The Derivatives Denizen.

Your one stop derivatives guide.

June 05, 2004

Markets seeking floors. Volumes & volatility falling.

Outstanding long positions continue to rally.

The markets have rallied by 1 % on poor volumes as the retail participants have stayed away from day-to-day activity. The Outstanding net long positions are up approximately 20 % on a week-on-week basis. This is a positive development as the bulls show a some conviction at lower levels. The traded volumes were 10 % lower. The outlook appears cautiously optimistic as the markets are seeking a support base near the 1450 levels which we have been advocating as a strong support.

Market internals - outstandings - all Rs crores

Description	Rupees crores	Call options	Put options	Net position
Index Futures	1,653 209
Stock futures	2,803 438
Index options		408 138	273 142	135 04
Stock options		512 223	141 92	371 131
Total Futures	4,456 647	Total options - net	506 127
Gross longs ( F+ O )	5,376 1008	Net longs ( F+ O )	4,962 774

Observation - The out-standings have increased as the above table indicates. The rise in out-standings has come from the futures segment and that too more because of a buildup of longs in stock futures. The stock options show a marginal rise in outstanding positions. The coming days will continue to be governed by news driven considerations and a pre budget buildup is likely. Click here to view previous weeks file

Note - Previous weekend gross long positions Rs 4,368 crs, net long positions Rs 4,188 crs.

Source - The National Stock Exchange.

The traded volumes have crashed - a negative sign as the retail segment has shown signs of withdrawal. The traded turnover was lower all round. We expect this trend to continue in the coming week. The combination of traded volumes, open interest and market breadth are a reliable indicator of the undercurrents. The outlook appears brittle in the short term. Click here to view previous weeks file

Description	Previous week - Rs. crores	Current - Rs. crores	Change - Rs crores
Index Futures	18,287	17,034	1,253
Stock futures	20,107	16,864	3,243
Totals - a	38,394	33,898	4,496
Index calls	1,159	1,107	52
Stock calls	1,370	1,136	234
Totals - b	2,529	2,243	286
Index puts	648	720	72
Stock puts	380	351	29
Totals - c	1,028	1,071	43
Grand totals ( a+b+c)	41,951	37,212	4,739

Source - The National Stock Exchange.

PCR - Index	0.71 : 1	Previous week	0.50: 1
PCR - Stocks	0.27 : 1	Previous week	0.17 : 1
PCR - Total	0.32 : 1	Previous week	0.21 : 1

Observation - The PCR shows a tilt towards the bears as the ratios are showing higher short positions on a week-on-week basis. The Nifty PCR has turned outright bearish, the shorts have risen faster than the longs. The total PCR has remained above the optimal point. 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	80	106	26
1500 CE	42	80	38
1550 CE	33	60	27
1700 CE	26	31	05
1650 CE	20	23	03
Puts	Previous week Rs Crs	Current Rs crores	Change Rs Crs
1450 PE	14	71	57
1500 PE	41	65	24
1400 PE	09	46	37
1550 PE	13	15	02
1370 PE	02	14	12

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 99 Crs. Our inference is - watch the 1450 support levels for coming week. The bears have reduced Rs 132 Crs. That shows a tendency towards initiating shorts at higher levels at out of money strike prices. The undertone appears cautiously optimistic for now. Click here to view previous weeks file

Source - The National Stock Exchange.

5 Highest outstanding scrips

Futures	Previous week Rs Crs	Current Rs. Crores	Change Rs Crs
Reliance	267	262	05
Tisco	261	296	35
Telco	139	176	37
Infosys	112	142	30
ONGC	98	131	33
Options	Previous week Rs Crs	Current Rs. Crores	Change Rs Crs
Tisco 320 calls	20	26	06
Tisco 330 calls	13	17	04
Tisco 340 calls	11	15	04
Satyam 320 calls	08	14	06
Satyam 330 Calls	08	13	05

Observation - The action remains polarised around the same big counters - Tisco, Reliance, SBI & Telco. Outstanding open interest in most of the stocks has risen - a sign of cautious optimism. Watch Reliance for directional guidance in the coming week. 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 1500 - 1600 on the long side and Satyam Computers & Tisco in individual stocks.

 

Source - The National Stock Exchange.

This segment is for paid subscribers only

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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