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MARKET PULSE

EQUITY DERIVATIVES UPDATE | SEP 2014

S. No. Particulars
1.

2.

3.

4.

5.

Page No.

OVERVIEW OF EQUITY DERIVATIVES SEGMENT - SEPTEMBER 2014

a.

Comparision of Nifty near month future contract, Nifty index and daily turnover

b.

Index watch

c.

Instrument wise growth in turnover

d.

Instrument wise turnover

e.

Instrument wise volumes trend

f.

Mode of trading wise turnover

g.

Internet based trading turnover trend

h.

Instrument wise participant wise turnover

i.

Instrument wise participant wise open interest

GLOBAL PERSPECTIVE

a.

NSE global ranking

b.

Top 3 Exchanges in stock futures globally

NIFTY FUTURES SPREAD MOVEMENT

a.

Nifty futures spread in points

b.

Nifty futures spread in percentage

c.

Correlation matrix

FUTURES SEGMENT

a.

Top 5 stock futures contracts

b.

Benchmark indices Nifty and Bank Nifty trading volumes in futures

c.

Nifty futures expiry wise volumes

OPTIONS SEGMENT

a.

Top 5 stock options contracts

b.

Benchmark indices Nifty and Bank Nifty trading volumes in options

c.

Nifty options moths wise turnover

6.

RECORD TURNOVER IN EQUITY DERIVATIVES

7.

MONTHLY FEATURE

Nifty derivatives lot size reduced to 25

MARKET PULSE

EQUITY DERIVATIVES UPDATE | SEP 2014

1. OVERVIEW OF EQUITY DERIVATIVES SEGMENT - SEPTEMBER 2014


a. Comparision of the close value of Nifty index, Nifty near month futures contract and daily turnover in
equity derivatives segment:
600000

F&O Turnover

Nifty Index

8300

Nifty Near Month

8200

500000

8000

300000

7900
7800

200000

September highlights:

Nifty

Turnover Rs. Crs

8100
400000

Peak turnover in the month Rs. 5,32,612 Cr.

7700
100000

Record value of Nifty index 8180.20

7600
25Sep

24Sep

23Sep

22Sep

19Sep

18Sep

17Sep

16Sep

15Sep

12Sep

11Sep

10Sep

09Sep

08Sep

05Sep

04Sep

03Sep

02Sep

7500
01Sep

Nifty near month futures based on daily close value

b. Index watch
Index

High

Low

Close

Returns#

Standard deviaton*

P/E

P/B

Div yield

CNX Nifty

8180.20

7841.80

7964.80

0.1%

12.8%

20.82

3.43

1.31

Bank Nifty

16309.70

15168.40

15392.25

-2.2%

19.5%

16.52

2.38

1.17

CNXIT

11360.35

10749.00

11302.70

5.8%

15.5%

21.94

6.65

1.28

Nifty Midcap 50

3388.80

3022.10

3127.50

-0.1%

27.5%

16.11

1.72

1.25

CNX Infrastructure

3261.15

2980.65

3020.90

-3.0%

21.2%

20.63

2.23

1.14

CNX PSE

3773.50

3437.15

3509.15

-3.4%

19.9%

11.19

2.02

3.04

INDIAVIX

14.8325

10.3150

13.1450

0.6%

54.8%

N.A.

N.A.

N.A.

# Absolute returns for the month of September14

| *Average daily standard deviation during September annualized

c. Instrument wise growth in turnover


Instrument

Daily average turnover Rs. Crs


Sep-14
Sep-13
% Change

Instrument

Daily average turnover Rs. Crs


YTD 2014
YTD 2013
% Change

Index Futures

15120

15858

-5%

Index Futures

15664

12693

23%

Stock Futures

33373

19390

72%

Stock Futures

35226

18610

89%

Index Options

169311

126237

34%

Index Options

141164

118486

19%

Stock Options

14118

7593

86%

Stock Options

13399

9583

40%

231922

169078

37%

Total

205453

159371

29%

Total

Turnover has grown across all instruments over the previous year. Stock futures have shown the maximum growth
d. Instrument wise turnover - September' 14

e. Instrument wise volumes trend


100%

Stock Fut
14%

Index Fut
Stock Opt 7%
6%

90%
80%
70%
60%
50%
40%
30%
20%
10%

Index derivatives contributed 80% of total equity derivatives turnover.

STK OPT

IDX OPT

STK FUT

IDX FUT

Sep14

Aug14

Jul14

Jun14

May14

Apr14

Mar14

Feb14

Jan14

Dec13

Nov13

Index Opt
73%

Oct13

0%

MARKET PULSE

EQUITY DERIVATIVES UPDATE | SEP 2014

f.

Mode of trading wise turnover - September' 14

g. Internet based trading turnover trend

Mobile
1%

IBT
12%

Non Algo
46%
Colocation
33%

DMA Algo
6% 3%

h. Instrument wise participant wise turnover - September' 14


The participant wise volume breakup charts across the instruments reflect active participation from all classes of
participants and is not skewed towards a particular category.
Index Futures

Stock Futures

DII
0%

Proprietary
33%

Clientele
67%

FII
16%

Corp
15%

FII
13%

Others
36%

Proprietary
36%

Clientele
64%

DII
2%
Corp
13%

Others
36%

Equity Derivatives

Proprietary
52%

Clientele
48%

FII
11%
DII
0%

Index Options

Proprietary
57%

Clientele
43%

Others
28%
Corp
9%

Stock Options

Others
25%

FII
10%
DII
0%

FII
16%

Proprietary
38%
Corp
8%

Clientele
62%

DII
0%
Corp
8%

Others
38%

MARKET PULSE

EQUITY DERIVATIVES UPDATE | SEP 2014

i.

Instruments wise participant wise open interest


Instruments wise participant wise open interest as on September 24, 2014, a day prior to equity derivatives expiry

Participant wise OI - Index Futures


Long OI

70%

70%

59%

% to total OI

60%
50%

80%

Short OI

42%

40%

30%

30%

8% 10%

10%

1%

1%
Client

DII

Client

Short OI

80%

42%

40%

34%

30%

27%

22%
13%

% to total OI

% to total OI

Long OI

DII

FII

Pro

Short OI

DII

FII

60%

46%

43%

40%
30%
20%
5%

10%

11%

61%

0%
FII

Pro

Pro

Short OI

50%
40%

29%

30%
20%

32%

11% 10%
0%

0%

FII

DII

58%

10%

0%
DII

% to total OI

60%

Client

Long OI

80%
70%

0%

0%

17%

Participant wise OI - Stock Puts

Short OI

0%

17%

Client

Pro

70%

10%

26%

30%

0%

Participant wise OI - Stock Calls


Long OI

37%

40%

10%

0%
Client

50%

47%

20%

11%
0%

83%

56%

60%

10%

% to total OI

11% 9%
1%

Participant wise OI - Index Puts

50%

20%

18%

16%

70%

60%

50%

24%

30%

Pro

70%

80%

40%

0%
FII

Participant wise OI - Index Calls

50%

50%

10%

0%

Long OI

Short OI
57%

20%

20%

80%

Long OI
64%

60%
49%

% to total OI

80%

Participant wise OI - Stock Futures

Client

0%

DII

FII

Pro

MARKET PULSE

EQUITY DERIVATIVES UPDATE | SEP 2014

2. GLOBAL PERSPECTIVE
a. NSE global ranking
Equity derivatives instruments*

Rank

Index Options

Index Futures

Stock Options

Stock Futures

Nifty maintained its leadership position in index options category globally.


*Ranking in no. of contracts traded for the period Jan 14' to Aug 14'
Source: WFE website
b. Global top 3 Exchanges in stock futures in
terms of turnover
Rank

Name of the Exchange

c. Global top 3 Exchanges in stock futures


in terms of contacts traded

Turnover

Rank

Name of the Exchange

No. of Contracts

National Stock Exchange India

821516

Moscow Exchange

222246620

EUREX

517108

National Stock Exchange India

136268123

Liffe

312351

EUREX

95679599

3. NIFTY FUTURES SPREAD MOVEMENT


a. Nifty futures spread in points

b. Nifty futures spread in % age

140
Aug

Sep

1.8%

Oct

120

% Futures Spread Vs Spot

100
80
60
40
20

Sep

Oct

1.4%
1.2%
1.0%
0.8%
0.6%
0.4%
0.2%
0.0%

0.2%
25Sep

24Sep

23Sep

22Sep

19Sep

18Sep

17Sep

16Sep

15Sep

12Sep

11Sep

10Sep

09Sep

08Sep

05Sep

04Sep

01Sep

03Sep

0.4%

25Sep

24Sep

23Sep

22Sep

19Sep

18Sep

17Sep

16Sep

15Sep

12Sep

11Sep

10Sep

09Sep

08Sep

05Sep

04Sep

03Sep

02Sep

01Sep

20

02Sep

Spread Points

Aug

1.6%

Nifty future contracts spread in terms of actual points to spot. Data - Nifty futures September contract expiry.
c. CORRELATION DURING SEPTEMBER 2014
INDEX

NIFTY

BANK NIFTY

CNX IT

CNX INFRA

CNX PSE

NIFTY

1.00

0.88

0.40

0.86

0.88

0.84

-0.63

BANK NIFTY

0.88

1.00

0.08

0.87

0.87

0.89

-0.55

CNX IT

0.40

0.08

1.00

0.27

0.13

0.20

-0.18

CNX INFRA

0.86

0.87

0.27

1.00

0.85

0.93

-0.36

CNX PSE

0.88

0.87

0.13

0.85

1.00

0.88

-0.44

NIFTY MIDCAP 50

0.84

0.89

0.20

0.93

0.88

1.00

-0.36

-0.63

-0.55

-0.18

-0.36

-0.44

-0.36

1.00

INDIAVIX

NIFTY MIDCAP 50

INDIAVIX

MARKET PULSE

EQUITY DERIVATIVES UPDATE | SEP 2014

4. FUTURES SEGMENT
a. Top 5 stock futures contracts based on no. of contracts traded - September14
Sr. No
1

Symbol
RELIANCE

No. of Contract traded


833764

Turnover Rs. Crs

% Contribution

20681

3.0%

SBIN

811680

25748

4.0%

ICICIBANK

519749

20056

3.0%

HDFCBANK

433090

18669

3.0%

TATASTEEL

375282

18782

3.0%

b. Benchmark indices Nifty and Bank Nifty


trading volumes in futures - September14

c. Nifty futures expiry wise turnover volumeSeptember 14

Oct
16%

Nov
1%

Sep
83%

* No. of contracts traded between 1st Sep to 25th Sep

5. OPTIONS SEGMENT
a. Top 5 stock options contracts based on no. of contracts traded - September14
Sr. No
1

Symbol
SBIN

No. of Contract traded


934363

Turnover Rs. Crs


30301

% Contribution
10.0%

RELIANCE

591066

15144

5.0%

INFY

279419

13126

4.0%

DLF

246868

8783

3.0%

TCS

234341

7896

3.0%

b. Benchmark indices Nifty and Bank Nifty


trading volumes in options - September 14

c. Nifty options moths wise turnover during


September 14
Oct Nov
8% 0.3%

Sep
92%

* No. of contracts traded between 1st Sep to 25th Sep

MARKET PULSE

EQUITY DERIVATIVES UPDATE | SEP 2014

6. RECORD TURNOVER IN EQUITY DERIVATIVES


Instrument

Turnover Rs. Crs

Date

Index Futures

52213

May 16, 2014

Index Options

410993

Sep 25, 2014

Stock Futures

77971

May 26, 2014

Stock Options

28002

Apr 12, 2013

F&O Segment

532612

Sep 25, 2014

7.

MONTHLY FEATURE

Nifty derivatives lot size reduced to 25


The Exchange periodically reviews the contract size of derivative contracts on indices based on prescribed minimum
contract value of INR 200,000 as per SEBI guidelines.
As part of the periodical review, the Exchange has revised the lot size in Nifty derivatives contracts, thereby reducing it
to 25 from the current lot size of 50. The revised lot size shall come into effect from October 31, 2014.
Market participants are of the view that the reduced lot size is expected to bring the following benefits:
Lesser margin requirements per lot
Lesser transaction charges per lot
Convenience in hedging

Disclaimer
The information contained in this document is prepared in good faith. Market conditions can lead to substantial profit or loss. Investors are advised to seek adequate product and market
knowledge as well as proper investment advice before trading. The material provided here is for general information purposes only. While care has been taken to ensure accuracy, the
information furnished to reader with no warranty as to accuracy or completeness of its contents and on condition that any changes, omissions or errors shall not be made the basis for any
claim, demand or cause for action. Nothing in this document constitutes any investment, legal, accounting or tax advice or any solicitation of any kind, whatsoever. The subscriber/ user
assume the entire risk and liability of any use made of this document. In no event will National Stock Exchange of India Limited be liable for any damages, including without limitation direct or
indirect, special, incidental, or consequential damages, losses or expenses arising in connection with this document.

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