Derivatives Update

April 2006

NSE
Leadership through change

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

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&O
Segment) with the underlying movement of the NIFTY Index (Cash Segment), along
with the Daily Traded value of the F&O Segment:
Traded Value F&O segment(Rs in crores)

Near Month Futures Close Price

NIFTY Cash Segment movement

3750.00
3650.00

80000

3450.00

70000

3350.00

C lo s e P ric e s (R s .)

3250.00

60000

3150.00
3050.00

50000

2950.00
2850.00

40000

2750.00
2650.00

30000

2550.00
2450.00

20000

2350.00
2250.00

10000

2150.00

2 9 -A p r-0 6

2 4 -A p r-0 6

1 7 -A p r-0 6

5 -A p r-0 6

2 9 -M a r-0 6

2 2 -M a r-0 6

1 4 -M a r-0 6

7 -M a r-0 6

2 8 -F e b -2 0 0 6

2 1 -F e b -2 0 0 6

1 4 -F e b -2 0 0 6

6 -F e b -2 0 0 6

3 0 -J a n -2 0 0 6

2 0 -J a n -2 0 0 6

1 3 -J a n -2 0 0 6

5 -J a n -2 0 0 6

2 9 -D e c -2 0 0 5

2 2 -D e c -2 0 0 5

1 5 -D e c -2 0 0 5

8 -D e c -2 0 0 5

1 -D e c -2 0 0 5

2 5 -N o v -2 0 0 5

1 8 -N o v -2 0 0 5

1 0 -N o v -2 0 0 5

0
1 -N o v -2 0 0 5

2050.00

Date

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

F & O SEGMENT

Page 3 of 21

Derivatives Update April 2006

F & O T ra d e d v a lu e (R s . in c ro re s )

3550.00

1.2 Records Achieved in the F&O Segment:
Traded Value
Product
(Rs. in crores)
Index Futures
18,523
Stock Futures
38,839
Index Options
4529
Stock Options
2,306
Interest Rate Futures
140
Total F&O Traded Value
60,434
Open Interest on Contract
Expiry (number of contracts)
15,38,912

Date
26-Apr-06
27-Apr-06
13-Apr-06
17-Jan-06
24-Jun-03
27-Apr-06
30-Mar-06

1.3 Monthwise Basic Statistics of the F&O Segment:
Particulars
Nov 2005
Traded Value (Rs in crores)
3,95,853
Total
19,793
Daily Average
Number of Contracts
1,30,55,656
Total
Daily Average

6,52,783

Open Interest (Rs in crores)
End of day
25,377
averages
% of Open
128
interest
to
Daily Average
Traded value

Dec 2005

Jan 2006

5,23,807
23,809
1,61,81,118

Feb 2006

7,37,839
40,991

140,98,382

1,87,90,218

1,78,18,153

7,42,020

8,54,101

9,89,897

4,92,672
25,930

1,46,81,719
7,34,086

Apr 2006

7,34,849
33,402

4,87,584
24,379

7,35,505

Mar 2006

31,376

32,082

37,377

46,959

48,852

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.

F & O SEGMENT

Page 4 of 21

Derivatives Update April 2006

Following is the graphical representation of the above data w.r.t. the Daily Average of Traded Value
& Number of Contracts, and Open Interest.
Daily Average number of contracts

Daily Average Traded Value

Open interest - end of day averages
1050000

51000

1000000
46000

950000

D a ily A v g . T r a d e d V a lu e & O p e n In t e r s t ( R s . in c r o r e s )

900000

41000

800000

36000

750000
700000

31000

650000
600000

26000

550000
500000

21000

450000
400000

16000

350000
300000

11000

250000
6000

200000
Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

Month

F & O SEGMENT

Page 5 of 21

Derivatives Update April 2006

D a ily A v g . n u m b e r o f c o n t r a c t s

850000

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 Productw ise Traded Value (Rs. in crores)

Stock Futures

Index Futures

Stock Options

Index Options

100%
31,073
12,777

90%

42,987
17,244

38,521
17,893

32,331

47,097

52,421

15,268

22,466

20,625

192,035

204,238

473,251

460,554

Mar-06

Apr-06

80%

70%

135,478

156,359
183,293

166,127

Percentage

60%

50%

40%

30%

216,526

280,283

265,042

Nov-05

Dec-05

Jan-06

288,715

20%

10%

0%
Feb-06
Month

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.

F & O SEGMENT

Page 6 of 21

Derivatives Update April 2006

No

1.5 Institutional, Retail & Proprietary Investors – Turnover Analysis:
Month Institutional investors
Retail
Proprietary

1

Nov 05

Gross
Traded
Value
(Rs in
crores)
56,340

Percen
tage
Contri
bution

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

7.12

Gross
Percenta
Traded
ge
Value
Contribu
(Rs in
tion
crores)
4,92,086
62.15

Gross
Traded
Value
(Rs in
crores)
2,43,280

Percentage
Contribution

30.73

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)
Month
Upto Rs. 10 crores
Rs. 10 crores upto Rs. 50 crores
Rs. 50 crores upto Rs.250 crores
Rs. 250 crores upto Rs.500 crores
Rs. 500 crores upto Rs.1000 crores
Rs. 1000 crores and more

Nov 05
26
90
151
103
91
191

Dec 05
24
68
147
100
103
219

Number of Members
Jan 06 Feb 06 Mar 06
24
29
24
73
72
57
165
172
153
89
94
90
111
102
98
205
207
266

Apr 06
23
57
156
100
92
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’.

F & O SEGMENT

Page 7 of 21

Derivatives Update April 2006

1.6.2 Total Turnover (Futures sub segment)
Month
Upto Rs. 10 crores
Rs.10 crores upto Rs.50 crores
Rs.50 crores upto Rs.250 crores
Rs.250 crores upto Rs.500 crores
Rs.500 crores upto Rs.1000 crores
Rs 1000 crores and more

Nov 05
26
98
160
100
92
176

Number of Members
Dec 05 Jan 06 Feb 06 Mar 06
27
27
31
26
71
78
76
60
159
173
179
159
95
90
94
87
105
106
93
101
204
193
203
255

Apr 06
26
58
165
97
96
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)
Month
Upto Rs. 10 crores
Rs.10 crores upto Rs.50 crores
Rs.50 crores upto Rs.250 crores
Rs.250 crores upto Rs.500 crores
Rs.500 crores upto Rs.1000 crores
Rs 1000 crores and more

Nov 05
289
161
135
29
21
17

Dec 05
266
160
146
39
24
26

Number of Members
Jan 06 Feb 06 Mar 06
271
291
276
160
179
161
158
139
157
36
29
45
18
19
18
24
19
31

Apr 06
285
159
154
44
25
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
Month
Top 5 Members
Top 10 Members
Top 15 Members
Top 25 Members

Percentage contribution to sub-segment turnover
Nov 05
Dec 05 Jan 06 Feb 06 Mar 06 Apr 06
12
12
12
14
13
14
20
20
20
22
21
22
27
26
26
29
27
28
37
36
36
39
36
38

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

F & O SEGMENT

Page 8 of 21

Derivatives Update April 2006

1.7.2 Options sub-segment
Percentage contribution to sub-segment turnover
Nov 05
Dec 05 Jan 06 Feb 06 Mar 06 Apr 06
24
24
25
26
24
25
37
38
38
41
38
40
45
45
47
51
47
48
56
56
57
63
58
59

Month
Top 5 Members
Top 10 Members
Top 15 Members
Top 25 Members

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:
Cash Segment

F&O Segment

Turnover
(Rs. in crores)

800000
700000
600000
737839

734849

500000
400000

492672

487584

523807

300000

395853

200000
209395

Feb-06

Jan-06

Dec-05

109578

Nov-05

Cash Segment

Month

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.

F & O SEGMENT

Page 9 of 21

100000

135374
Apr-06

149908

149442

Mar-06

F&O Segment

177372

Derivatives Update April 2006

0

1.9 Monthwise Productwise Basic Statistics:
Category

Product

Traded Value (Rs in crores)
Stock Futures
Total
Index Futures
Stock Options
Index Options

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

%
change
from
Nov-05
to Apr06

%
change
from
Mar 06
to Apr
06

216526
135478
12777
31073

280283
183293
17244
42987

265042
166127
17893
38521

288715
156359
15268
32331

473251
192035
22466
47097

460554
204238
20625
52421

112.70
50.75
61.42
68.70

-2.68
6.35
-8.19
11.30

Stock Futures
Index Futures
Stock Options
Index Options
Number of Contracts

10826
6774
639
1554

12740
8332
784
1954

13252
8306
895
1926

15196
8229
804
1702

21511
8729
1021
2141

25586
11347
1146
2912

136.34
67.51
79.34
87.39

18.94
29.99
12.24
36.01

Stock Futures
Index Futures
Stock Options
Index Options

6252736
5238175
364188
1200557

7571377
6613032
456529
1540180

7134199
5760999
456055
1330466

7443178
5186835
401973
1066396

10844400
5952206
537261
1456351

10021529
5847035
460485
1489104

60.27
11.62
26.44
24.03

-7.59
-1.77
-14.29
2.25

Stock Futures
312637
Index Futures
261909
Stock Options
18209
Index Options
60028
Open Interest (end of respective expiry day)

344154
300592
20751
70008

356710
288050
22803
66523

391746
272991
21156
56126

492927
270555
24421
66198

556752
324835
25583
82728

78.08
24.03
40.50
37.82

12.95
20.06
4.76
24.97

Daily
Average

Total

Daily
Average

Stock Futures
Index Futures
Stock Options
Index Options

14499
7107
2523
6816

17587
7834
3307
7664

19747
9467
2649
6513

23028
9573
3155
7766

29005
12160
3842
11818

32917
11113
4198
8899

127.03
56.37
66.39
30.56

13.49
-8.61
9.27
-24.70

Stock Futures
Index Futures
Stock Options
Index Options
Number of trading Days

467788
267705
76810
258666
20

537012
277347
94213
271578
22

598009
321692
80331
221492
20

655920
311974
88667
253618
19

7,39,074
3,56,942
97,234
3,45,662
22

790568
316482
98721
253681
18

69.00
18.22
28.53
-1.93

6.97
-11.34
1.53
-26.61

Value
in
Rs. Crore

Number of
contracts

*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 daily
average volume and contracts traded. Open interest increased only for stock products.

F & O SEGMENT

Page 10 of 21

Derivatives Update April 2006

1.10 Comparative Analysis – World Exchanges (March 2006)
Product
NSE's
Position

Rank

Stock Futures
1st with 1,08,44,400
contracts
Name of
the
Exchange

Index Futures
4th with 59,52,206
contracts

Stock Options
14th with 5,37,261
contracts

Number of
Contracts

Name of
the
Exchange

Number of
Contracts

1,08,44,400

Chicago
Mercantile
Exchange

3,84,85,241

2,49,74,825

1

NSE,
India

2

JSE

62,98,598

Eurex

3

BME
Spanish
Exchange

61,27,293

Euronext.
Liffe

Name of
the
Exchange

69,46,083

Index Options
9th with 14,56,351
contracts

Number of
Contracts

Name of
the
Exchange

Number of
Contracts

CBOE

3,29,36,647

KSE

196,294,269

Eurex

2,58,11,335

CBOE

22,108,607

Sao Paulo
SE

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 4th 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)

NIFTY, 203226, 31%

OTHERS , 369041,
55%

RELIANCE, 29578, 4%

TATASTEEL, 23517,
4%
SATYAMCOMP,
18659, 3%

F & O SEGMENT

Page 11 of 21

ACC, 20771, 3%

Derivatives Update April 2006

2.2 Top 5 most active Futures contracts:
Sr.
No.

Contract Descriptor

No. of
Contracts

Percentage of
Contracts to Total
Contracts

Traded Value
(Rs. Crores)

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

2

8,862,823

15610
404654

56

15,868,564

664793

100.00

OTHERS
TOTAL

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

NIFTY; 313977; 28%

OTHERS; 675128; 61%
RELIANCE; 31987; 3%
TATASTEEL; 29348; 3%
INFOSYSTCH; 28993; 3%
MTNL; 27617; 2%

F & O SEGMENT

Page 12 of 21

Derivatives Update April 2006

F & O SEGMENT
0.00

Date

Page 13 of 21
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.

Derivatives Update April 2006
2 7 -A p r-2 0 0 6

2 6 -A p r-2 0 0 6

2 5 -A p r-2 0 0 6

40.00

2 4 -A p r-2 0 0 6

60.00

2 1 -A p r-2 0 0 6

80.00

2 0 -A p r-2 0 0 6

100.00

1 9 -A p r-2 0 0 6

80.00

1 8 -A p r-2 0 0 6

140.00

1 7 -A p r-2 0 0 6

90.00

160.00

1 3 -A p r-2 0 0 6

100.00

180.00

1 2 -A p r-2 0 0 6

TATASTEEL Futures Near Month Cost of Carry

1 0 -A p r-2 0 0 6

200.00

Date

ACC Futures Near Month Cost of Carry

70.00

60.00

50.00

40.00

30.00

20.00

20.00

10.00

0.00

2 7-A p r-20 06

2 6-A p r-20 06

2 5-A p r-20 06

2 4-A p r-20 06

2 1-A p r-20 06

2 0-A p r-20 06

1 9-A p r-20 06

1 8-A p r-20 06

1 7-A p r-20 06

1 3-A p r-20 06

1 2-A p r-20 06

1 0-A p r-20 06

7-A p r-20 06

5-A p r-20 06

4-A p r-20 06

NIFTY Futures Near Month Cost of Carry

7 -A p r-2 0 0 6

Date

5 -A p r-2 0 0 6

-50.00
3-A p r-20 06

0.00

4 -A p r-2 0 0 6

100.00

3 1-M a r-20 06

150.00

C o st o f c arry

250.00

3 -A p r-2 0 0 6

120.00

C o s t o f c a rry

27-A pr-06

26-A pr-06

25-A pr-06

24-A pr-06

21-A pr-06

20-A pr-06

19-A pr-06

18-A pr-06

17-A pr-06

13-A pr-06

12-A pr-06

10-A pr-06

7-A pr-06

5-A pr-06

4-A pr-06

3-A pr-06

31-M ar-06

C o st o f carry
300.00

3 1 -M a r-2 0 0 6

27-Apr-06

26-Apr-06

25-Apr-06

24-Apr-06

21-Apr-06

20-Apr-06

19-Apr-06

18-Apr-06

17-Apr-06

13-Apr-06

12-Apr-06

10-Apr-06

7-Apr-06

5-Apr-06

4-Apr-06

3-Apr-06

31-Mar-06

Cost of carry

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

300.00

250.00

200.00
200.00

150.00

50.00
100.00

50.00

0.00

3. OPTIONS SEGMENT (April 2006)
3.1 Top 5 Traded Symbols
Traded Value (Rs. in crores)
OTHERS; 11704; 16%
SBIN; 1093; 1%
TATASTEEL; 2147; 3%
SATYAMCOMP; 2279; 3%

RELIANCE; 3403; 5%

NIFTY; 52421; 72%

3.2 Top 5 most active Options contracts:

Sr. No.
1.
2.
3.
4.
5.

Contract Descriptor
NIFTY APRIL 2006 CE 3500
NIFTY APRIL 2006 PE 3500
NIFTY APRIL 2006 PE 3400
NIFTY APRIL 2006 CE 3550
NIFTY APRIL 2006 CE 3600
OTHERS
TOTAL

No. of
Contracts
193,032
136,149
119,862
105,714
103,859
1290973
1949589

Traded Value
(Rs. In crs)
6,860
4,832
4,130
3,792
3,761
49670
73046

Percentage of
contracts to
total contracts
9.90
6.98
6.15
5.42
5.33
66.22
100.00

3.3 Option Exercises – Analysis (Contract Month April 2006)

Underlying
Nifty
Others
Total

Option Type
Call
Put
46510
15892
19180
6082
65690
21974

Total No. of
contracts
exercised
62402
25262
87664

% to
Total
71.18
28.82
100

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

F & O SEGMENT

Page 14 of 21

Derivatives Update April 2006

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%

TATASTEEL; 5869; 3%
NIFTY; 103670; 57%
INFOSYSTCH; 6077; 3%
SATYAMCOMP; 8015; 4%
RELIANCE; 9324; 5%

3.4.2

Put Options

INFOSYSTCH; 1,251; 1%

Open Interest for Put Options
(Number of contracts)

SATYAMCOMP; 1,442; 1%

OTHERS; 8,908; 5%

TATASTEEL; 2,768; 2%
RELIANCE; 3,371; 2%

NIFTY; 150,011; 89%

F & O SEGMENT

Page 15 of 21

Derivatives Update April 2006

3.5

Put Call Ratios (Contract Month April 2006)

3.5.1 NIFTY Options (number of contracts traded)
Calls

Puts

Put Call Ratio

80,000

1.90
1.80

70,000

1.70
1.60

60,000

1.40

50,000

1.30
40,000

1.20
1.10

30,000

Put-Call Ratio

Number of contracts

1.50

1.00
0.90

20,000
0.80
0.70

10,000

27-Apr-06

26-Apr-06

25-Apr-06

24-Apr-06

21-Apr-06

20-Apr-06

19-Apr-06

18-Apr-06

17-Apr-06

13-Apr-06

12-Apr-06

10-Apr-06

7-Apr-06

5-Apr-06

4-Apr-06

3-Apr-06

0

31-Mar-06

0.60
0.50

Date

3.5.2 Stocks Options (number of contracts traded)
Calls

Puts

Put Call Ratio
0.50

35,000

0.45

30,000

0.40

0.35
20,000
0.30
15,000
0.25
10,000
0.20

5,000

27-Apr-06

26-Apr-06

25-Apr-06

24-Apr-06

21-Apr-06

20-Apr-06

19-Apr-06

18-Apr-06

17-Apr-06

13-Apr-06

12-Apr-06

10-Apr-06

7-Apr-06

5-Apr-06

4-Apr-06

0.10
3-Apr-06

31-Mar-06

0

0.15

Date

F & O SEGMENT

Page 16 of 21

Derivatives Update April 2006

Put-Call Ratio

Number of contracts

25,000

3.5.3 NIFTY Options (Open Interest in number of contracts)
Put Call Ratio

0.90
4/27/06

0
4/26/06

1.00

4/25/06

20,000

4/24/06

1.10

4/21/06

40,000

4/20/06

1.20

4/19/06

60,000

4/18/06

1.30

4/17/06

80,000

4/13/06

1.40

4/12/06

100,000

4/10/06

1.50

4/7/06

120,000

4/5/06

1.60

4/4/06

140,000

4/3/06

1.70

Put Call Ratio

Puts

160,000

3/31/06

Open Interest (number of contracts)

Calls

Date

3.5.4 Stocks Options (Open Interest in number of contracts)
Put Call Ratio

0

0.05
27-Apr-06

0.10

26-Apr-06

10,000

25-Apr-06

0.15

24-Apr-06

20,000

21-Apr-06

0.20

20-Apr-06

30,000

19-Apr-06

0.25

18-Apr-06

40,000

17-Apr-06

0.30

13-Apr-06

50,000

12-Apr-06

0.35

10-Apr-06

60,000

7-Apr-06

0.40

5-Apr-06

70,000

4-Apr-06

0.45

3-Apr-06

80,000

Date

F & O SEGMENT

Page 17 of 21

Derivatives Update April 2006

Put Call Ratio

Puts

0.50

31-Mar-06

Open Interest (number of contracts)

Calls
90,000

4. AVERAGE QUARTER SIGMA SIZE AND MWPL
The 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 on
which Futures and options
are available for trading

1 ABB*
2 ACC*
3 ALBK*
4 ALOKTEXT*
5 ANDHRABANK*
6 ARVINDMILL
7 ASHOKLEY
8 AUROPHARMA
9 BAJAJAUTO*
10 BANKBARODA
11 BANKINDIA*
12 BEL*
13 BHARATFORG*
14 BHARTI*
15 BHEL*
16 BILT
17 BONGAIREFN*
18 BPCL*
19 CANBK*
20 CENTURYTEX
21 CESC
22 CHAMBLFERT
23 CHENNPETRO*
24 CIPLA*
25 COCHINREFN*
26 COLGATE*
27 CORPBANK*
28 CUMMINSIND*
29 DABUR*
30 DIVISLAB
31 DRREDDY*
32 ESCORTS
33 ESSAROIL*
34 FEDERALBNK*
35 GAIL*
F & O SEGMENT

Quarter Sigma
Order size for
the period
October 17, 2005
to April 13, 2006
(Rs.)
2285745.18
4964839.26
984143.09
631686.10
1226086.77
1491205.57
3408630.13
1025873.93
4687543.41
1532185.78
1750407.26
2125014.70
2075830.82
3310397.39
5282042.58
609433.87
386493.20
1697985.27
2068208.57
2971341.64
896683.37
578423.52
534022.08
3833385.05
404221.09
923334.33
677096.11
1012393.36
1689443.97
678349.34
3674858.60
926152.69
740397.27
833004.18
3012516.57
Page 18 of 21

MWPL value
as on March
30, 2006 (Rs.
crs.)

1171.36
1947.93
217.30
121.43
260.97
260.73
448.73
322.48
2158.42
431.37
390.95
504.79
1196.97
1219.18
2451.14
243.46
65.82
301.14
524.88
434.47
304.34
83.20
47.80
1847.16
25.52
533.58
180.17
455.12
364.66
208.56
1469.87
89.52
138.53
335.51
2239.79
Derivatives Update April 2006

Sr.
No.

36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77

Name of the underlying on
which Futures and options
are available for trading

GESHIPPING*
GLAXO*
GNFC*
GRASIM*
GUJAMBCEM*
HCLTECH*
HDFC*
HDFCBANK*
HEROHONDA*
HINDALC0
HINDLEVER*
HINDPETRO*
ICICIBANK*
IDBI*
IDFC
IFCI
I-FLEX
INDHOTEL*
INDIACEM
INDUSINDBK*
INFOSYSTCH
IOB*
IOC*
IPCL*
ITC*
IVRCLINFRA
J&KBANK
JETAIRWAYS*
JINDALSTEL
JPHYDRO
JSTAINLESS
KTKBANK*
LICHSGFIN*
M&M*
MAHSEAMLES
MARUTI*
MATRIXLABS*
MPHASISBFL
MRPL
MTNL*
NAGARFERT*
NATIONALUM*

F & O SEGMENT

Quarter Sigma
Order size for
the period
October 17, 2005
to April 13, 2006
(Rs.)
2096709.58
1082267.22
881181.84
3723593.23
3666341.09
2123915.22
5951615.28
3346607.76
3705684.54
3793894.14
5005436.46
1169735.97
6292232.35
2439161.58
2988403.57
3969683.90
2474894.83
1661292.10
2666809.50
564822.19
25060530.24
755816.16
1897957.14
3437282.19
10070379.33
2460918.39
557819.17
2398809.17
879721.63
865163.84
955406.38
930191.87
720580.03
4339870.87
520573.32
9033646.02
1281576.66
885178.47
565802.98
3076297.52
754026.53
1830743.03
Page 19 of 21

MWPL value
as on March
30, 2006 (Rs.
crs.)

737.76
342.67
157.35
1967.22
1764.15
676.12
1629.91
1269.61
962.59
2231.62
2625.30
220.05
1166.63
521.58
727.96
117.52
2001.52
1074.67
413.64
109.04
9000.03
140.77
417.87
689.45
4381.08
102.95
72.39
321.70
369.35
100.26
138.71
134.23
170.23
2149.30
149.84
1757.10
378.27
544.00
75.22
1038.56
53.73
485.35
Derivatives Update April 2006

Sr.
No.

78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116

Name of the underlying on
which Futures and options
are available for trading

NDTV*
NEYVELILIG*
NICOLASPIR
NTPC
ONGC*
ORCHIDCHEM
ORIENTBANK*
PATNI*
PNB*
POLARIS*
PUNJLLOYD*
RANBAXY*
REL*
RELCAPITAL
RELIANCE
SATYAMCOMP*
SBIN
SCI*
SIEMENS
SRF
STAR*
STER*
SUNPHARMA*
SUZLON
SYNDIBANK*
TATACHEM*
TATAMOTORS
TATAPOWER*
TATASTEEL*
TATATEA*
TCS
TITAN*
TVSMOTOR*
UNIONBANK*
UTIBANK*
VIJAYABANK
VSNL*
WIPRO*
WOCKPHARMA*

Quarter Sigma
Order size for
the period
October 17, 2005
to April 13, 2006
(Rs.)
1143713.15
418581.63
715264.02
3972474.13
13100668.06
1542154.73
1422443.02
875460.03
2983715.25
1160990.44
1597458.67
8510638.25
3468276.09
12966180.66
25269372.70
15542340.73
17826500.01
715976.93
6804468.44
3507390.68
395829.32
1808364.38
1258885.94
11495739.83
1384126.02
1953663.04
13186636.62
2603217.19
11103037.57
1666536.86
10270372.17
12927471.93
621410.21
978716.87
1688336.84
543596.22
8575655.46
6470148.14
1157423.86

MWPL value
as on March
30, 2006 (Rs.
crs.)

134.62
93.80
147.72
1576.42
3601.10
364.52
249.08
333.59
866.33
171.00
494.44
2192.54
1211.37
810.03
10750.17
4715.42
4093.59
182.03
1664.86
256.17
142.78
786.47
455.44
2229.14
303.98
766.30
4507.50
1020.82
4228.16
688.80
3051.10
313.96
168.08
446.04
766.61
112.93
762.94
1909.05
287.63

*Non-promoter holding is as of post-issue
For all other securities non-promoter holding is as on December 31, 2005
F & O SEGMENT

Page 20 of 21

Derivatives Update April 2006

National Stock Exchange of India Ltd
Exchange Plaza,
Bandra Kurla Complex,
Bandra East,
Mumbai 400 051
Tel
: 91-22-2659 8100 / 5641 8100
Futures & Options Market Watch:
Tel
: 91-22-2659 8151 / 2659 8152
Fax : 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 the
written 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 sell
or a solicitation to buy any securities and / or derivatives contracts. Investors must make their own investment decision based
on their own investment objectives, goals and financial position and based on their own analysis.