GENERAL MANAGER
SECONDARY MARKET DEPARTMENT
SMD/DC/Cir-12/02
May 13, 2002
The Chief Executive Officers of
Derivatives Segment of BSE and its Clearing House and
The F&O Segment of NSE and its Clearing Corporation
Re: Format of the Monthly Reporting Format
Dear Sir,
The format of the Monthly Activity Report (MAR) is enclosed in Annexure A for the trading and settlement activities for the Derivatives / F&O segment at the exchange.
You are requested to submit the MAR as per the enclosed format from the month of May 2002 onwards latest by the 7th of the following month.
Yours sincerely,
P. K. BINDLISH
Encl. Format of Monthly Activity Report for the Derivatives / F&O Segment
MONTHLY ACTIVITY REPORT
TABLE OF CONTENTS
I) TRADING STATISTICS: * 1) Summary of trading in Derivatives for the year ---------- *
2) Trading Statistics for the month of --------------------------- *
3) Cash market total volumes (in Rs. crores) during the month and comparison of the same with the derivative market volumes (in Rs. crores) during the month, in percentage. *
4) Comparison of volumes in Futures vis a vis Options during the month. *
5) Volume contribution from various participants in the market: *
6) Comparison of Volumes in the derivatives market with the volumes in the underlying market during the month __ *
II) PRICE SCANNING RANGE DURING THE PREVIOUS MONTH: *
III) COMPLIANCE OF THE ELIGIBILITY CRITERIA OF THE STOCKS ON WHICH FUTURES AND OPTIONS ARE TRADED: *
IV) MEMBER AND FII REGISTRATION DETAILS: *
V) INSPECTIONS CONDUCTED: *
VI) INVESTOR EDUCATION PROGRAMS: *
VII) CERTIFICATION PROGRAMS: *
VIII) INVESTOR COMPLAINTS IN THE DERIVATIVES SEGMENT: *
IX) ARBITRATION IN THE DERIVATIVES SEGMENT: *
-
- TRADING STATISTICS:
- Summary of trading in Derivatives for the year ----------
| Month |
Index Futures |
Index Options |
Stock Options |
Single Stock Futures |
Total Trading |
| |
No. of Contracts |
Value of contracts |
No. of Contracts |
Value of contracts |
No. of Contracts |
Value of contracts |
No. of Contracts |
Value of contracts |
No. of Contracts |
Value of contracts |
|
Apr-01
|
|
|
|
|
|
|
|
|
|
|
|
May-01
|
|
|
|
|
|
|
|
|
|
|
|
Jun-01
|
|
|
|
|
|
|
|
|
|
|
|
Jul-01
|
|
|
|
|
|
|
|
|
|
|
|
Aug-01
|
|
|
|
|
|
|
|
|
|
|
|
Sep-01
|
|
|
|
|
|
|
|
|
|
|
|
Oct-01
|
|
|
|
|
|
|
|
|
|
|
|
Nov-01
|
|
|
|
|
|
|
|
|
|
|
|
Dec-01
|
|
|
|
|
|
|
|
|
|
|
|
Jan-02
|
|
|
|
|
|
|
|
|
|
|
|
Feb-02
|
|
|
|
|
|
|
|
|
|
|
|
Mar-02
|
|
|
|
|
|
|
|
|
|
|
|
Apr-02
|
|
|
|
|
|
|
|
|
|
|
|
May-02
|
|
|
|
|
|
|
|
|
|
|
-
-
- Trading Statistics for the month of ---------------------------
| Type of Derivative Contract |
|
Number of Trades |
Total No. of contracts Traded |
Total Value of Contracts Traded (Rs. Crores) |
Average No. of contracts traded |
Average Trading Value in Rs. crores |
Average Open Interest (No. of Contracts) |
Average Value of Open Interest (Rs. Crores) |
Total no. of contracts assigned |
Total Value of contracts assigned / expired (in Rs. crores) |
| |
|
|
|
|
|
|
|
|
Interim Assignments |
Final Assignments / Expiry |
|
| Index Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
| Index Option Contracts |
|
|
|
|
|
|
|
|
|
|
|
| Stock Option Contracts |
|
|
|
|
|
|
|
|
|
|
|
| Associated Cement Co Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Associated Cement Co Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Associated Cement Co Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Bajaj Auto Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Bajaj Auto Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Bajaj Auto Ltd |
Futures |
|
|
|
|
|
|
|
|
|
|
| Bharat Petroleum Corp |
Calls |
|
|
|
|
|
|
|
|
|
|
| Bharat Petroleum Corp |
Puts |
|
|
|
|
|
|
|
|
|
|
| Bharat Petroleum Corp |
Futures |
|
|
|
|
|
|
|
|
|
|
| BHEL |
Calls |
|
|
|
|
|
|
|
|
|
|
| BHEL |
Puts |
|
|
|
|
|
|
|
|
|
|
| BHEL |
Futures |
|
|
|
|
|
|
|
|
|
|
| BSES Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| BSES Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| BSES Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Cipla Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Cipla Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Cipla Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Digital Equipment (I) Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Digital Equipment (I) Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Digital Equipment (I) Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Dr.Reddy’s Laboratories |
Calls |
|
|
|
|
|
|
|
|
|
|
| Dr.Reddy’s Laboratories |
Puts |
|
|
|
|
|
|
|
|
|
|
| Dr.Reddy’s Laboratories |
Futures |
|
|
|
|
|
|
|
|
|
|
| Grasim Industries Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Grasim Industries Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Grasim Industries Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Gujarat Ambuja Cement Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Gujarat Ambuja Cement Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Gujarat Ambuja Cement Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Hindustan Lever Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Hindustan Lever Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Hindustan Lever Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Hindustan Petroleum Corp |
Calls |
|
|
|
|
|
|
|
|
|
|
| Hindustan Petroleum Corp |
Puts |
|
|
|
|
|
|
|
|
|
|
| Hindustan Petroleum Corp |
Futures |
|
|
|
|
|
|
|
|
|
|
| Hindalco Industries Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Hindalco Industries Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Hindalco Industries Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| HDFC Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| HDFC Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| HDFC Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| ICICI Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| ICICI Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| ICICI Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Infosys Technologies Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Infosys Technologies Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Infosys Technologies Ltd |
Futures |
|
|
|
|
|
|
|
|
|
|
| ITC Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| ITC Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| ITC Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Larsen & Toubro Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Larsen & Toubro Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Larsen & Toubro Ltd |
Futures |
|
|
|
|
|
|
|
|
|
|
| Mahindra & Mahindra Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Mahindra & Mahindra Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Mahindra & Mahindra Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| MTNL Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| MTNL Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| MTNL Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Ranbaxy Labs Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Ranbaxy Labs Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Ranbaxy Labs Ltd |
Futures |
|
|
|
|
|
|
|
|
|
|
| Reliance Petroleum Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Reliance Petroleum Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Reliance Petroleum Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Reliance Industries Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Reliance Industries Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Reliance Industries Ltd |
Futures |
|
|
|
|
|
|
|
|
|
|
| Satyam Computer Services |
Calls |
|
|
|
|
|
|
|
|
|
|
| Satyam Computer Services |
Puts |
|
|
|
|
|
|
|
|
|
|
| Satyam Computer Services |
Futures |
|
|
|
|
|
|
|
|
|
|
| State Bank Of India |
Calls |
|
|
|
|
|
|
|
|
|
|
| State Bank Of India |
Puts |
|
|
|
|
|
|
|
|
|
|
| State Bank Of India |
Futures |
|
|
|
|
|
|
|
|
|
|
| Sterlite Optical Technology |
Calls |
|
|
|
|
|
|
|
|
|
|
| Sterlite Optical Technology |
Puts |
|
|
|
|
|
|
|
|
|
|
| Sterlite Optical Technology |
Futures |
|
|
|
|
|
|
|
|
|
|
| Telco Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Telco Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Telco Ltd |
Futures |
|
|
|
|
|
|
|
|
|
|
| Tata Power Co. Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Tata Power Co. Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Tata Power Co. Ltd |
Futures |
|
|
|
|
|
|
|
|
|
|
| Tisco Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Tisco Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Tisco Ltd. |
Futures |
|
|
|
|
|
|
|
|
|
|
| Tata Tea Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Tata Tea Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Tata Tea Ltd |
Futures |
|
|
|
|
|
|
|
|
|
|
| Videsh Sanchar Nigam Ltd. |
Calls |
|
|
|
|
|
|
|
|
|
|
| Videsh Sanchar Nigam Ltd. |
Puts |
|
|
|
|
|
|
|
|
|
|
| Videsh Sanchar Nigam Ltd |
Futures |
|
|
|
|
|
|
|
|
|
|
- Cash market total volumes (in Rs. crores) during the month and comparison of the same with the derivative market volumes (in Rs. crores) during the month, in percentage.
- Comparison of volumes in Futures vis a vis Options during the month.
- volume contribution from various participants in the market:
| Particulars |
Index Futures |
Index Options |
Stock Options |
Single Stock Futures |
| |
In Rs. crores |
In % of total |
In Rs. crores |
In % of total |
In Rs. crores |
In % of total |
In Rs. crores |
In % of total |
| Client Trading |
|
|
|
|
|
|
|
|
| Proprietary Trading |
|
|
|
|
|
|
|
|
| FII Trading |
|
|
|
|
|
|
|
|
-
-
- Comparison of Volumes in the derivatives market with the volumes in the underlying market during the month __
| Particulars |
Monthly Volumes in futures (in Rs. crores) |
Monthly Volumes in Options (in Rs. crores) |
Total Monthly Volumes in the Derivatives Market ( in Rs. crores) |
Total Monthly Volumes in underlying (in Rs. crores) |
Futures and Option volumes Vs. cash market volume (%) |
| Associated Cement Co Ltd. |
|
|
|
|
|
| Bajaj Auto Ltd. |
|
|
|
|
|
| Bharat Petroleum Corp |
|
|
|
|
|
| BHEL |
|
|
|
|
|
| BSES Ltd. |
|
|
|
|
|
| Cipla Ltd. |
|
|
|
|
|
| Digital Equipment (I) Ltd. |
|
|
|
|
|
| Dr.Reddy’s Laboratories |
|
|
|
|
|
| Grasim Industries Ltd. |
|
|
|
|
|
| Gujarat Ambuja Cement Ltd. |
|
|
|
|
|
| Hindustan Lever Ltd. |
|
|
|
|
|
| Hindustan Petroleum Corp |
|
|
|
|
|
| Hindalco Industries Ltd. |
|
|
|
|
|
| HDFC Ltd. |
|
|
|
|
|
| ICICI Ltd. |
|
|
|
|
|
| Infosys Technologies Ltd. |
|
|
|
|
|
| ITC Ltd. |
|
|
|
|
|
| Larsen & Toubro Ltd. |
|
|
|
|
|
| Mahindra & Mahindra Ltd. |
|
|
|
|
|
| MTNL Ltd. |
|
|
|
|
|
| Ranbaxy Labs Ltd. |
|
|
|
|
|
| Reliance Petroleum Ltd. |
|
|
|
|
|
| Reliance Industries Ltd. |
|
|
|
|
|
| Satyam Computer Services |
|
|
|
|
|
| State Bank Of India |
|
|
|
|
|
| Sterlite Optical Technology |
|
|
|
|
|
| Telco Ltd. |
|
|
|
|
|
| Tata Power Co. Ltd. |
|
|
|
|
|
| Tisco Ltd. |
|
|
|
|
|
| Tata Tea Ltd. |
|
|
|
|
|
| Videsh Sanchar Nigam Ltd. |
|
|
|
|
|
-
- PRICE SCANNING RANGE DURING THE PREVIOUS MONTH:
| Name of the underlying |
Average scanning range (in % terms) |
Maximum scanning range (in % terms) |
Minimum scanning range (in % terms) |
| Index |
|
|
|
| Associated Cement Co Ltd. |
|
|
|
| Bajaj Auto Ltd. |
|
|
|
| Bharat Petroleum Corp |
|
|
|
| BHEL |
|
|
|
| BSES Ltd. |
|
|
|
| Cipla Ltd. |
|
|
|
| Digital Equipment (I) Ltd. |
|
|
|
| Dr.Reddy’s Laboratories |
|
|
|
| Grasim Industries Ltd. |
|
|
|
| Gujarat Ambuja Cement Ltd. |
|
|
|
| Hindustan Lever Ltd. |
|
|
|
| Hindustan Petroleum Corp |
|
|
|
| Hindalco Industries Ltd. |
|
|
|
| HDFC Ltd. |
|
|
|
| ICICI Ltd. |
|
|
|
| Infosys Technologies Ltd. |
|
|
|
| ITC Ltd. |
|
|
|
| Larsen & Toubro Ltd. |
|
|
|
| Mahindra & Mahindra Ltd. |
|
|
|
| MTNL Ltd. |
|
|
|
| Ranbaxy Labs Ltd. |
|
|
|
| Reliance Petroleum Ltd. |
|
|
|
| Reliance Industries Ltd. |
|
|
|
| Satyam Computer Services |
|
|
|
| State Bank Of India |
|
|
|
| Sterlite Optical Technology |
|
|
|
| Telco Ltd. |
|
|
|
| Tata Power Co. Ltd. |
|
|
|
| Tisco Ltd. |
|
|
|
| Tata Tea Ltd. |
|
|
|
| Videsh Sanchar Nigam Ltd. |
|
|
|
- COMPLIANCE OF THE ELIGIBILITY CRITERIA OF THE STOCKS ON WHICH FUTURES AND OPTIONS ARE TRADED:
| Name of the stock |
Maximum Volatility < 4 times the Index Volatility |
Non-Promoter Holding > 30% |
Trading Frequency > 90% in last 6 months |
Free Float Market Capitalisation > Rs. 750 crores |
Average Daily traded volume in the underlying market > Rs. 5 crores |
All Criteria applied together |
| Associated Cement Co Ltd. |
|
|
|
|
|
|
| Bajaj Auto Ltd. |
|
|
|
|
|
|
| Bharat Petroleum Corp |
|
|
|
|
|
|
| BHEL |
|
|
|
|
|
|
| BSES Ltd. |
|
|
|
|
|
|
| Cipla Ltd. |
|
|
|
|
|
|
| Digital Equipment (I) Ltd. |
|
|
|
|
|
|
| Dr.Reddy’s Laboratories |
|
|
|
|
|
|
| Grasim Industries Ltd. |
|
|
|
|
|
|
| Gujarat Ambuja Cement Ltd. |
|
|
|
|
|
|
| Hindustan Lever Ltd. |
|
|
|
|
|
|
| Hindustan Petroleum Corp |
|
|
|
|
|
|
| Hindalco Industries Ltd. |
|
|
|
|
|
|
| HDFC Ltd. |
|
|
|
|
|
|
| ICICI Ltd. |
|
|
|
|
|
|
| Infosys Technologies Ltd. |
|
|
|
|
|
|
| ITC Ltd. |
|
|
|
|
|
|
| Larsen & Toubro Ltd. |
|
|
|
|
|
|
| Mahindra & Mahindra Ltd. |
|
|
|
|
|
|
| MTNL Ltd. |
|
|
|
|
|
|
| Ranbaxy Labs Ltd. |
|
|
|
|
|
|
| Reliance Petroleum Ltd. |
|
|
|
|
|
|
| Reliance Industries Ltd. |
|
|
|
|
|
|
| Satyam Computer Services |
|
|
|
|
|
|
| State Bank Of India |
|
|
|
|
|
|
| Sterlite Optical Technology |
|
|
|
|
|
|
| Telco Ltd. |
|
|
|
|
|
|
| Tata Power Co. Ltd. |
|
|
|
|
|
|
| Tisco Ltd. |
|
|
|
|
|
|
| Tata Tea Ltd. |
|
|
|
|
|
|
| Videsh Sanchar Nigam Ltd. |
|
|
|
|
|
|
- MEMBER AND FII REGISTRATION DETAILS:
| Type of Member |
No. registered upto previous month |
No. Registered during theMonth |
No. disconti-nued during the month |
Total No. Registered |
Total No. of Active Members |
| Trading Members |
|
|
|
|
|
| Trading cum Clearing Members |
|
|
|
|
|
| Self Trading cum Clearing Members |
|
|
|
|
|
| Professional Clearing Members |
|
|
|
|
|
| FIIs approved by Exchanges for trading Derivatives |
|
|
|
|
|
Comments on volume contribution by various class of Traders/Investors:
- INSPECTIONS CONDUCTED:
| Member type |
No. Registered |
No. Inspected during the month |
Total Inspected during the year |
| Trading Members |
|
|
|
| Trading cum Clearing Members |
|
|
|
| Self Trading cum Clearing Members |
|
|
|
| Professional Clearing Members |
|
|
|
- INVESTOR EDUCATION PROGRAMS:
| Region |
No. of Investor Education Programs held upto previous month in the year |
No. of Investor Education Programs held during the month |
Total Investor Education Programs conducted in the year |
| Northern Region |
|
|
|
| Southern Region |
|
|
|
| Western Region |
|
|
|
| Eastern Region |
|
|
|
- CERTIFICATION PROGRAMS:
| Month |
No.certified at the end of the previous month |
No. Certified during the month |
Total no. Certified |
| |
|
|
|
| |
|
|
|
| |
|
|
|
- INVESTOR COMPLAINTS IN THE DERIVATIVES SEGMENT:
| Pending at the beginning of the month |
Received during the month |
Resolved during the month |
Pending at the end of the month |
| |
|
|
|
- ARBITRATION IN THE DERIVATIVES SEGMENT:
| Pending at the beginning of the month |
Received during the month |
Resolved during the month |
Pending at the end of the month |
| |
|
|
|