60 per cent rollover seen

DERIVATIVES REPORT

Close to 55-60 per cent of the positions in stock futures were rolled over to the February series on Thursday on the maturity of the January series. This indicates that traders are not confident of a significant jump in stock prices ahead.

Past several months have witnessed a rollover of more than 85 per cent in most stocks, thus creating a sense of nervousness in the mind of the investors'. Cost of carry (finance cost) fell across stock futures.

Meanwhile, the National Stock Exchange's future & option segment clocked a turnover of Rs 20,548 crore on Thursday compared with a record turnover of Rs 21,921 crore registered on Wednesday. Hectic activity was witnessed in Nifty February 2004 futures.

The turnover in Nifty February 2004 futures rose sharply to Rs 2,500 crore from Wednesday's Rs 1,741 crore.

The Nifty February 2004 futures ended at 1,863, a premium to the spot Nifty closing of 1,843.60. The open interest in Nifty February 2004 futures rose sharply to 67.43 lakh from Wednesday's 47.05 lakh.

Nifty January 2004 futures also ended at a discount to the spot. Nifty January 2004 futures ended at 1,843 compared with the spot Nifty closing of 1,843.60. The implied volatility in calls in Nifty basis fell during the day.

Meanwhile, February futures of Tata Steel and Reliance Industries witnessed huge build-up of positions. The open interest in Tata Steel February 2004 futures at the end of Thursday's trading was a huge 1.14 crore shares.

The open interest in February 2004 futures of RIL was 58.37 lakh shares.