The Derivatives Denizen.

Your one stop derivatives guide.

May 01, 2004

Markets in bear spiral. Volumes stagnate.

Outstanding long positions plummet on expiry.

The markets have crashed approximately 4.5 % on a week-on-week basis as the bulls pared positions at higher levels and have not rolled over substantial trades to the May series. The Outstanding net long positions are down approximately 35 % on a week-on-week basis. This is a routine phenomena on expiry as majority of contracts are allowed to expire worthlessly - especially in the options segment. The traded volumes were 8 % lower, but the week itself was shorter due to a holiday on Monday. The outlook appears nervous as the markets have violated supports at the 1800 levels. The indicators seem to indicate that the the weakness is likely to persist for now.

Market internals - outstandings - all Rs crores

Description	Rupees crores	Call options	Put options	Net position
Index Futures	1,588 145
Stock futures	4,947 1359
Index options		334 350	136 495	198 145
Stock options		599 858	106 536	493 322
Total Futures	5,535 1504	Total options - net	691 177
Gross longs ( F+ O )	6,468 3712	Net longs ( F+ O )	6,226 2681

Observation - The outstandings have decreased as the above table indicates. The noteworthy aspect is the rise in the Nifty options segment even as the overall options interest is lower. The coming days will be governed by news driven considerations. Click here to view previous weeks file

Note - Previous weekend gross long positions Rs 10,180 crs, net long positions Rs 8,907 crs.

Source - The National Stock Exchange.

The traded volumes have fallen sharply - but it must be remembered that the week was shorter by 1 trading day. The traded turnover was actually higher in the put options series, showing high trader interest on put options. We expect this trend to continue in the near term. The combination of traded volumes, open interest and market breadth are a reliable indicator of the undercurrents. The outlook appears brittle as the table below indicates.

Description	Previous week - Rs. crores	Current - Rs. crores	Change - Rs crores
Index Futures	18,985	18,013	972
Stock futures	31,084	27,629	3,455
Totals - a	50,069	45,642	4,427
Index calls	1,111	1,094	17
Stock calls	2,584	1,958	626
Totals - b	3,695	3,052	643
Index puts	678	920	242
Stock puts	663	742	79
Totals - c	1,341	1,662	321
Grand totals ( a+b+c)	55,105	50,356	4,749

Source - The National Stock Exchange.

PCR - Index	0.42 : 1	Previous week	0.95 : 1
PCR - Stocks	0.17 : 1	Previous week	0.48 : 1
PCR - Total	0.19 : 1	Previous week	0.52 : 1

Observation - The PCR shows a tilt towards the bulls as the ratios are showing higher long positions on a week-on-week basis. The Nifty PCR has turned outright bullish, the shorts have expired and have not been rolled over. The total PCR has also turned 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
1900 CE	109	90	19
1800 CE	73	62	11
1850 CE	74	44	30
1880 CE	18	19	01
1910 CE	13	17	04
Puts	Previous week Rs Crs	Current Rs crores	Change Rs Crs
1800 PE	147	38	109
1750 PE	80	20	60
1700 PE	76	16	60
1900 PE	25	15	10
1810 PE	07	09	02

Observation - The index contracts show which way the players are tilting. The outstanding positions seem to have decreased all round due to expiry. The bulls have reduced Rs 55 Crs. Our inference is - watch the 1770 levels for coming week. The bears have reduced Rs 237 Crs. That shows a tendency to square up the Nifty shorts at lower levels. The undertone appears cautious 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
Tisco	634	532	102
Reliance	376	462	86
Infosys	360	315	45
ONGC	455	301	154
Telco	357	297	60
Options	Previous week Rs Crs	Current Rs. Crores	Change Rs Crs
RIL 540 calls	24	31	07
Tisco 400 calls	30	23	07
RIL 560 calls	24	21	03
ONGC 860 calls	51	19	32
RIL 600 calls	22	19	03

Observation - The action remains polarised around the same big counters - ONGC, Tisco, Reliance & Telco. Infosys is the new addition which has replaced SBI in the recent past. Outstanding open interest in most of the stocks has fallen - a sign of concern. Watch Reliance, Infosys and Tisco 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 1900 - 1800 on the long side and Reliance, SBI, Tisco & ACC 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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