futures and options segment. The outlook appears to be optimistic as the markets are above a short term resistance at the 1607 levels which if violated on a continous close basis, will see 1588 levels. The Nifty futures trade at Rs 9 discount to cash, which is due to the ex-dividend factor of select stocks. The stocks of the week are likely to be TCS & ONGC.

Market internals - outstandings - all Rs crores

Description	Rupees crores	Call options	Put options	Net position
Index Futures	1,248 269
Stock futures	4,090 250
Index options		250 303	212 232	38  71
Stock options		438 900	116 297	322  603
Total Futures	5,338 519	Total options - net	660 674
Gross longs ( F+ O )	6,026 1722	Net longs ( F+ O )	5,698 1193

Observation - The net out-standings have decreased as the above table indicates. This is a routine development at expiry. Click here to view previous weeks file

Note - Previous weekend gross long positions Rs 7,748 crs, net long positions Rs 6,891 crs.

Source - The National Stock Exchange.

It maybe noted that FII's now hold approximately Rs 3,106 crs in open interest which is a substantial portion of the entire market open interest. The FII's seem to be concentrating on stock futures and then Index futures in that order of preference. Please note that FII's have sold more futures than they have bought on Aug 26, 2004. That indicates selling in the near term. Purchases of Rs 126 crs are seen in the cash segment on that day.

Source - The National Stock Exchange.

The traded volumes have risen - a marginally positive sign as the markets have risen on higher volumes amidst expiry. The traded turnover was lower in the index segment. We want the volumes to rise in the coming week if the markets are to see retail participation. The combination of traded volumes, open interest and put / call ratios are a reliable indicator of the undercurrents. The outlook appears cautious in the short term. Click here to view previous weeks file

Description	Previous week - Rs. crores	Current - Rs. crores	Change - Rs crores
Index Futures	13,688	13,498	190
Stock futures	20,259	25,173	4,914
Totals - a	33,947	38,671	4,724
Index calls	1,097	1,002	95
Stock calls	1,866	1,910	44
Totals - b	2,963	2,912	51
Index puts	839	794	45
Stock puts	601	701	100
Totals - c	1,440	1,495	55
Grand totals ( a+b+c)	38,350	43,078	4,728

Source - The National Stock Exchange.

PCR - Index	0.87 : 1	Previous week	0.82: 1
PCR - Stocks	0.27 : 1	Previous week	0.30 : 1
PCR - Total	0.33 : 1	Previous week	0.33 : 1

Observation - The PCR shows a tilt towards the bulls as the ratios are showing bull activity in stocks and short selling on the Nifty on a week-on-week basis on the Nifty. The Nifty PCR remains outright bearish, the shorts have risen faster than the longs. This ( PCR ) will be the one of the most reliable indicator of market trends. The total PCR has remained positive. The equilibrium point is 0.50 : 1. Click here to view previous weeks file

Source - The National Stock Exchange.

Market internals - Nifty put / call trends - 5 highest open interest contracts

Calls	Previous week Rs Crs	Current Rs crores	Change Rs Crs
1600 CE	136	99	37
1650 CE	89	54	45
1550 CE	30	19	11
1620 CE	44	20	24
1670 CE	23	23	00
Puts	Previous week Rs Crs	Current Rs crores	Change Rs Crs
1600 PE	119	60	59
1550 PE	84	96	12
1500 PE	45	24	21
1650 PE	19	11	08
1580 PE	20	06	14

Observation - The index contracts show which way the players are tilting. The outstanding positions seem to have increased all round in the previous week. The bulls have added Rs 117 Crs. Our inference is - watch the 1580 support levels for the coming week. The bears have added Rs 90 Crs. That shows a tendency towards squaring up shorts at lower prices. The undertone appears cautious for now. Click here to view previous weeks file

Source - The National Stock Exchange.

Top 5 scrips with positive changes in open interest

Top 5 scrips with negative changes in open interest

Source - The National Stock Exchange.

5 Highest outstanding scrips

Futures	Previous week Rs Crs	Current Rs. Crores	Change Rs Crs
Tisco	491	377	114
Telco	365	332	33
Reliance	387	401	14
SBI	271	256	15
TCS	n/a	325	325

Options	Previous week Rs Crs	Current Rs. Crores	Change Rs Crs
TCS 1000 calls	n/a	29	29
TCS 1100 Calls	n/a	24	24
Tisco 250 calls	01	17	16
Tisco 260 calls	28	15	13
ONGC 700 calls	18	14	04

Observation - The action remains polarised around the same big counters - Tisco, Reliance, SBI & Telco. Outstanding open interest in most of the stocks has fallen - a routine phenomena at expiry. Watch Reliance for directional guidance in the coming week, as we have been emphasising since over a month. Click here to view previous weeks file.

Most active calls - top 10

Most active puts - top 10

The activity is polarised around the Nifty between the 1580 - 1600 on the long side and Satyam Computers, Reliance & Tisco in individual stocks.

 

Source - The National Stock Exchange.

Volatility is a F&O traders best friend. We have split the volatility readings of the stocks in two segments - above the market average and below the market average. It is obvious that higher than average volatility will see a larger move in either direction and therefore benefit a savvy intraday / short term trader. Please note how the volatility has fallen sharply across the board since the last 2 months. It will have an impact on the margins payable by futures traders. It is wiser to avoid those stocks which show lower volatility readings if you want short term profits. Keep watching this space for regular updates.

This segment is for paid subscribers

Source - The National Stock Exchange.

Have a profitable day.

 

Vijay L. Bhambwani

Ceo :- Bsplindia.com

The author is a Mumbai  based investment consultant and invites feedback at Vijay@BSPLindia.com and  (022) 23438482 / 23400345.

SEBI disclosure -  The author has no positions in  the stocks mentioned above.

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