derivative new analysis

8/14/2019 derivative new analysis

1/21

Derivatives UpdateApril 2006

NSELeadership through change


2/21

INDEX OF DERIVATIVES UPDATE

1. OVERVIEW OF THE F&O SEGMENT NOVEMBER 2005 TO APRIL 2006

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 (March 2006) 11

2. FUTURES SEGMENT (APRIL 2006)

2.1 Top 5 Traded Symbols 11

2.2 Top 5 most active futures contracts 12

2.3 Top 5 Symbols by Open Interest as on expiry (April 27, 2006) 12

2.4 Cost of Carry (in percentage) for Near Month Contracts 13

3. OPTIONS SEGMENT (APRIL 2006)

3.1 Top 5 Traded Symbols 14

3.2 Top 5 most active options contracts 14

3.3 Options Exercises Analysis 14

3.4 Top 5 Symbols by Open Interest as on expiry (April 27, 2006) 15

3.5 Put Call Ratios 16

4. ADDITION, REMOVAL & QUARTER SIGMA VALUES 18


3/21

F & O SEGMENT Page 3 of 21 Derivatives Update April 2006

1. Overview of the F&O Segment November 2005 to April 2006

1.1 Comparison of the close prices of the NIFTY Near Month Futures Contract (F&OSegment) with the underlying movement of the NIFTY Index (Cash Segment), along

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

2050.00

2150.00

2250.00

2350.00

2450.00

2550.00

2650.00

2750.00

2850.00

2950.00

3050.00

3150.00

3250.00

3350.00

3450.00

3550.00

3650.00

3750.00

1 - N

o v - 2

0 0 5

1 0

- N o v - 2

0 0 5

1 8

- N o v - 2

0 0 5

2 5

- N o v - 2

0 0 5

1 - D

e c - 2

0 0 5

8 - D

e c - 2

0 0 5

1 5

- D e c - 2

0 0 5

2 2

- D e c - 2

0 0 5

2 9

- D e c - 2

0 0 5

5 - J

a n - 2

0 0 6

1 3

- J a n - 2

0 0 6

2 0

- J a n - 2

0 0 6

3 0

- J a n - 2

0 0 6

6 - F

e b

- 2 0 0 6

1 4

- F e

b - 2

0 0 6

2 1

- F e

b - 2

0 0 6

2 8

- F e

b - 2

0 0 6

7 - M

a r -

0 6

1 4

- M a r -

0 6

2 2

- M a r -

0 6

2 9

- M a r -

0 6

5 - A

p r -

0 6

1 7

- A p r -

0 6

2 4

- A p r -

0 6

2 9

- A p r -

0 6

Date

C l o s e

P r i c e s

( R s

. )

0

10000

20000

30000

40000

50000

60000

70000

80000

F & O

T r a d e d

v a l u e

( R s

. i n

c r o r e s )

Traded Value F&O segment(Rs in crores) Near Month Futures Close Price NIFTY Cash Segment

Note BCP Live Trading November 26, 2005 & April 29, 2006Muhurat trading on November 01, 2005


4/21


1.2 Records Achieved in the F&O Segment:

ProductTraded Value(Rs. in crores) Date

Index Futures 18,523 26-Apr-06

Stock Futures 38,839 27-Apr-06Index Options 4529 13-Apr-06Stock Options 2,306 17-Jan-06

Interest Rate Futures 140 24-Jun-03Total F&O Traded Value 60,434 27-Apr-06Open Interest on ContractExpiry (number of contracts) 15,38,912 30-Mar-06

1.3 Monthwise Basic Statistics of the F&O Segment:

Particulars Nov 2005 Dec 2005 Jan 2006 Feb 2006 Mar 2006 Apr 2006Traded Value (Rs in crores)Total 3,95,853 5,23,807 4,87,584 4,92,672 7,34,849 7,37,839Daily Average 19,793 23,809 24,379 25,930 33,402 40,991

Number of ContractsTotal 1,30,55,656 1,61,81,118 1,46,81,719 140,98,382 1,87,90,218 1,78,18,153

Daily Average 6,52,783 7,35,505 7,34,086 7,42,020 8,54,101 9,89,897

Open Interest (Rs in crores)

End of dayaverages 25,377 31,376 32,082 37,377 46,959 48,852% of Openinterest toDaily AverageTraded value

128 132 132 144 141 119

It may be observed from the above table that during April 2006 average daily figures for

volumes & contracts traded have increased compared to the previous months. The ratio of

average open interest to average traded value has decreased from 141 % in March 2006 to

119 % in April 2006.


5/21


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

& Number of Contracts, and Open Interest.

6000

11000

16000

21000

26000

31000

36000

41000

46000

51000

Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06

Month

D a

i l A

v

. T r a

d e

d V

a l u e

& O

e n

I n

t e r s

t

R s

. i n

c r o r e s

200000

250000

300000

350000

400000

450000

500000

550000

600000

650000

700000

750000

800000

850000

900000

950000

1000000

1050000

D a

i l A

v

. n u m

b e r o

f c o n

t r a c

t s

Daily Average number of contracts Daily Average Traded Value Open interest - end o


6/21


1.4 Month wise Product wise Traded Value Analysis:

A graphical representation of the month wise product wise turnover in the F&O Segment for the

period November 2005 to April 2006 is as below:

Monthly Productwise Traded Value (Rs. in crores)

216,526 280,283 265,042288,715

473,251 460,554

135,478 183,293 166,127156,359

192,035 204,238

12,777 17,244 17,89315,268 22,466 20,625

31,073 42,987 38,521 32,331 47,097 52,421

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06

Month

P e r c e n t a g e

Stock Futures Index Futures Stock Options Index Options

It may be observed that proportion of Index products has increased in this month as compared

to Stock products from 33 % in March 2006 to 35% in April 2006.


7/21


1.5 Institutional, Retail & Proprietary Investors Turnover Analysis:No Month Institutional investors Retail Proprietary

GrossTradedValue(Rs in

crores)

Percentage

Contribution


crores)

Percentage

Contribution


crores)

PercentageContribution

1 Nov 05 56,340 7.12 4,92,086 62.15 2,43,280 30.73

2 Dec 05 65,786 6.28 6,55,110 62.53 3,26,719 31.19

3 Jan 06 74,215 7.61 6,16,350 63.20 2,84,603 29.19

4 Feb 06 82,388 8.36 6,24,122 63.34 2,78,835 28.30

5 Mar 06 1,03,635 7.05 9,71,171 66.15 3,93,892 26.80

6 Apr 06 1,20,354 8.16 9,15,031 62.01 4,40,293 29.84

It may be observed that the contribution of Institutional trades & Proprietary trades has increased in

April 2006.

1.6 Summary of Members Trading Activity:1.6.1 Total Turnover (F&O Segment)

Number of MembersMonth

Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Apr 06Upto Rs. 10 crores 26 24 24 29 24 23Rs. 10 crores upto Rs. 50 crores 90 68 73 72 57 57Rs. 50 crores upto Rs.250 crores 151 147 165 172 153 156Rs. 250 crores upto Rs.500 crores 103 100 89 94 90 100Rs. 500 crores upto Rs.1000 crores 91 103 111 102 98 92Rs. 1000 crores and more 191 219 205 207 266 269 It may be observed that the maximum number of members is observed to be trading in the category of

Rs. 1000 crores and more.


8/21


1.6.2 Total Turnover (Futures sub segment)Number of Members

Month Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Apr 06Upto Rs. 10 crores 26 27 27 31 26 26Rs.10 crores upto Rs.50 crores 98 71 78 76 60 58Rs.50 crores upto Rs.250 crores 160 159 173 179 159 165Rs.250 crores upto Rs.500 crores 100 95 90 94 87 97Rs.500 crores upto Rs.1000 crores 92 105 106 93 101 96Rs 1000 crores and more 176 204 193 203 255 255

It may be observed that, the maximum numbers of members have been trading in the category of Rs.

1000 crores and more.

1.6.3 Total turnover (Options sub segment) Number of Members

Month Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Apr 06Upto Rs. 10 crores 289 266 271 291 276 285Rs.10 crores upto Rs.50 crores 161 160 160 179 161 159Rs.50 crores upto Rs.250 crores 135 146 158 139 157 154Rs.250 crores upto Rs.500 crores 29 39 36 29 45 44Rs.500 crores upto Rs.1000 crores 21 24 18 19 18 25Rs 1000 crores and more 17 26 24 19 31 30

The maximum number of members is observed to be trading in the category of Upto Rs. 10

crores.

1.7 Value wise contribution of the Top Members:

1.7.1 Futures sub segment Percentage contribution to sub-segment turnover

Month Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Apr 06Top 5 Members 12 12 12 14 13 14Top 10 Members 20 20 20 22 21 22Top 15 Members 27 26 26 29 27 28

Top 25 Members 37 36 36 39 36 38

It may be observed that, there has been no significant change in the contribution pattern.


9/21


1.7.2 Options sub-segment Percentage contribution to sub-segment turnover

Month Nov 05 Dec 05 Jan 06 Feb 06 Mar 06 Apr 06Top 5 Members 24 24 25 26 24 25Top 10 Members 37 38 38 41 38 40Top 15 Members 45 45 47 51 47 48Top 25 Members 56 56 57 63 58 59

It may be observed that, there has been no significant change in the contribution pattern.

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

N o v - 0

5

D e c - 0

5

J a n - 0

6

F e

b - 0

6

M a r -

0 6

A p r -

0 6

Cash Segment

F&O Segment

737839734849

492672

487584523807

395853

177372209395

135374149442

149908

109578

0

100000

200000

300000

400000

500000

600000

700000

800000

Month

T u

r n o v

e r

( R s

. i n c r o r e s )

Cash Segment F&O Segment

It may be observed that, the ratio of Futures & Options segment to Cash segment was more

than 4 times for the first time since F&O segment has commenced.


10/21


1.9 Monthwise Productwise Basic Statistics:

*There have been no trades in Interest Rate Futures for the period under consideration.

It may be observed that in April 2006 all the products recorded an impressive growth in dailyaverage volume and contracts traded. Open interest increased only for stock products.

Category Product Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 %changefrom

Nov-05to Apr-

06

%changfrom

Mar 0to Ap

06Traded Value (Rs in crores)

Stock Futures 216526 280283 265042 288715 473251 460554 112.70 -2.68Index Futures 135478 183293 166127 156359 192035 204238 50.75 6.35Stock Options 12777 17244 17893 15268 22466 20625 61.42 -8.19

Total

Index Options 31073 42987 38521 32331 47097 52421 68.70 11.30

Stock Futures 10826 12740 13252 15196 21511 25586 136.34 18.94

Index Futures 6774 8332 8306 8229 8729 11347 67.51 29.99Stock Options 639 784 895 804 1021 1146 79.34 12.24

Daily Average

Index Options 1554 1954 1926 1702 2141 2912 87.39 36.0Number of Contracts

Stock Futures 6252736 7571377 7134199 7443178 10844400 10021529 60.27 -7.59Index Futures 5238175 6613032 5760999 5186835 5952206 5847035 11.62 -1.77Stock Options 364188 456529 456055 401973 537261 460485 26.44 -14.29

Total

Index Options 1200557 1540180 1330466 1066396 1456351 1489104 24.03 2.25

Stock Futures 312637 344154 356710 391746 492927 556752 78.08 12.95Index Futures 261909 300592 288050 272991 270555 324835 24.03 20.06Stock Options 18209 20751 22803 21156 24421 25583 40.50 4.7

Daily Average

Index Options 60028 70008 66523 56126 66198 82728 37.82 24.97

Open Interest (end of respective expiry day)Stock Futures 14499 17587 19747 23028 29005 32917 127.03 13.49Index Futures 7107 7834 9467 9573 12160 11113 56.37 -8.61Stock Options 2523 3307 2649 3155 3842 4198 66.39 9.2

Value in Rs. Crore

Index Options 6816 7664 6513 7766 11818 8899 30.56 -24.70

Stock Futures 467788 537012 598009 655920 7,39,074 790568 69.00 6.97Index Futures 267705 277347 321692 311974 3,56,942 316482 18.22 -11.34Stock Options 76810 94213 80331 88667 97,234 98721 28.53 1.5

Number of contracts

Index Options 258666 271578 221492 253618 3,45,662 253681 -1.93 -26.61 Number of trading Days 20 22 20 19 22 18


11/21


1.10 Comparative Analysis World Exchanges (March 2006)

Product Stock Futures Index Futures Stock Options Index Options

NSE'sPosition

1st with 1,08,44,400contracts

4th with 59,52,206contracts



Rank

Name of the

ExchangeNumber of Contracts

Name of the


Name of the


Name of the


1NSE,India 1,08,44,400

ChicagoMercantileExchange 3,84,85,241 CBOE 3,29,36,647 KSE 196,294,269

2 JSE 62,98,598 Eurex 2,49,74,825 Eurex 2,58,11,335 CBOE 22,108,607

3

BME

SpanishExchange 61,27,293 Euronext.Liffe 69,46,083 Sao PauloSE 2,51,60,555 Eurex 15,423,195

NSE continues to be at number 1 position in the world for number of contracts traded in Stock Futures.

NSE has become the 4 th exchange in the world in terms of contracts traded in Index Futures.

2 FUTURES SEGMENT (April 2006)

2.1 Top 5 Traded Symbols

Traded Value (Rs. in crores)

SATYAMCOMP,18659, 3%

RELIANCE, 29578, 4%

TATASTEEL, 23517,4%

ACC, 20771, 3%

NIFTY, 203226, 31%OTHERS , 369041,

55%


12/21


2.2 Top 5 most active Futures contracts:

Sr.No. Contract Descriptor

No. of Contracts

Traded Value(Rs. Crores)

Percentage of Contracts to Total

Contracts

1 NIFTY APRIL 2006 4,645,646 161912 29

2 NIFTY MAY 2006 1,161,746 40697 7

3 TATASTEEEL APRIL 2006 466,545 19022 3

4 RELIANCE APRIL 2006 416,855 22898 3

5 SATYAMCOMP APRIL 2006 314,949 15610 2

OTHERS 8,862,823 404654 56

TOTAL 15,868,564 664793 100.00

2.3 Top 5 Symbols by Open Interest (number of contracts) (on 27 April 2006)

OTHERS; 675128; 61%

NIFTY; 313977; 28%

RELIANCE; 31987; 3%

TATASTEEL; 29348; 3%

MTNL; 27617; 2%

INFOSYSTCH; 28993; 3%


13/21


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

NIFTY Futures Near Month Cost of Carry

-50.00

0.00

50.00

100.00

150.00

200.00

250.00

300.00

3 1

- M a r - 0 6

3 - A

p r - 0 6

4 - A

p r - 0 6

5 - A

p r - 0 6

7 - A

p r - 0 6

1 0

- A p r - 0 6

1 2

- A p r - 0 6

1 3

- A p r - 0 6

1 7

- A p r - 0 6

1 8

- A p r - 0 6

1 9

- A p r - 0 6

2 0

- A p r - 0 6

2 1

- A p r - 0 6

2 4

- A p r - 0 6

2 5

- A p r - 0 6

2 6

- A p r - 0 6

2 7

- A p r - 0 6

Date

C o s t o f c a r r y

RELIANCE Futures Near Month Cost of Carry

0.00

50.00

100.00

150.00

200.00

250.00

300.00

3 1

- M a r - 2 0 0 6

3 - A

p r - 2 0 0 6

4 - A

p r - 2 0 0 6

5 - A

p r - 2 0 0 6

7 - A

p r - 2 0 0 6

1 0

- A p r - 2 0 0 6

1 2

- A p r - 2 0 0 6

1 3

- A p r - 2 0 0 6

1 7

- A p r - 2 0 0 6

1 8

- A p r - 2 0 0 6

1 9

- A p r - 2 0 0 6

2 0

- A p r - 2 0 0 6

2 1

- A p r - 2 0 0 6

2 4

- A p r - 2 0 0 6

2 5

- A p r - 2 0 0 6

2 6

- A p r - 2 0 0 6

2 7

- A p r - 2 0 0 6

Date


TATASTEEL Futures Near Month Cost of Carry

0.00

20.00

40.00

60.00

80.00

100.00

120.00

140.00

160.00

180.00

200.00

3 1

- M a r -

0 6

3 - A p r -

0 6

4 - A p r -

0 6

5 - A p r -

0 6

7 - A p r -

0 6

1 0

- A p r -

0 6

1 2

- A p r -

0 6

1 3

- A p r -

0 6

1 7

- A p r -

0 6

1 8

- A p r -

0 6

1 9

- A p r -

0 6

2 0

- A p r -

0 6

2 1

- A p r -

0 6

2 4

- A p r -

0 6

2 5

- A p r -

0 6

2 6

- A p r -

0 6

2 7

- A p r -

0 6

Date


ACC Futu res Near Month Cost of Carry

0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

80.00

90.00

100.00

3 1

- M a r - 2 0 0 6

3 - A

p r - 2 0 0 6

4 - A

p r - 2 0 0 6

5 - A

p r - 2 0 0 6

7 - A

p r - 2 0 0 6

1 0

- A p r - 2 0 0 6

1 2

- A p r - 2 0 0 6

1 3

- A p r - 2 0 0 6

1 7

- A p r - 2 0 0 6

1 8

- A p r - 2 0 0 6

1 9

- A p r - 2 0 0 6

2 0

- A p r - 2 0 0 6

2 1

- A p r - 2 0 0 6

2 4

- A p r - 2 0 0 6

2 5

- A p r - 2 0 0 6

2 6

- A p r - 2 0 0 6

2 7

- A p r - 2 0 0 6

Date


From the above graphs, it may be observed that during April 2006, near month contract of

NIFTY, had a mixed trend. RELIANCE, TATASTEEL and ACC traded at a premium

through out the month.


14/21


3. OPTIONS SEGMENT (April 2006)3.1 Top 5 Traded Symbols

Traded Value (Rs. in crores)

OTHERS; 11704; 16%

NIFTY; 52421; 72%RELIANCE; 3403; 5%

SATYAMCOMP; 2279; 3%

SBIN; 1093; 1%

TATASTEEL; 2147; 3%

3.2 Top 5 most active Options contracts:

Sr. No. Contract Descriptor No. of

ContractsTraded Value

(Rs. In crs)

Percentage of contracts to

total contracts1. NIFTY APRIL 2006 CE 3500 193,032 6,860 9.902. NIFTY APRIL 2006 PE 3500 136,149 4,832 6.98

3. NIFTY APRIL 2006 PE 3400 119,862 4,130 6.154. NIFTY APRIL 2006 CE 3550 105,714 3,792 5.425. NIFTY APRIL 2006 CE 3600 103,859 3,761 5.33

OTHERS 1290973 49670 66.22 TOTAL 1949589 73046 100.00

3.3 Option Exercises Analysis (Contract Month April 2006)

Option TypeUnderlying Call Put

Total No. of contractsexercised

% toTotal

Nifty 46510 15892 62402 71.18Others 19180 6082 25262 28.82Total 65690 21974 87664 100

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


15/21


3.4 Top 5 Symbols by Open Interest (number of contracts) (on April 27, 2006)

3.4.1 Call Options

Open Interest for Call Options(Number of contracts)

OTHERS; 51,696; 28%

NIFTY; 103670; 57%

RELIANCE; 9324; 5%

SATYAMCOMP; 8015; 4%

TATASTEEL; 5869; 3%

INFOSYSTCH; 6077; 3%

3.4.2 Put Options

Open Interest for Put Options(Number of contracts)

OTHERS; 8,908; 5%

NIFTY; 150,011; 89%

RELIANCE; 3,371; 2%

TATASTEEL; 2,768; 2%

INFOSYSTCH; 1,251; 1%

SATYAMCOMP; 1,442; 1%


16/21


3.5 Put Call Ratios (Contract Month April 2006)

3.5.1 NIFTY Options (number of contracts traded)

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

3 1 - M

a r - 0

6

3 - A p r - 0

6

4 - A p r - 0

6

5 - A p r - 0

6

7 - A p r - 0

6

1 0 - A

p r - 0

6

1 2 - A

p r - 0

6

1 3 - A

p r - 0

6

1 7 - A

p r - 0

6

1 8 - A

p r - 0

6

1 9 - A

p r - 0

6

2 0 - A

p r - 0

6

2 1 - A

p r - 0

6

2 4 - A

p r - 0

6

2 5 - A

p r - 0

6

2 6 - A

p r - 0

6

2 7 - A

p r - 0

6

Date

N u m

b e r o f c o n

t r a c

t s

0.50

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

P u t -

C a l

l R a t

i o

Calls Puts Put Call Ratio

3.5.2 Stocks Options (number of contracts traded)

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

3 1 - M

a r - 0

6

3 - A p r - 0

6

4 - A p r - 0

6

5 - A p r - 0

6

7 - A p r - 0

6

1 0 - A

p r - 0

6

1 2 - A

p r - 0

6

1 3 - A

p r - 0

6

1 7 - A

p r - 0

6

1 8 - A

p r - 0

6

1 9 - A

p r - 0

6

2 0 - A

p r - 0

6

2 1 - A

p r - 0

6

2 4 - A

p r - 0

6

2 5 - A

p r - 0

6

2 6 - A

p r - 0

6

2 7 - A

p r - 0

6

Date

N u m

b e r o f c o n t r a c t s

0.10

0.15

0.20

0.25

0.30

0.35

0.40

0.45

0.50

P u t - C a l

l R a t

i o

Cal ls Puts Put Cal l Ratio


17/21


3.5.3 NIFTY Options (Open Interest in number of contracts)

0

20,000

40,000

60,000

80,000

100,000

120,000

140,000

160,000

3 / 3 1 / 0 6

4 / 3 / 0 6

4 / 4 / 0 6

4 / 5 / 0 6

4 / 7 / 0 6

4 / 1 0 / 0 6

4 / 1 2 / 0 6

4 / 1 3 / 0 6

4 / 1 7 / 0 6

4 / 1 8 / 0 6

4 / 1 9 / 0 6

4 / 2 0 / 0 6

4 / 2 1 / 0 6

4 / 2 4 / 0 6

4 / 2 5 / 0 6

4 / 2 6 / 0 6

4 / 2 7 / 0 6

Date

O p e n

I n t e r e s t

( n u m

b e r o f c o n t r a c t s )

0.90

1.00

1.10

1.20

1.30

1.40

1.50

1.60

1.70

P u t

C a l

l R a t

i o


3.5.4 Stocks Options (Open Interest in number of contracts)

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

90,000

3 1 - M

a r - 0

6

3 - A p r - 0

6

4 - A p r - 0

6

5 - A p r - 0

6

7 - A p r - 0

6

1 0 - A

p r - 0

6

1 2 - A

p r - 0

6

1 3 - A

p r - 0

6

1 7 - A

p r - 0

6

1 8 - A

p r - 0

6

1 9 - A

p r - 0

6

2 0 - A

p r - 0

6

2 1 - A

p r - 0

6

2 4 - A

p r - 0

6

2 5 - A

p r - 0

6

2 6 - A

p r - 0

6

2 7 - A

p r - 0

6

Date

O p e n

I n t e r e s t

( n u m

b e r o f c o n t r a c t s )

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

0.45

0.50

P u t

C a l

l R a t

i o



18/21


4. AVERAGE QUARTER SIGMA SIZE AND MWPLThe results of the Average quarter sigma order size and MWPL value for the

period October 17, 2005 to April 13, 2006 for the securities on which presently the

derivatives contracts are permitted are presented below:

Sr.No.

Name of the underlying onwhich Futures and optionsare available for trading

Quarter SigmaOrder size forthe periodOctober 17, 2005to April 13, 2006(Rs.)

MWPL valueas on March30, 2006 (Rs.crs.)

1 ABB* 2285745.18 1171.362 ACC* 4964839.26 1947.933 ALBK* 984143.09 217.304 ALOKTEXT* 631686.10 121.435 ANDHRABANK* 1226086.77 260.976 ARVINDMILL 1491205.57 260.737 ASHOKLEY 3408630.13 448.738 AUROPHARMA 1025873.93 322.489 BAJAJAUTO* 4687543.41 2158.42

10 BANKBARODA 1532185.78 431.3711 BANKINDIA* 1750407.26 390.9512 BEL* 2125014.70 504.7913 BHARATFORG* 2075830.82 1196.97

14 BHARTI* 3310397.39 1219.1815 BHEL* 5282042.58 2451.1416 BILT 609433.87 243.4617 BONGAIREFN* 386493.20 65.8218 BPCL* 1697985.27 301.1419 CANBK* 2068208.57 524.8820 CENTURYTEX 2971341.64 434.4721 CESC 896683.37 304.3422 CHAMBLFERT 578423.52 83.2023 CHENNPETRO* 534022.08 47.8024 CIPLA* 3833385.05 1847.1625 COCHINREFN* 404221.09 25.52

26 COLGATE* 923334.33 533.5827 CORPBANK* 677096.11 180.1728 CUMMINSIND* 1012393.36 455.1229 DABUR* 1689443.97 364.6630 DIVISLAB 678349.34 208.5631 DRREDDY* 3674858.60 1469.8732 ESCORTS 926152.69 89.5233 ESSAROIL* 740397.27 138.5334 FEDERALBNK* 833004.18 335.5135 GAIL* 3012516.57 2239.79


19/21


Sr.No.




36 GESHIPPING* 2096709.58 737.7637 GLAXO* 1082267.22 342.6738 GNFC* 881181.84 157.3539 GRASIM* 3723593.23 1967.2240 GUJAMBCEM* 3666341.09 1764.1541 HCLTECH* 2123915.22 676.1242 HDFC* 5951615.28 1629.9143 HDFCBANK* 3346607.76 1269.6144 HEROHONDA* 3705684.54 962.5945 HINDALC0 3793894.14 2231.6246 HINDLEVER* 5005436.46 2625.3047 HINDPETRO* 1169735.97 220.0548 ICICIBANK* 6292232.35 1166.6349 IDBI* 2439161.58 521.5850 IDFC 2988403.57 727.9651 IFCI 3969683.90 117.5252 I-FLEX 2474894.83 2001.5253 INDHOTEL* 1661292.10 1074.6754 INDIACEM 2666809.50 413.6455 INDUSINDBK* 564822.19 109.0456 INFOSYSTCH 25060530.24 9000.03

57 IOB* 755816.16 140.7758 IOC* 1897957.14 417.8759 IPCL* 3437282.19 689.4560 ITC* 10070379.33 4381.0861 IVRCLINFRA 2460918.39 102.9562 J&KBANK 557819.17 72.3963 JETAIRWAYS* 2398809.17 321.7064 JINDALSTEL 879721.63 369.3565 JPHYDRO 865163.84 100.2666 JSTAINLESS 955406.38 138.7167 KTKBANK* 930191.87 134.2368 LICHSGFIN* 720580.03 170.2369 M&M* 4339870.87 2149.3070 MAHSEAMLES 520573.32 149.8471 MARUTI* 9033646.02 1757.1072 MATRIXLABS* 1281576.66 378.2773 MPHASISBFL 885178.47 544.0074 MRPL 565802.98 75.2275 MTNL* 3076297.52 1038.5676 NAGARFERT* 754026.53 53.7377 NATIONALUM* 1830743.03 485.35


20/21


Sr.No.




78 NDTV* 1143713.15 134.6279 NEYVELILIG* 418581.63 93.8080 NICOLASPIR 715264.02 147.7281 NTPC 3972474.13 1576.4282 ONGC* 13100668.06 3601.1083 ORCHIDCHEM 1542154.73 364.5284 ORIENTBANK* 1422443.02 249.0885 PATNI* 875460.03 333.5986 PNB* 2983715.25 866.3387 POLARIS* 1160990.44 171.0088 PUNJLLOYD* 1597458.67 494.4489 RANBAXY* 8510638.25 2192.5490 REL* 3468276.09 1211.3791 RELCAPITAL 12966180.66 810.0392 RELIANCE 25269372.70 10750.1793 SATYAMCOMP* 15542340.73 4715.4294 SBIN 17826500.01 4093.5995 SCI* 715976.93 182.0396 SIEMENS 6804468.44 1664.8697 SRF 3507390.68 256.1798 STAR* 395829.32 142.78

99 STER* 1808364.38 786.47100 SUNPHARMA* 1258885.94 455.44101 SUZLON 11495739.83 2229.14102 SYNDIBANK* 1384126.02 303.98103 TATACHEM* 1953663.04 766.30104 TATAMOTORS 13186636.62 4507.50105 TATAPOWER* 2603217.19 1020.82106 TATASTEEL* 11103037.57 4228.16107 TATATEA* 1666536.86 688.80108 TCS 10270372.17 3051.10109 TITAN* 12927471.93 313.96110 TVSMOTOR* 621410.21 168.08111 UNIONBANK* 978716.87 446.04112 UTIBANK* 1688336.84 766.61113 VIJAYABANK 543596.22 112.93114 VSNL* 8575655.46 762.94115 WIPRO* 6470148.14 1909.05116 WOCKPHARMA* 1157423.86 287.63

*Non-promoter holding is as of post-issueFor all other securities non-promoter holding is as on December 31, 2005


21/21

National Stock Exchange of India LtdExchange Plaza,Bandra Kurla Complex,

Bandra East,Mumbai 400 051Tel : 91-22-2659 8100 / 5641 8100

Futures & Options Market Watch:Tel : 91-22-2659 8151 / 2659 8152Fax : 91-22-2659 8449

Futures & Options Clearing & Settlement:

Tel : 91-22-2659 8165 / 2659 8265

Futures & Options Risk Management:Tel : 91-22-2659 8266 / 2659 8214

CTCL Enquiries:Tel : 91-22-2659 8150

Membership Department:Tel : 91-22-2659 8245 / 2659 8246 / 2659 8247 / 2659 8248

Investor Grievances:Tel : 91-22-2659 8190

DISCLAIMER

All rights reserved. No part of the Derivatives Update may be reproduced or copied in any form by any means without thewritten permission of NSE. This document is not meant for circulation.

NSE, its directors and employees, will not in any way be responsible for the contents of this report. This is not an offer to sellor a solicitation to buy any securities and / or derivatives contracts. Investors must make their own investment decision basedon their own investment objectives, goals and financial position and based on their own analysis.

derivative new analysis

Documents