EQUITY DERIVATIVES UPDATE | NOV 2014

MARKET PULSE

I N D E X
S. No. Particulars Page No.

1. OVERVIEW OF EQUITY DERIVATIVES SEGMENT - NOVEMBER 2014 2

a. Comparision of Nifty near month future contract, Nifty index and daily turnover 2

b. Index watch 2

c. Instrument wise growth in turnover 2

d. Instrument wise turnover 2

e. Instrument wise volumes trend 2

f. Mode of trading wise turnover 3

g. Internet based trading turnover trend 3

h. Instrument wise participant wise turnover 3

i. Instrument wise participant wise open interest 4

2. GLOBAL PERSPECTIVE 5

a. NSE global ranking 5

b. Top 3 Exchanges in stock futures globally 5

3. NIFTY FUTURES SPREAD MOVEMENT 5

a. Nifty futures spread in points 5

b. Nifty futures spread in percentage 5

c. Correlation matrix 5

4. FUTURES SEGMENT 6

a. Top 5 stock futures contracts 6

b. Benchmark indices Nifty and Bank Nifty trading volumes in futures 6

c. Nifty futures expiry wise volumes 6

5. OPTIONS SEGMENT 6

a. Top 5 stock options contracts 6

b. Benchmark indices Nifty and Bank Nifty trading volumes in options 6

c. Nifty options moths wise turnover 6

6. RECORD TURNOVER IN EQUITY DERIVATIVES 7

7. MONTHLY FEATURE 7

Reduce follow-up time, increase productivity 7

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EQUITY DERIVATIVES UPDATE | NOV 2014
MARKET PULSE

1. OVERVIEW OF EQUITY DERIVATIVES SEGMENT - NOVEMBER 2014

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

500000 8700
F&O Turnover Nifty Index Nifty Near Month
450000
8500
400000
350000
Turnover Rs. Crs

8300
300000
Ÿ November highlights:

Nifty
250000 8100
200000
150000
7900 Peak turnover in the month Rs. 4,59,347.32 Cr.
100000
50000
7700 Peak value of Nifty index 8617
0 7500
Peak value of Bank Nifty Index 18615.40
31‐Oct‐14
03‐Nov‐14
05‐Nov‐14
07‐Nov‐14
10‐Nov‐14
11‐Nov‐14
12‐Nov‐14
13‐Nov‐14
14‐Nov‐14
17‐Nov‐14
18‐Nov‐14
19‐Nov‐14
20‐Nov‐14
21‐Nov‐14
24‐Nov‐14
25‐Nov‐14
26‐Nov‐14
27‐Nov‐14

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 8617.00 8198.05 8588.25 3.2% 7.2% 21.51 3.55 1.26
Bank Nifty 18615.40 16783.65 18513.15 8.6% 16.5% 18.20 2.74 1.02
CNXIT 11979.50 11192.80 11898.05 4.9% 11.1% 21.42 6.74 1.24
Nifty Midcap 50 3466.25 3244.65 3418.35 3.8% 16.4% 16.89 1.80 1.23
CNX Infrastructure 3339.30 3196.75 3249.65 -0.9% 11.9% 21.16 2.28 1.08
CNX PSE 3812.80 3605.95 3719.25 -1.8% 12.4% 11.81 2.00 2.94
INDIAVIX 17.2100 9.3475 12.8975 -3.0% 52.2% N.A. N.A. N.A.

# Absolute returns for the month of November’14 | *Average daily standard deviation during November annualized

c. Instrument wise growth in turnover

Instrument Daily Average Turnover Rs. Crs Instrument Daily Average Turnover Rs. Crs
Nov-14 Nov-13 % Change Till Nov' 14 Till Nov'13 % Change
Index Futures 14518 12703 14% Index Futures 15514 12876 20%
Stock Futures 34942 19884 76% Stock Futures 34694 18916 83%
Index Options 163809 103997 58% Index Options 146798 115515 27%
Stock Options 15093 8342 81% Stock Options 13773 9492 45%
Total 228362 144925 58% Total 210779 156798 34%

Turnover has grown across all instruments over the previous year. Stock Options have shown the maximum growth

d. Instrument wise turnover - November' 14 e. Instrument wise volumes trend

100%
Index Fut 90%
Stock Opt 7%
80%
7%
Stock Fut 70%
13% 60%
50%
40%
30%
20%
10%
0%
Oct‐13

Nov‐13

Dec‐13

Jan‐14

Feb‐14

Mar‐14

Apr‐14

May‐14

Jun‐14

Jul‐14

Aug‐14

Sep‐14

Oct‐14

Nov‐14

Index Opt
73%
STK OPT IDX OPT STK FUT IDX FUT

Index derivatives contributed 80% of total equity derivatives turnover.

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EQUITY DERIVATIVES UPDATE | NOV 2014
MARKET PULSE

f. Mode of trading wise turnover - November' 14 g. Internet based trading turnover trend

Mobile 800000 120000

No. of Trades Turnover
IBT 1% 700000
11% 100000

Turnover Value Rs. Crs

600000
80000

No. of Trades
500000

400000 60000

Non Algo 300000

40000
47% 200000
Co‐location 20000
100000
33%
0 0

31‐Oct‐14
03‐Nov‐14
05‐Nov‐14
07‐Nov‐14
10‐Nov‐14
11‐Nov‐14
12‐Nov‐14
13‐Nov‐14
14‐Nov‐14
17‐Nov‐14
18‐Nov‐14
19‐Nov‐14
20‐Nov‐14
21‐Nov‐14
24‐Nov‐14
25‐Nov‐14
26‐Nov‐14
27‐Nov‐14
h. Instrument wise participant wise turnover - November' 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

FII FII
16% 15%
DII DII
1% 2%
Proprietary Clientele Corp Proprietary Clientele
32% 68% 35% 65% Corp Others
15% Others
14% 34%
36%

Equity Derivatives

FII
11%
Others
Proprietary Clientele DII 27%
51% 49% 1%
Corp
10%

Index Options Stock Options

FII
FII Others 16%
10% 24%
Proprietary Clientele Proprietary Clientele
DII Others
57% 43% DII 38% 62%
0% 38%
0% Corp
Corp
9% 8%

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EQUITY DERIVATIVES UPDATE | NOV 2014
MARKET PULSE

i. Instrument wise participant wise open interest

Instrument wise participant wise open interest as on November 26, 2014, a day prior to equity derivatives expiry

Participant wise OI - Index Futures Participant wise OI - Stock Futures

80% 80% Long OI Short OI

Long OI Short OI
71% 66% 66%
70% 70%
58%
60% 60%

% to total OI
% to total OI

50% 50%
40% 40%
30% 23% 30% 22%
18% 16% 16%
20% 20%
11% 8% 11% 10%
10% 3% 10%
1% 1%
0% 0%
Client DII FII Pro Client DII FII Pro

Participant wise OI - Index Calls Participant wise OI - Index Puts

80% Long OI Short OI 80% Long OI Short OI

70% 70%
57%
60% 60% 54%
49%
% to total OI

% to total OI

50% 50%
39%
40% 34% 40% 35% 33%
30% 24% 30%
19% 16%
20% 20% 13% 16%
11%
10% 10%
0% 0% 0%
0% 0%
Client DII FII Pro Client DII FII Pro

Participant wise OI - Stock Calls Participant wise OI - Stock Puts

79%
80% Long OI Short OI 80% Long OI Short OI
70%
70% 70%
60% 53% 60% 53%
% to total OI
% to total OI

50% 50%
39% 37%
40% 40%
30% 30% 23%
20% 15% 20%
7% 8% 8% 10%
10% 10%
0% 0% 0% 0%
0% 0%
Client DII FII Pro Client DII FII Pro

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EQUITY DERIVATIVES UPDATE | NOV 2014
MARKET PULSE

2. GLOBAL PERSPECTIVE
a. NSE global ranking

Equity Derivatives Instruments* Jan 14 - Oct 14

Index Options 1
Index Futures 6
Stock Options 8
Stock Futures 2

Nifty maintained its leadership position in index options category globally.

*Ranking in no. of contracts traded for the period Jan 14' to Oct 14'
Source: WFE website

b. Global top 3 Exchanges in stock futures in c. Global top 3 Exchanges in stock futures
terms of turnover in terms of contacts traded

Rank Name of the Exchange Turnover Rank Name of the Exchange No. of Contracts
1 National Stock Exchange India 1030710 1 Moscow Exchange 279019857
2 EUREX 573935 2 National Stock Exchange India 169773886
3 ICE Futures Europe 270186 3 EUREX 108516425

3. NIFTY FUTURES SPREAD MOVEMENT

a. Nifty futures spread in points b. Nifty futures spread in % age

160 2.0%
Nov Dec Jan
Nov Dec Jan 1.8%
140
1.6%
120
% Futures Spread Vs Spot

1.4%
Spread Points

100
1.2%
80 1.0%

60 0.8%

40 0.6%

0.4%
20
0.2%
0
0.0%
31‐Oct‐14
03‐Nov‐14
05‐Nov‐14
07‐Nov‐14
10‐Nov‐14
11‐Nov‐14
12‐Nov‐14
13‐Nov‐14
14‐Nov‐14
17‐Nov‐14
18‐Nov‐14
19‐Nov‐14
20‐Nov‐14
21‐Nov‐14
24‐Nov‐14
25‐Nov‐14
26‐Nov‐14
27‐Nov‐14

31‐Oct‐14
03‐Nov‐14
05‐Nov‐14
07‐Nov‐14
10‐Nov‐14
11‐Nov‐14
12‐Nov‐14
13‐Nov‐14
14‐Nov‐14
17‐Nov‐14
18‐Nov‐14
19‐Nov‐14
20‐Nov‐14
21‐Nov‐14
24‐Nov‐14
25‐Nov‐14
26‐Nov‐14
27‐Nov‐14

Nifty future contracts spread in terms of actual points to spot.

c. CORRELATION DURING NOVEMBER 2014

INDEX NIFTY BANK NIFTY CNX IT CNX INFRA CNX PSE NIFTY MIDCAP 50 VIX
NIFTY 1.00 0.90 0.05 0.48 0.58 0.73 -0.21
BANK NIFTY 0.90 1.00 -0.07 0.39 0.36 0.62 -0.10
CNX IT 0.05 -0.07 1.00 -0.29 -0.13 -0.07 -0.35
CNX INFRA 0.48 0.39 -0.29 1.00 0.52 0.63 -0.11
CNX PSE 0.58 0.36 -0.13 0.52 1.00 0.57 0.04
NIFTY MIDCAP 50 0.73 0.62 -0.07 0.63 0.57 1.00 -0.12
VIX -0.21 -0.10 -0.35 -0.11 0.04 -0.12 1.00
Correlation based on daily closing returns of the respective index

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EQUITY DERIVATIVES UPDATE | NOV 2014
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4. FUTURES SEGMENT
a. Top 5 stock futures contracts based on no. of contracts traded - November’14

Sr. No Symbol No. of Contract traded Turnover Rs. Crs % Contribution

1 SBIN 886414 32392 5.0%
2 HDFCBANK 860502 20225 3.0%
3 RELIANCE 659630 16366 3.0%
4 RELCAPITAL 519008 12925 2.0%
5 TATASTEEL 514410 12203 2.0%

b. Benchmark indices Nifty and Bank Nifty c. Nifty futures expiry wise turnover volume-
trading volumes in futures - November’14 November’ 14

Jan
BANKNIFTY Dec 1%
21% 18%

NIFTY Nov
79% 81%

* No. of contracts traded between 31st Oct to 27th Nov

5. OPTIONS SEGMENT
a. Top 5 stock options contracts based on no. of contracts traded - November’14

Sr. No Symbol No. of Contract traded Turnover Rs. Crs % Contribution

1 SBIN 1155174 42252 16.0%
2 RELIANCE 443543 11193 8.0%
3 TATASTEEL 376390 9173 5.0%
4 INFY 333701 17713 6.0%
5 TATAMOTORS 237912 6446 4.0%

b. Benchmark indices Nifty and Bank Nifty c. Nifty options moths wise turnover during
trading volumes in options - November’ 14 November’ 14

BANKNIFTY Dec Jan

7%
8% 1%

NIFTY
93% Nov
92%

* No. of contracts traded between 31st Oct to 27th Nov

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EQUITY DERIVATIVES UPDATE | NOV 2014
MARKET PULSE

6. RECORD TURNOVER IN EQUITY DERIVATIVES

Instrument Turnover Rs. Crs Date

Index Futures 52213 May 16, 2014
Index Options 427787 Oct 30, 2014
Stock Futures 77971 May 26, 2014
Stock Options 28002 Apr 12, 2013
F&O Segment 551224 Oct 30, 2014

7. MONTHLY FEATURE

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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.

Incase you have any feedback on this reports please feel free to drop a mail to bsankar@nse.co.in.
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