The Derivatives Denizen.

Your one stop derivatives guide.

May 15, 2004

Markets sink lower. Volumes & volatility sky rocket.

Outstanding long positions are the only ray of hope.

The markets have crashed on a week-on-week basis as the bulls pared positions at all levels and after the election tallies. The Outstanding net long positions are up approximately 3 % on a week-on-week basis. This is an encouraging development as the bulls show conviction even in weak markets. The traded volumes were 25 % higher. The outlook appears cautious as the markets are seeking a clear sense of direction. The 1550 supports are a crucial level to watch for now.

Market internals - outstandings - all Rs crores

Description	Rupees crores	Call options	Put options	Net position
Index Futures	2,438 567
Stock futures	4,008 1251
Index options		1212 536	365 25	847 511
Stock options		1533 402	321 73	1212 329
Total Futures	6,446 684	Total options - net	2059 840
Gross longs ( F+ O )	9,191 254	Net longs ( F+ O )	8,505 156

Observation - The out-standings have increased as the above table indicates. The rise in outstandings has come from the options segment as the individual stock futures have seen a sharp fall. The coming days will be governed by news driven considerations. Click here to view previous weeks file

Note - Previous weekend gross long positions Rs 8,937 crs, net long positions Rs 8,349 crs.

Source - The National Stock Exchange.

The traded volumes have shot up - a negative sign as the crash was on heavy volumes. The traded turnover was lower only in the stock calls, which shows that traders prefer the index as a matter of choice. 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.

Description	Previous week - Rs. crores	Current - Rs. crores	Change - Rs crores
Index Futures	15,493	24,148	8,655
Stock futures	23,611	25,654	2,043
Totals -	39,104	49,802	10,698
Index calls	1,877	2,682	805
Stock calls	2,714	2,405	309
Totals - b	4,591	5,087	496
Index puts	900	1,178	278
Stock puts	569	635	66
Totals - c	1,469	1,813	344
Grand totals ( a+b+c)	45,164	56,702	11,538

Source - The National Stock Exchange.

PCR - Index	0.31 : 1	Previous week	0.52: 1
PCR - Stocks	0.22 : 1	Previous week	0.24 : 1
PCR - Total	0.23 : 1	Previous week	0.27 : 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 longs have risen faster than the shorts. 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
1800 CE	148	227	79
1700 CE	05	190	185
1900 CE	154	175	21
1750 CE	28	119	91
1850 CE	101	102	01
Puts	Previous week Rs Crs	Current Rs crores	Change Rs Crs
1670 PE	08	74	66
1700 PE	53	71	18
1800 PE	78	47	31
1750 PE	70	44	26
1900 PE	17	20	03

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 377 Crs. Our inference is - watch the 1550 levels for coming week. The bears have added Rs 30 Crs. That shows a tendency towards the buy side. 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
Tisco	579	428	151
Reliance	523	535	12
Telco	339	264	75
Infosys	297	225	72
SBI	296	160	136
Options	Previous week Rs Crs	Current Rs. Crores	Change Rs Crs
RIL 540 calls	46	54	08
ONGC 860 calls	45	47	02
RIL 560 calls	31	35	04
SBI 660 calls	35	33	02
RIL 520 calls	14	33	19

Observation - The action remains polarised around the same big counters - Tisco, Reliance, SBI & Telco. Infosys is the new addition which has replaced ONGC in the recent past. Outstanding open interest in most of the stocks has fallen - a sign of caution. 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 1700 - 1800 on the long side and Reliance, SBI & 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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