nse data on Future and options

8/9/2019 nse data on Future and options

1/19

Derivatives UpdateDerivatives UpdateDerivatives UpdateDerivatives UpdateJuneJuneJuneJune 2020202010101010

NATIONAL STOCK EXCHANGE OF INDIALIMITED

Leadership through changeLeadership through changeLeadership through changeLeadership through change


2/19

INDEX OF DERIVATIVES UPDATE

1. OVERVIEW OF THE F&O SEGMENT January 2010 TO June 2010

1.1 Comparison of the NIFTY Contract, NIFTY Index & Daily Traded value 3

1.2 Records Achieved 4

1.3 Month wise Basic Statistics 4

1.4 Month wise Product wise Traded Value Analysis 6

1.5 Institutional, Retail & Proprietary Investors Turnover Analysis 7

1.6 Summary of Members Trading Activity 7

1.7 Value wise contribution of the Top Members 8

1.8 Comparative analysis of the Traded Value in the F&O and Cash Segments 9

1.9 Month wise Product wise Basic Statistics 10

1.10 Comparative Analysis World Exchanges 11

2. FUTURES SEGMENT (June 2010)

2.1 Top 5 Traded Symbols 12

2.2 Top 5 most active futures contracts 12

2.3 Top 5 Symbols by Open Interest as on expiry (June 24 2010) 13

2.4 Cost of Carry (in percentage) for Near Month Contracts 14

3. OPTIONS SEGMENT (June 2010)

3.1 Top 5 Traded Symbols 15

3.2 Top 5 most active options contracts 15

3.3 Options Exercises Analysis 15

3.4 Top 5 Symbols by Open Interest as on expiry (June24 2010) 16

3.5 Put Call Ratios 17


3/19

F & O SEGMENT Page 3 of 19 Derivatives Update June 2010

1. Overview of the F&O Segment January 2010 To June 2010

1.1 Comparison of the close prices of the NIFTY Near Month Futures Contract (F&O

Segment) with the underlying movement of the NIFTY Index (Cash Segment), along

with the Daily Traded value of the F&O Segment:

0

10000

20000

30000

40000

50000

60000

70000

80000

90000

100000

110000

120000

130000

140000

150000

160000

170000

2100220023002400250026002700280029003000310032003300340035003600

3700380039004000410042004300440045004600470048004900500051005200530054005500

04-Jan-2010

07-Jan-2010

10-Jan-2010

13-Jan-2010

16-Jan-2010

19-Jan-2010

22-Jan-2010

25-Jan-2010

28-Jan-2010

31-Jan-2010

03-Feb-2010

06-Feb-2010

09-Feb-2010

12-Feb-2010

15-Feb-2010

18-Feb-2010

21-Feb-2010

24-Feb-2010

27-Feb-2010

02-Mar-2010

05-Mar-2010

08-Mar-2010

11-Mar-2010

14-Mar-2010

17-Mar-2010

20-Mar-2010

23-Mar-2010

26-Mar-2010

29-Mar-2010

01-Apr-2010

04-Apr-2010

07-Apr-2010

10-Apr-2010

13-Apr-2010

16-Apr-2010

19-Apr-2010

22-Apr-2010

25-Apr-2010

28-Apr-2010

01-May-2010

04-May-2010

07-May-2010

10-May-2010

13-May-2010

16-May-2010

19-May-2010

22-May-2010

25-May-2010

28-May-2010

31-May-2010

03-Jun-2010

06-Jun-2010

09-Jun-2010

12-Jun-2010

15-Jun-2010

18-Jun-2010

21-Jun-2010

24-Jun-2010

27-Jun-2010

30-Jun-2010

F&OTradedvalue(Rs.incror

es)

ClosePrices(Rs.)

Date

Traded V al ue F& O s egm ent (Rs i n c rores ) Near Month Fut ures Cl os e P ri ce NI FTY Cas h S egment mov em ent

Note: Special live trading session on February 6, 2010


4/19


1.2 Records Achieved in the F&O Segment:

Product

Traded Value

(Rs. in crores) Date

Index Futures 36,745 27-Jan-10

Stock Futures 71,195 1-Nov-07

Index Options 89,049 24-Jun-10

Stock Options 6415 07-May-10

Total F&O Traded Value 1,66,193 28-Jan-10

Open Interest on Contract Expiry(number of contracts) 6,364,607 24-Jun-10

1.3Monthwise Basic Statistics of the F&O Segment:

Particulars Jan 2010 Feb 2010 Mar 2010 Apr 2010 May 2010 June 2010

Traded Value (Rs in crores)

Total 14,90,297 15,69,877 1,568,147 1,671,620 2,124,496 203559

Daily Average 78,437 78,494 74,674 83581 101166 9252

Number of Contracts

Total 5,31,01,821 6,04,29,963 55960432 58230570 80960515 7707808

Daily Average 27,94,833 30,21,498 2,664,782 2911529 3855263 350355

Open Interest (Rs in crores)

End of day

averages 1,09,988 1,13,430 116271 124238 129903 135335

% of Open

interest toDaily Average

Traded value

140 145 156 149 128 146


5/19


Following is the graphical representation of the above data w.r.t. the Daily Average of Traded Value &

Number of Contracts, and Open Interest.

200000300000400000500000600000700000800000900000100000011000001200000130000014000001500000160000017000001800000190000020000002100000220000023000002400000250000026000002700000

280000029000003000000310000032000003300000340000035000003600000370000038000003900000

6000

26000

46000

66000

86000

106000

126000

Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10

DailyAvg.numberofcontracts

DailyAv

g.TradedValue&

OpenInterest(Rs.incrores)

Month

Daily Aver age number of contracts Daily Avera ge Traded Value Open in terest - end of day averages


6/19


7/19


1.5Institutional, Retail & Proprietary Investors Turnover Analysis:

No Month Institutional investors Retail Proprietary

GrossTraded

Value

(Rs in

crores)

Percentage

Contri

bution

GrossTraded

Value

(Rs in

crores)

Percentage

Contribu

tion

GrossTraded

Value

(Rs in

crores)

PercentageContribution

1 Jan 10 4,34,120 14.56 16,19,619 54.34 9,26,855 31.10

2 Feb 10 4,11,091 13.10 1,791,672 57.06 9,36,989 29.84

3 Mar 10 388,516 12.39 1,843,186 58.77 904,593 28.84

4 Apr-10 424,873 12.71 1,822,859 54.52 1,095,508 32.77

5 May-10 624,790 14.70 2,138,386 50.33 1,485,815 34.97

6 June-10 559,492 13.74 2,077,989 51.04 1,433,718 35.22

1.6 Summary of Members Trading Activity:

1.6.1 Total Turnover (F&O Segment)

Month

Number of Members

Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10Upto Rs. 10 crores 66 68 68 63 60 68

Rs. 10 crores upto Rs. 50 crores 103 101 108 109 101 107

Rs. 50 crores upto Rs.250 crores 227 224 201 226 208 207



Rs. 1000 crores and more 344 349 366 346 380 380

1.6.2 Total Turnover (Futures sub segment)

Month

Number of Members

Jan 10 Feb 10 Mar 10 Apr 10 May 10 Jun 10

Upto Rs. 10 crores 93 102 88 89 87 98

Rs.10 crores upto Rs.50 crores 142 130 139 138 136 126




Rs 1000 crores and more 262 244 248 240 259 260


8/19


1.6.3Total turnover (Options sub segment)

Month

Number of Members


Upto Rs. 10 crores 248 223 245 242 223 229





Rs 1000 crores and more 172 201 220 204 230 221

1.7 Value wise contribution of the Top Members:

1.7.1 Futures sub segment

Month

Percentage contribution to sub-segment turnover


Top 5 Members 14 14 14 14 14 14

Top 10 Members 22 21 22 22 23 23

Top 15 Members 28 28 28 29 30 30

Top 25 Members 38 38 37 39 40 39

1.7.2 Options sub-segment

Month

Percentage contribution to sub-segment turnover


Top 5 Members 24 24 23 24 26 25

Top 10 Members 33 33 32 35 35 35

Top 15 Members 40 40 39 42 42 43

Top 25 Members 52 51 50 54 54 55


9/19


1.8 Comparative analysis of the Traded Value in the F&O Segment with the Cash Segment:

Cash Segment

F&O Segment0

400000

800000

1200000

1600000

2000000

2400000

Jan-10

Feb-10

Mar-10

A

pr-10

May-10

Jun-10

338443245143

286246276566

284625286109

14902971569877

1568147

1671620

2124496 2035599

Turnover

(Rs.

in

crores)

Month

Cash Segment F&O Segment


10/19


1.9Monthwise Productwise Basic Statistics:

Category Product Jan 10 Feb 10 Mar 10 Apr 10 May 10 June 10 %

change

fromJan -09

to Jun

10

%

chan

fromMay-

to Ju

10

Traded Value (Rs in crores)

Total Stock Futures 444134 354485 405316 409844 431593 421843 -5.02 -2.

Index Futures 298849 326871 268266 279572 395613 372266 24.57 -5.

Stock Options 51454 41285 51398 76731 79832 71547 39.05 -10.

Index Options 695860 847236 843167 905472 1217458 1169943 68.13 -3.

Premium Value :-

Stock Options 1186 947 1068 1364 1770 1630 37.44 -7.

Index Options 8168 11145 9927 8793 14646 13694 67.65 -6.

Daily

Average

Stock Futures 23375 17724 19301 20492 20552 19175 -17.97 -6.

Index Futures 15729 16344 12775 13979 18839 16921 7.58 -10.

Stock Options 2708 2064 2448 3837 3802 3252 20.09 -14.

Index Options 36624 42362 40151 45274 57974 53179 45.20 -8.

Premium Value :-

Stock Options 62 47 51 68 84 74 19.35 -11.

Index Options 430 557 473 440 697 622 44.65 -10.

Number of Contracts

Total Stock Futures 12546679 10725789 11420625 11418975 13886580 14156191 12.83 1.

Index Futures 12056359 13891843 10542734 10785388 16843664 15434326 28.02 -8.

Stock Options 1414178 1223627 1417119 1949864 2338869 2278010 61.08 -2.

Index Options27084605 34588704 32579954 34076343 47891402 45209562 66.92 -5.

Daily

Average

Stock Futures 660352 536289 543839 570949 661266 643463 -2.56 -2.

Index Futures 634545 694592 502035 539269 802079 701560 10.56 -12.

Stock Options 74430 61181 67482 97493 111375 103546 39.12 -7.

Index Options 1425506 1729435 1551426 1703817 2280543 2054980 44.16 -9.

Open Interest (end of respective expiry day)

Value in

Rs. Crore

Stock Futures 34121 33271 36841 39,881 36436 37800 10.78 3.

Index Futures 20489 17685 20616 19,484 21825 26325 28.48 20.

Stock Options 7763 7059 7172 9,262 9043 8445 8.79 -6.

Index Options 68881 70458 77216 74,733 85150 96618 40.27 13.

Number ofcontracts

Stock Futures 1108467 1103919 1138618 1233570 1311179 1387167 25.14 5.Index Futures 870481 751524 802888 746649 927130 1055028 21.20 13.

Stock Options 255816 243375 215671 277073 313255 287106 12.23 -8.

Index Options 2827788 2892603 2930385 2832174 3407163 3635306 28.56 6.

Number of trading Days 19 20 21 20 21 22


11/19


1.10 Comparative Analysis World Exchanges

Top 10 Derivatives Exchanges ranked by Number of Contracts Traded and/or Cleared. Exchang

that operate under common ownership are combined.

Rank Exchange 2009 2008 % Change

1 Korea Exchange 3,102,891,777 2,865,482,319 8.30%

2 Eurex (includes ISE) 2,647,406,849 3,172,704,773 -16.60%

3 CME Group (includes CBOT and Nymex) 2,589,551,487 3,277,645,351 -21.00%

4 NYSE Euronext (includes all EU and US

markets)

1,729,965,293 1,675,791,242 3.20%

5 Chicago Board Options Exchange (includes

CFE)

1,135,920,178 1,194,516,467 -4.90%

6 BM&F Bovespa 920,377,678 741,889,113 24.10%

7 National Stock Exchange of India 918,507,122 601,599,920 52.70%

8 Nasdaq OMX Group (includes all EU and US

markets)

814,639,771 722,107,905 12.80%

9 Russian Trading systems stock excahnge 474,440,043 238,220,708 99.20%10 Shanghai Futures Exchange 434,864,068 140,263,185 210.00%

Source: www.futuresindustry.org

* does not include OTC transactions or ECX productsThe Top 10 Equity Index: - A listing of the most actively traded futures and options contra

worldwide ranked by number of contracts traded

Rank Contract 2009 2008 % Change

1 Kospi 200 Options, KRX 2,920,990,655 2,766,474,404 5.6%

2 E-mini S&P 500 Futures, CME 556,314,143 633,889,466 -12.2%

3 SPDR S&P 500 ETF Options * 347,697,659 321,454,795 8.2%

4 DJ Euro Stoxx 50 Futures, Eurex 333,407,299 432,298,342 -22.9%

5 S&P CNX Nifty Options, NSE India 321,265,217 150,916,778 112.9%

6 DJ Euro Stoxx 50 Options, Eurex 300,208,574 400,931,635 -25.1%

7 S&P CNX Nifty Futures, NSE India 195,759,414 202,390,223 -3.3%

8 S&P 500 Options, CBOE 154,869,646 179,019,155 -13.5%

9 RTS Index Futures, RTS 150,019,917 87,469,405 71.5%

10 Powershares QQQ ETF Options * 147,839,060 221,801,005 -33.3%

Traded on multiple U.S. options exchanges


12/19


2 FUTURES SEGMENT (June 2010)

2.1 Top 5 Traded Symbols

NIFTY321135

40.44%

BANKNIFTY34877

4.39%TATAMOTORS22415

2.82%

TATASTEEL

214432.70%

RELIANCE17593

2.22%

OTHERS376645

47.43%

Traded Value (Rs. in crores)

2.2 Top 5 most active Futures contracts:

Contract DescriptorNo. of

ContractsTraded Value (Rs.

Crores)Percentage of Contracts to

Total Contracts

NIFTY JUNE 2010 8972303 230,758 30.32

NIFTY JULY 2010 3328703 88,048 11.25

BANKNIFTY JUNE 2010 1067028 25,023 3.61MINIFTY JUNE 2010 1014220 10,382 3.43

MINIFTY JULY 2010 486848 5,116 1.64

OTHERS 14721415 434781 49.75

TOTAL 29,590,517 794,109 100.00


13/19


2.3 Top 5 Symbols by Open Interest (number of contracts) (on June 24th

, 2010)

NIFTY; 859,361;35.19%

BANKNIFTY;102,501; 4.20%

MINIFTY; 92,696;3.80%

RELIANCE;59,058; 2.41%

ICICIBANK;58,679; 2.40%

OTHERS;1,269,900; 52.00%


14/19


2.4 Cost of carry (in percentage) for Near Month Contracts

-20

-10

0

10

20

30

40

50

60

70

80

28-May-10

31-May-10

1-Jun-10

2-Jun-10

3-Jun-10

4-Jun-10

7-Jun-10

8-Jun-10

9-Jun-10

10-Jun-10

11-Jun-10

14-Jun-10

15-Jun-10

16-Jun-10

17-Jun-10

18-Jun-10

21-Jun-10

22-Jun-10

23-Jun-10

24-Jun-10

Costofcarry

Date

NIFTY Futures Near Month Cost of Carry

-10

0

10

20

30

40

50

28-May-10

31-May-10

1-Jun-10

2-Jun-10

3-Jun-10

4-Jun-10

7-Jun-10

8-Jun-10

9-Jun-10

10-Jun-10

11-Jun-10

14-Jun-10

15-Jun-10

16-Jun-10

17-Jun-10

18-Jun-10

21-Jun-10

22-Jun-10

23-Jun-10

24-Jun-10

Costofcarry

Date

TATAMOTORS Futures Near Month Cost of Carry

-30

-25

-20

-15

-10

-5

0

5

10

15

28-May-10

31-May-10

1-Jun-10

2-Jun-10

3-Jun-10

4-Jun-10

7-Jun-10

8-Jun-10

9-Jun-10

10-Jun-10

11-Jun-10

14-Jun-10

15-Jun-10

16-Jun-10

17-Jun-10

18-Jun-10

21-Jun-10

22-Jun-10

23-Jun-10

24-Jun-10

Costofcarry

Date

BANKNIFTY Futures Near Month Cost of Carry

-20

0

20

40

60

80

100

120

140

28-May-10

31-May-10

1-Jun-10

2-Jun-10

3-Jun-10

4-Jun-10

7-Jun-10

8-Jun-10

9-Jun-10

10-Jun-10

11-Jun-10

14-Jun-10

15-Jun-10

16-Jun-10

17-Jun-10

18-Jun-10

21-Jun-10

22-Jun-10

23-Jun-10

24-Jun-10

Costofcarry

Date

TATASTEEL Futures Near Month Cost of Carry


15/19


3. OPTIONS SEGMENT (June 2010)

3.1 Top 5 Traded Symbols

NIFTY; 1,168,439.10;

94.12%

RELIANCE;

9,362.48; 0.75%

TATASTEEL;

7,227.14; 0.58%TATAMOTORS;

6,591.57; 0.53%

HINDALCO;

4,778.08; 0.39%

OTHERS; 45091.78;

3.63%

Traded Value (Rs. in crores)

3.2Top 5 most active Options contracts:

Sr. No. Contract DescriptorNo. of

ContractsTraded Value

(Rs. In crs)

Percentage ofcontracts to total

contracts

1 NIFTY JUNE 5300 CE 4,113,145 109,612.98 8.66

2 NIFTY JUNE 5200 CE 3,429,255 90,215.29 7.22

3 NIFTY JUNE 5000 PE 3,109,425 78,814.95 6.55

4 NIFTY JUNE 5100 CE 2,793,665 72,503.20 5.88

5 NIFTY JUNE 5300 PE 2,616,281 69,731.17 5.51

OTHERS 31,425,801 820,612.61 66.18

TOTAL 47,487,572 1,241,490.20 100.00

3.3Option Exercises Analysis (Contract Month June 2010)

Underlying

Option TypeTotal No. of contracts

exercised% toTotalCall Put

Nifty(NIFTY/MINIFTY) 146361 10779 157140 71.08%

Other Indices 2449 187 2636 1.19%

Stocks 47927 13362 61289 27.73%

Total 196737 24328 221065 100%

Underlying-wise Date-wise details of Stock Option contracts exercised: - Exercise_062010.xls


16/19


3.4Top 5 Symbols by Open Interest (number of contracts) (on June 24th, 2010)

3.4.1 Call Options

NIFTY; 1256864;

87.51%

RELIANCE;27874; 1.94%

TATASTEEL;

13186; 0.92%SUZLON; 9414;

0.66%

BHARTIARTL;

8158; 0.57%

OTHERS;120,695; 8.40%

Open Interest for Call Options(Number of contracts)

3.4.2 Put Options

NIFTY; 2355085;94.72%

BANKNIFTY;16648; 0.67%

RELIANCE; 8637;0.35%

RCOM; 7542;0.30%

ICICIBANK; 7135;0.29%

OTHERS; 91174;

3.67%

Open Interest for Put Options

(Number of contracts)


17/19


3.5Put Call Ratios (Contract Month June 2010)

3.5.1 NIFTY Options (number of contracts traded)

0.30

0.45

0.60

0.75

0.90

1.05

1.20

1.35

1.50

1.65

1.80

1.95

2.10

2.25

2.40

2.55

2.70

2.85

3.00

0

200000

400000

600000

800000

1000000

1200000

1400000

1600000

1800000

2000000

1-Jun-10

2-Jun-10

3-Jun-10

4-Jun-10

7-Jun-10

8-Jun-10

9-Jun-10

10-Jun-10

11-Jun-10

14-Jun-10

15-Jun-10

16-Jun-10

17-Jun-10

18-Jun-10

21-Jun-10

22-Jun-10

23-Jun-10

24-Jun-10

25-Jun-10

28-Jun-10

29-Jun-10

30-Jun-10

Put-CallRatio

Numberofcontracts

Date

Calls Puts Put Call Ratio

3.5.2 Stocks Options (number of contracts traded)

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

0.45

0.50

0.55

0.60

0.65

0.70

0.75

0.80

0.85

0.90

0.95

0

20000

40000

60000

80000

100000

120000

1-Jun-10

2-Jun-10

3-Jun-10

4-Jun-10

7-Jun-10

8-Jun-10

9-Jun-10

10-Jun-10

11-Jun-10

14-Jun-10

15-Jun-10

16-Jun-10

17-Jun-10

18-Jun-10

21-Jun-10

22-Jun-10

23-Jun-10

24-Jun-10

25-Jun-10

28-Jun-10

29-Jun-10

30-Jun-10

Put-CallRatio

Numberofcontracts

Date



18/19


3.5.3 NIFTY Options (Open Interest in number of contracts)

0.60

0.70

0.80

0.90

1.00

1.10

1.20

1.30

1.40

1.50

1.60

1.70

1.80

1.90

2.00

0.00

500,000.00

1,000,000.00

1,500,000.00

2,000,000.00

2,500,000.00

1-Jun-10

2-Jun-10

3-Jun-10

4-Jun-10

7-Jun-10

8-Jun-10

9-Jun-10

10-Jun-10

11-Jun-10

14-Jun-10

15-Jun-10

16-Jun-10

17-Jun-10

18-Jun-10

21-Jun-10

22-Jun-10

23-Jun-10

24-Jun-10

25-Jun-10

28-Jun-10

29-Jun-10

30-Jun-10

PutCallRatio

OpenInterest(numberofcontracts)

Date

Cal ls Puts Put Cal l Rat io

3.5.4 Stocks Options (Open Interest in number of contracts)

0.05

0.15

0.25

0.35

0.45

0.55

0.65

0.75

0.85

0.95

0.00

20,000.00

40,000.00

60,000.00

80,000.00

100,000.00

120,000.00

140,000.00

160,000.00

180,000.00

200,000.00

1-

Jun-

10

2-

Jun-

10

3-

Jun-

10

4-

Jun-

10

7-

Jun-

10

8-

Jun-

10

9-

Jun-

10

10-

Jun-

10

11-

Jun-

10

14-

Jun-

10

15-

Jun-

10

16-

Jun-

10

17-

Jun-

10

18-

Jun-

10

21-

Jun-

10

22-

Jun-

10

23-

Jun-

10

24-

Jun-

10

25-

Jun-

10

28-

Jun-

10

29-

Jun-

10

30-

Jun-

10

PutCallRatio

OpenInterest(numberofcontracts)

Date



19/19

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