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A STUDY ON THE YEAR WISE PERFORMANCE OF DERIVATIVES, SINCE THEIR INCEPTION, IN INDIAN

CONTEXT, UNDER NSE

TABLE OF CONTENTS

Chapter No Contents

1 CHAPTER-1 INTRODUCTION

Industrial profile Statement of problems Need for the study Objectives of the study Scope of the study Limitations of the study

2 CHAPTER-2 INDUSTRY PROFILE AND COMPANY

PROFILE

Derivatives market Clearing and settlement(F&O) Plan of action Period of study Research design Descriptive research Sources of data

3 CHAPTER-4 ANALYSIS AND INTERPRETATION OF

DATA

4 CHAPTER-5 SUMMARY OF FINDINGS,

SUGGESTIONS, AND CONCLUSIONS

BIBLIOGRAPHY

ANNEXURE

1

2

INTRODUCTION

The emergence of the market for derivative products, most notably forwards, futures and

options, can be based on the willingness of the risk-averse economic agents to guard against

themselves against uncertainties arising out of fluctuations in asset prices. By nature, the

financial markets are marked by a very high degree of volatility. Derivatives are used to

partially or fully transfer the price risks by locking-in asset price. Derivative products

minimize the impact of fluctuations in asset prices on the profitability and cash flow situation

of risk-averse investors.

A Derivative includes: -

a. A security derived from a debt instrument, share, loan, whether secured or unsecured,

risk instrument or contract for differences or any other form of security.

b. A contract which derives its value from the prices, or index of prices, of underlying

securities.

Derivative products initially emerged as hedging devices against fluctuations in

Commodity prices and commodity-linked derivatives remained the sole form of such

products for almost three hundred years. Financial derivatives came into spotlight in the

post-1970 period due to growing instability in the financial markets. However, since their

emergence, these products have become very popular and by 1990s, they accounted for about

two-thirds of total transactions in derivative products.

In recent years, the market for financial derivatives has grown tremendously in terms of

variety of instruments available, their complexity and also turnover. In the class of equity

derivatives the world over, futures and options on stock indices have gained more popularity

than on individual stocks, especially among institutional investors, who are major users of

index-linked derivatives. Even small investors find these useful due to high correlation of the

popular indexes with various portfolios and ease of use. The lower costs associated with

index derivatives vis-à-vis derivative products based on individual securities is another

reason for their growing use.

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RESEARCH DESIGNStatement of Problem

Derivatives market was started in India in the year 2000-01. The basic problem

identified was about the Performance Evaluation of Derivatives in the Indian market

pertaining to NSE and to list various companies participating in the Future and option

market. The study includes evaluation of different types of Futures and Options data by

taking separately. It also gives a brief idea about the functioning of the derivatives market, its

procedure and various products available in derivative market.

Though there is a gradual growth in the derivative market from the beginning, there is

a fall in its performance at this point of time due to recession. So this study helps in

evaluating the performance of derivatives.

NEED FOR THE STUDY

The project conducted at Geojit Financial Services Ltd, is basically carried out to

study the functioning of the derivative market. The main intension of the project is to

evaluate the performance of the derivative market in the Indian context and to list all the

participants of future and option market. It helps to know about the functioning of futures

and options in detail.

OBJECTIVES OF THE STUDY To study the growth and analysis on performance of derivative market in India pertaining

to NSE.

To know about the functioning of Futures and options.

To study the functioning of derivative market in India pertaining to NSE.

To list all the product of Futures and Option in the stock market.

Based on the findings, conclusions and suggestions are drawn.

SCOPE OF THE STUDY

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1. To analyze the growth in the derivative market from the beginning of its trading i.e

from 2000-01 in NSE.

2. The study also covers the functioning of the derivative market in India pertaining to

NSE.

3. And to list all the products of Index Futures, Index Option, Stock Futures and the

Stock Options.

LIMITATIONS OF THE STUDY

The study involves certain limitations and some of those limitations are:

The study is restricted to the, Performance evaluation of derivative market in the

Indian context pertaining to NSE.

The study is limited only for the NSE, as the information is taken from NSE.

The research is carried out only based on the information furnished by the company.

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6

INDUSTRY PROFILE

DERIVATIVES MARKET Stock Exchanges

Stock exchanges are the physical locations where stocks are bought and sold. They

are the sisters of the Over-The-Counter (OTC) market. The OTC refers to market in which

securities transactions are conducted through a telephone and computer networks connecting

dealers in stocks and bonds, rather than on the floor of an exchange. Together, these two

markets form the secondary market. The primary and secondary markets together form the

stock market.

Trading in derivatives of securities commenced in June 2000 with the enactment of

enabling legislation in early 2000. Derivatives are formally defined to include: (a) a security

derived from a debt instrument, share, loan whether secured or unsecured, risk instrument or

contract for differences or any other form of security, and (b) a contract which derives its

value from the prices, or index of prices, or underlying securities. Derivatives trading in

India are legal and valid only if such contracts are traded on a recognized stock exchange,

thus precluding OTC derivatives.

Derivatives trading commenced in India in June 2000 after SEBI granted the approval

to this effect in May 2000. SEBI permitted the derivative segment of two stock exchanges,

i.e. NSE and BSE, and their clearing house/corporation to commence trading and settlement

in approved derivative contracts.

To begin with, SEBI approved trading in index futures contracts based on S&P CNX

Nifty Index and BSE-30 (Sensex) Index. This was followed by approval for trading in

options based on these two indices and options on individual securities. The derivatives

trading on the NSE commenced with S&P CNX Nifty Index futures on June 12, 2000. The

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trading in S&P CNX Nifty Index options commenced on June 4, 2001 and trading in options

on individual securities commenced on July 2, 2001. Single stock futures were launched on

November 9, 2001. In June 2003, SEBI-RBI approved the trading on interest rate derivative

instruments.

At NSE, Index futures and options are available on Indices-S&P CNX Nifty, CNX IT

Index, Bank Nifty Index, CNX Nifty Junior, CNX 100, Nifty Midcap 50. Single stock

futures and options are available on more than 200 stocks. India is one of the largest markets

in the world for single stock futures.

The Mini derivative Futures & Options contract on S&P CNX Nifty was introduced

for trading on January 1, 2008 while the long term option contracts on S&P CNX Nifty were

introduced for trading on March 3, 2008.

DERIVATIVES

Derivative is a product whose value is derived from the value of one or more basic

variables, called bases (underlying asset, index, or reference rate), in a contractual manner.

The underlying asset can be equity, forex, commodity or any other asset. For example, wheat

farmers may wish to sell their harvest at a future date to eliminate the risk of a change in

prices by that date. Such a transaction is an example of a derivative. The price of this

derivative is driven by the spot price of wheat which is the "underlying".

The derivatives market performs a number of economic functions. First, prices in an

organized derivatives market reflect the perception of market participants about the future

and lead the prices of underlying to the perceived future level. The prices of derivatives

converge with the prices of the underlying at the expiration of the derivative contract. Thus,

derivatives help in discovery of future as well as current prices. Second, the derivatives

market helps to transfer risks from those who have them but may not like them to those who

have an appetite for them. Third, derivatives, due to their inherent nature, are linked to the

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underlying cash markets with the introduction of derivatives, the underlying market

witnesses’ higher trading volumes because of participation by more players who would not

otherwise participate for lack of an arrangement to transfer risk. Fourth, speculative trades

shift to a more controlled environment of derivatives market. In the absence of an organized

derivatives market, speculators trade in the underlying cash markets. Margining, monitoring

and surveillance of the activities of various participants become extremely difficult in these

kinds of mixed markets. Fifth, an important incidental benefit that flows from derivatives

trading is that it acts as a catalyst for new entrepreneurial activity.

The derivatives have a history of attracting many bright, creative, well educated

people with an entrepreneurial attitude. They often energies others to create new businesses,

new products and new employment opportunities, the benefit of which are immense. Finally,

derivatives markets help increase savings and investment in the long run. Transfer of risk

enables market participants to expand their volume of activity.

Derivatives Market in India The first step towards introduction of derivatives trading in India was the

promulgation of the Securities Laws (Amendment) Ordinance, 1995, which withdrew the

prohibition on options in securities. The market for derivatives, however did not take off, as

there was no regulatory framework to govern trading of derivatives. SEBI set up a 24-

member committee under the chairmanship of Dr. L.C. Gupta on November 18, 1996 to

develop appropriate regulatory framework for derivatives trading in India. The committee

submitted its report on March 17, 1998 prescribing necessary preconditions for introduction

of derivatives trading in India. The committee recommended that derivatives should be

declared as ‘securities’ so that regulatory framework applicable to trading of ‘securities’

could also govern trading of securities. SEBI also set up a group in June 1998 under the

chairmanship of Prof. J. R. Varma, to recommend measures for risk containment in

derivatives market in India. The report, which was submitted in October 1998, worked out

the operational details of margining system, methodology for charging initial margins, broker

net worth, deposit requirement and real-time monitoring requirements. The SCRA was

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amended in December 1999 to include derivatives within the ambit of ‘securities’ and the

regulatory framework were developed for governing derivatives trading. The act also made it

clear that derivatives shall be legal and valid only if such contracts are traded on a recognized

stock exchange, thus precluding OTC derivatives. The government also rescinded in March

2000, the three-decade old notification, which prohibited forward trading in securities.

Derivatives trading commenced in India in June 2000 after SEBI granted the final

approval to this effect in May 2000. SEBI permitted the derivatives segments of two stock

exchanges NSE and BSE, and their clearing house corporation to commence trading and

settlement in approved derivatives contracts. To begin with, SEBI approved trading in index

futures contracts based on S&P CNX Nifty and BSE-30 (Sensex) index. This was followed

by approval for trading in options which commenced in June 2001 and the trading in options

on individual securities commenced in July 2001. Futures contracts on individual stocks

were launched in November 2001. Futures and Options contracts on individual securities are

available on more than 200 securities. Trading and settlement in derivative contracts is done

in accordance with the rules, byelaws, and regulations of the respective exchanges and their

clearing house/ corporation duly approved by SEBI and notified in the official gazette.

Factors Driving the Growth of the Derivatives Over the last three decades, the derivatives market has seen a phenomenal growth. A

large variety of derivative contracts have been launched at exchanges across the world. Some

of the factors driving the growth of financial derivatives are:

1. Increased volatility in asset prices in financial markets.

2. Increased integration of national financial markets with the international markets.

3. Marked improvement in communication facilities and sharp decline in their costs.

4. Development of more sophisticated risk management tools, providing economic agents a

wider choice of risk management strategies, and

5. Innovations in the derivatives markets, which optimally combine the risks and returns over

a large number of financial assets leading to higher returns, reduced risk as well as

transactions costs as compared to individual financial assets.

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Participants in the Derivative Market The following three broad categories of participants - hedgers, speculators, and

arbitrageurs trade in the derivatives market. Hedgers face risk associated with the price of an

asset. They use futures or options markets to reduce or eliminate this risk. Speculators wish

to bet on future movements in the price of an asset. Futures and options contracts can give

them an extra leverage; that is, they can increase both the potential gains and potential losses

in a speculative venture. Arbitrageurs are in business to take advantage of a discrepancy

between prices in two different markets. If, for example, they see the futures price of an asset

getting out of line with the cash price, they will take offsetting positions in the two markets

to lock in a profit.

NSE's Derivatives MarketThe derivatives trading on the NSE commenced with S&P CNX Nifty Index futures

on June 12, 2000. The trading in index options commenced on June 4, 2001 and trading in

options on individual securities commenced on July 2, 2001. Single stock futures were

launched on November 9, 2001. Today, both in terms of volume and turnover, NSE is the

largest derivatives exchange in India. Currently, the derivatives contracts have a maximum

of 3-month expiration cycles. Three contracts are available for trading, with 1 month, 2

months and 3 months expiry. A new contract is introduced on the next trading day following

the expiry of the near month contract.

Participants and functionsNSE admits members on its derivatives segment in accordance with the rules and

regulations of the exchange and the norms specified by SEBI. NSE follows 2-tier

membership structure stipulated by SEBI to enable wider participation. Those interested in

taking membership on F&O segment are required to take membership of CM and F&O

segment or CM, WDM and F&O segment. Trading and clearing members are admitted

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separately. Essentially, a clearing member (CM) does clearing for all his trading members

(TMs), undertakes risk management and performs actual settlement. There are three types of

CMs:

• Self Clearing Member: A SCM clears and settles trades executed by him only either on his

own account or on account of his clients.

• Trading Member Clearing Member: TM-CM is a CM who is also a TM. TM-CM may

clear and settle his own proprietary trades and client's trades as well as clear and settle for

other TMs.

• Professional Clearing Member PCM is a CM who is not a TM. Typically, banks or

custodians could become a PCM and clear and settle for TMs. The TM-CM and the PCM are

required to bring in additional security deposit in respect of every TM whose rates they

undertake to clear and settle. Besides this, trading members are required to have qualified

users and sales persons, who have passed a certification programme approved by SEBI.

Trading mechanism The futures and options trading system of NSE, called NEAT-F&O trading system,

provides a fully automated screen-based trading for Index futures & options and Stock

futures & options on a nationwide basis and an online monitoring and surveillance

mechanism. It supports an anonymous order driven market which provides complete

transparency of trading operations and operates on strict price-time priority. It is similar to

that of trading of equities in the Cash Market (CM) segment. The NEAT-F&O trading

system is accessed by two types of users. The Trading Members (TM) have access to

functions such as order entry, order matching, and order and trade management. It provides

tremendous flexibility to users in terms of kinds of orders that can be placed on the system.

Various conditions like Immediate or Cancel, Limit/Market price, Stop loss, etc. can be built

into an order. The Clearing Members (CM) uses the trader workstation for the purpose of

monitoring the trading member(s) for whom they clear the trades. Additionally, they can

enter and set limits to positions, which a trading member can take.

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Derivative Products Derivative is the product whose value is derived from the value of one or more basic

variables called Underlying assets. The underlying asset can be equity, forex, commodity, or

any other asset. Derivative contracts have several variants. The most common variants are:

Forwards: A Forward contract is a customized contract between two entities, where

settlement takes place on a specific date in the future at today’s agreed price.

Futures: A Future contract is an agreement between two parties to buy or sell an asset at a

certain price. Future contract are a standardized contract.

Options: Options are of two types – call and put. Call option gives the buyer a right but not

the obligation to buy a given quantity of the underlying asset, at a given price on or before a

given future date. Put option gives the seller, a right but not an obligation to sell a given

quantity of the underlying asset at a given price on or before a given date.

Warrants: Options generally have lives of upto one year, the majority of options traded on

options exchanges having a maximum maturity of nine months. Longer-dated options are

called warrants and are generally traded over-the counter.

LEAPS: The LEAP means Long-Term Equity Anticipation Securities. These are options

having a maturity of up to three years.

Baskets: Basket options are option on portfolio of underlying assets. The underlying asset is

usually a moving average of a basket of assets. Equity index options are a form of basket

options.

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Swaps: Swaps are private agreements between two parties to exchange cash flows in the

future according to a prearranged formula. They can be regarded as portfolios of forward

contracts. The two commonly used swaps are:

Interest rate swaps: These entail swapping only the interest related cash flows

between the parties in the same currency.

Currency swaps: These entail swapping both principal and interest between the

parties, with the cash flows in one direction being in a different currency than those in

the opposite direction.

Swaptions: Swaptions are options to buy or sell a swap that will become operative at the

expiry of the options. Thus a swaption is an option on a forward swap. Rather than have calls

and puts, the swaptions market has receiver swaptions and payer swaptions. A receiver

swaption is an option to receive fixed and pay floating. A payer swaption is an option to pay

fixed and receive floating.

Introduction to Futures and Options

Though Derivatives has different variants like, forwards, futures, options, swaps,

swaptions, warrants, LEAPS, etc. the most commonly used derivatives are Futures and

Options. Here is the brief introduction about the futures and options.

FUTURES

A futures contract is an agreement between two parties to buy or sell an asset at a

certain time in the future at a certain price. But unlike forward contracts, the futures contracts

are standardized and exchange traded. To facilitate liquidity in the futures contracts, the

exchange specifies certain standard features of the contract. It is a standardized contract with

standard underlying instrument, a standard quantity and quality of the underlying instrument

that can be delivered and a standard timing of such settlement. A futures contract may be

offset prior to maturity by entering into an equal and opposite transaction. More than 99% of

futures transactions are offset this way.

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The standardized items in a futures contract are:

o Quantity of the underlying

o Quality of the underlying

o The date and the month of delivery

o The units of price quotation and minimum price change

o Location of settlement

Futures Trading Futures contracts are purchased when the investor expects the price of the underlying

security to rise. This is known as going long. Because he has purchased the obligation to buy

goods at the current price, the holder will profit if the price goes up, allowing him to sell his

futures contract for a profit or take delivery of the goods on the future date at the lower price.

The opposite of going long is going short. In case, the holder acquires the obligation

to sell the underlying commodity at the current price. He will profit if the price declines

before the future date.

Hedgers trade futures for the purpose of keeping price risk in check. Because the

price for a future transaction can be set in the present, the fluctuations in the interim can be

avoided. If the price goes up, the holder will be buying at a discount. If the price goes down,

he will miss out on the new lower price. Hedging with futures can even be used to protect

against unfavorable interest rate adjustment.

While hedgers attempt to avoid risk, speculators seek it out in the hope of turning a

profit when prices fluctuate. Speculators trade purely for the purpose of making a profit and

15

never intend to take delivery on goods. Like options, futures contracts can also be used to

create spread that profit from price fluctuations.

Accounts used to trade futures must be settled with respect to the margin on a daily

basis. Gain and losses are tallied on the day that they occur. Margin accounts that fall below

a certain level must be credited with additional funds.

Settling Futures Contracts Futures contracts are usually not settled with physical delivery. The purchase or

sale of an offsetting position can be used to settle an existing position, allowing the

speculator or hedger to realize profits or losses from the original contract. At this point the

margin balance is returned to the holder along with any additional gains, or the margin

balance plus profit as a credit toward the holder's loss. Cash settlement is used for contracts

like stock index futures that obviously cannot result in delivery.

The purpose of the delivery option is to insure that the futures price and the cash price

of good converge at the expiration date. If this were not true, the good would be available at

two different prices at the same time. Traders could then make a risk-free profit by

purchasing goods in the market with the lower price and selling in the market with the higher

price. That strategy is called arbitrage. It allows some traders to profit from very small

differences in price at the time of expiration.

Pricing FuturesFutures prices are presented in the same format of cash market prices. When these

prices change, they must change by at least a certain minimum amount, called the tick. The

tick is set by the exchange.

Prices are also subject to a maximum daily change. These limits are also determined

by the exchange. Once a limit is reached, no trading is allowed on the other side of that limit

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for the duration of the session. Both lower and upper limits are in effect. Limits were

instituted to guard against particularly drastic fluctuations in the market.

In addition to these limits, there are also a maximum number of contracts for a given

commodity per person. This limit serves to prevent one investor from gaining such great

influence over the price that he can begin to control it.

Future Terminology

Spot price: The price at which an asset trades in the spot market.

Futures price: The price at which the futures contract trades in the futures market.

Contract cycle: The period over which a contract trades. The index futures contracts on

the NSE have one- month, two-month and three months expiry cycles which expire on the

last Thursday of the month. Thus a January expiration contract expires on the last Thursday

of January and a February expiration contract ceases trading on the last Thursday of

February. On the Friday following the last Thursday, a new contract having a three- month

expiry is introduced for trading.

Expiry date: It is the date specified in the futures contract. This is the last day on which

the contract will be traded, at the end of which it will cease to exist.

Contract size: The amount of asset that has to be delivered less than one contract. Also

called as lot size.

Basis: In the context of financial futures, basis can be defined as the futures price minus

the spot price. There will be a different basis for each delivery month for each contract. In a

normal market, basis will be positive. This reflects that futures prices normally exceed spot

prices.

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Cost of carry: The relationship between futures prices and spot prices can be

summarized in terms of what is known as the cost of carry. This measures the storage cost

plus the interest that is paid to finance the asset less the income earned on the asset.

Initial margin: The amount that must be deposited in the margin account at the time a

futures contract is first entered into is known as initial margin.

Marking-to-market: In the futures market, at the end of each trading day, the margin

account is adjusted to reflect the investor's gain or loss depending upon the futures closing

price. This is called marking-to-market.

Maintenance margin: This is somewhat lower than the initial margin. This is set to

ensure that the balance in the margin account never becomes negative. If the balance in the

margin account falls below the maintenance margin, the investor receives a margin call and

is expected to top up the margin account to the initial margin level before trading commences

on the next day.

To trade futures, a customer must open a futures trading account with a derivatives

broker. Buying futures involves putting in the margin money. They enable the futures traders

to take a position in the underlying security without having to open an account with a

securities broker. With the purchase of futures on a security, the holder essentially makes a

legally binding promise or obligation to buy the underlying security at maturity date in the

future. Security futures do not represent ownership in a corporation and the holder is

therefore not regarded as a shareholder.

A futures contract represents a promise to transact at some point in the future. In this

light, a promise to sell security is just as easy to make as a promise to buy security. Selling

security futures without previously owning them simply obligates the trader to selling a

certain amount of the underlying security at some point in the future. It can be done just as

easily as buying futures, which obligates the trader to buying a certain amount of the

underlying security the future date.

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Stock Futures Trading in stock futures commenced on the NSE from November 2001. These

contracts are cash settled on a T+1 basis. The expiration cycle for stock futures is the same as

for index futures, index options and stock options. A new contract is introduced on the

trading day following the expiry of the near month contract.

Index futuresNSE trade S&P CNX Nifty, CNX IT, BANK Nifty, CNX Nifty Junior, CNX 100,

Nifty Midcap 50 and Mini Nifty 50 futures contracts having one-month, two-month and

three- month expiry cycles. All contracts expire on the last Thursday of every month. Thus a

January expiration contract would expire on the last Thursday of January and a February

expiry contract would cease trading on the last Thursday of February. On the Friday

following the last Thursday, a new contract having a three- month expiry would be

introduced for trading.

Futures payoffFutures contracts have linear payoffs. In simple words, it means that the losses as well

as profits for the buyer and the seller of a futures contract are unlimited. These linear payoffs

are fascinating as they can be combined with options and the underlying to generate various

complex payoffs

Payoff for buyer of futures: Long futures

The payoff for a person who buys a futures contract is similar to the payoff for a

person who holds an asset. He has a potentially unlimited upside as well as a potentially

unlimited downside. Take the case of a speculator who buys a two month Nifty index futures

contract when the Nifty stands at 2220.

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The underlying asset in this case is the Nifty portfolio. When the index moves up, the

long futures position starts making profits, and when the index moves down it starts making

losses.

Payoff for seller of futures: Short futures

The payoff for a person who sells a futures contract is similar to the payoff for a person

who shorts an asset. He has a potentially unlimited upside as well as a potentially unlimited

downside. Take the case of a speculator who sells a two-month Nifty index futures contract

when the Nifty stands at 2220.

The underlying asset in this case is the Nifty portfolio. When the index moves down,

the short futures position starts making profits, and when the index moves up, it starts

making losses.

MARKET PARTICIPANTS IN A FUTURES MARKET:

HEDGERS, SPECULATORS AND ARBITRAGEURS

To be successful, a futures market basically needs to have two types of participants:

hedgers and speculator. The markets simply cannot exist without hedgers and the

speculators cannot then perform any economic function.

Hedging

Hedging is a mechanism to reduce price risk inherent in open positions. Derivatives

are widely used for hedging. A hedge can be help lock in existing profits. Its purpose is to

reduce the volatility of the portfolio, by reducing the risk.

Keep one thing in mind hedging is not mean maximization of the return. It only means

reducing the variation or volatility of the portfolio return. It is quite possible that the return

is higher in the absence of the hedge, but also is the possibility of a much lower return.

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Hedger is one who is engaged in a business activity where annual acceptable price risk

exists.

Hedging Ratio The hedge ratio is defined as the number of futures contracts required to buy or sell so

as to provide the maximum offset of risk. This depends on

Value of the futures contract.

Value of the portfolio to be hedge.

Sensitivity of the movement of the portfolio price to that of the index (called beta).

The hedge ratio is closely linked to the correlation between the asset (portfolio of

shares) to be hedged and underlying (Index) from which the future is derived.

Strategies for hedging

The basic logic in hedging “If long in cash underlying – short future and if short in

cash underlying – Long futures “Let us understands this by a simple example If you have

bought 100 shares of any company and want to hedge against the market movements, you

should short an appropriate amount of index futures. This will reduce your overall exposure

to events affecting the whole market. In case a war breaks out, the entire market will fall. So

your loss in that company would be offset by the gains in the short position in index futures.

Some important examples of where hedging strategies are useful

Reducing the equity exposure of mutual fund by selling index futures.

Investing funds raised by new schemes in index futures so that market exposure is

immediately taken

Partial liquidity of portfolio by selling the index future instead of the actual shares

where the cost of transaction is higher.

If the period of hedge is longer than available futures in such an event one can roll

forward a hedge. This implies closing one future position and taking the same position on

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other futures with the same specifications but having a later delivery date. However, this

leaves the basis risk open for uncovered period at the initial stage.

Speculation While the hedgers avoid the price risk, the speculators are the class of participants in

the futures markets who are willing to bear the risk. Speculators may be position traders so

that they maintain futures positions day-after-day (may be for weeks), who close all their

positions before trading closes each day. The day traders do not carry over their transactions

overnight.

Scalpers

Scalpers represent another type of traders who play a crucial role in the economic

functioning of the futures markets. They are the individuals who engage in continuous

buying and selling of contracts on their own behalf. They work on low margins but their

continuous trading enables them to make good profits on their operations.

Arbitrageurs

The arbitrageurs do not take view on prices, like speculators. They come into action

once they find that the prices in the spot market and the futures market or in the futures

market in respect of different maturities are deviating from the normal.

Margin Money for trading in future contracts. The aim of margin money is to minimize the risk of default by either counter party.

The payment of margin ensures that the risk is limited to the previous day’s price movement

on each outstanding position. However, even this exposure is offset by the initial margin

holdings. Money margin is like a security deposit or a insurance against a possible future

loss of value.

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The basic aim of the initial margin is to cover the largest potential loss in one day.

Both buyer and seller have to deposit margins. The initial margin is deposited before the

opening of day of future transaction. Normally this margin is calculated on the basis of

variation observed in daily price of the underlying (say the index) over a specified historical

period (say immediately preceding 1). The margin is kept in away that it covers price

movements more than 99% of the time. Usually three sigma (standard deviation) is used for

this measurement. This technique is also called Value at Risk (VAR). Based on the

volatility of market indices in India, the initial margin is expected to be around 8 to 10%.

Different Types of Margins

There can be different types of margin but one of the important margins is explained as

below:

Like initial margin, Variation margin Maintenance margin and additional margin.

1. Variation Margin

All daily losses must be met by depositing of further collateral – known as variation

margin, which is required by the close of the business, the following day. Any profit on the

contract is credited to the client’s variation margin account.

2. Maintenance Margin

Some exchanges work on the system of maintenance margin, which is set at a level

slightly less than initial margin, only if the margin level drops below the maintenance margin

limit. For example if the initial margin is fixed at 100 and maintenance margin is at 80 than

the broker is permitted to trade till such time that the balance in this initial margin account is

80 or more. If it drops below 80, say it drops to 70, than a margin of 30 (not 10) is to be paid

to replenish the level of initial margin. This concept is not wisely used in India.

3. Additional Margin

23

In case of sudden higher than the expected volatility, additional margin may be called

for by the exchange. This is generally imposed when the exchange fears that the markets

have become too volatile and may result in some crisis, like payments crisis, etc. This is a

preemptive move by the exchange to prevent breakdown.

4. Cross Margin

This method is calculating margin after taking into account- combined positions in

Futures, options, cash market etc. Hence, the total margin requirement reduces due to cross-

hedges. This is unlikely to be introduced in India immediately.

OPTIONS Options are fundamentally different from forward and futures contracts. An option

gives the holder of the option the right to do something. The holder does not have to exercise

this right. In contrast, in a forward or futures contract, the two parties have committed

themselves to doing something. Whereas it costs nothing (except margin requirements) to

enter into a futures contract, the purchase of an option requires an upfront payment.

An option agreement is a contract in which the writer of the option grants the buyer of

the option the right to purchase from or sell to the writer a designated instrument at a

specified price (or receive a settlement) within a specified period of time. The price at which,

the buyer can exercise the option is called the exercise price, strike price or striking price.

There are two basic types of options, call options and put options.

Call option: A call option gives the holder (buyer/ one who is long call), the right to buy

specified quantity of the underlying asset at the strike price on or before expiration date in

case of American option. The seller (one who is short call) however, has the obligation to

sell the underlying asset if the buyer of the call option decides to exercise his option to buy.

Put option: A put option gives the holder (buyer/ one who is long put), the right to sell

specified quantity of the underlying asset at the strike price on or before expiry date in case

of American option. The seller or the put option (one who is short put) however, has the

24

obligation to buy the underlying asset at the strike price if the buyer decides to exercise his

option to sell.

Call options Put options

Option buyer or option

holder

Buys the right to buy the

underlying asset at the

specified price.

Buys the right to sell

underlying asset at the

specified price.

Option seller or option

writer

Has the obligation to sell

the underlying asset (to the

option holder) at the

specified price.

Has the obligation to buy

the underlying asset (from

the option holder) at the

specified price.

Options terminology Index options: These options have the index as the underlying. Some options are European

while others are American. Like index futures contracts, index options contracts are also cash

settled.

Stock options: Stock options are options on individual stocks. Options currently trade on

over 500 stocks in the United States. A contract gives the holder the right to buy or sell

shares at the specified price.

Buyer of an option: The buyer of an option is the one who by paying the option premium

buys the right but not the obligation to exercise his option on the seller/writer.

Writer of an option: The writer of a call/put option is the one who receives the option

premium and is thereby obliged to sell/buy the asset if the buyer wishes to exercise his

option.

25

Option price: Option price is the price which the option buyer pays to the option seller. It is

also referred to as the option premium.

Expiration date: The date specified in the options contract is known as the expiration date,

the exercise date, the strike date or the maturity.

Strike price: The price specified in the options contract is known as the strike price or the

exercise price.

American options: American options are options that can be exercised at any time up to the

expiration date. Most exchange-traded options are American.

European options: European options are options that can be exercised only on the

expiration date itself. European options are easier to analyze than American options, and

properties of an American option are frequently deduced from those of its European

counterpart.

In-the-money option: An in-the-money (ITM) option is an option that would lead to a

positive cash flow to the holder if it were exercised immediately. A call option on the index

is said to be in-the-money when the current value of index stands at a level higher than the

strike price (i.e. spot price > strike price). If the value of index is much higher than the strike

price, the call is said to be deep ITM. On the other hand, a put option on index is said to be

ITM if the value of index is below the strike price.

At-the-money option: An at-the-money (ATM) option is an option that would lead to zero

cash flow if it were exercised immediately. An option on the index is at-the-money when the

value of current index equals the strike price (i.e. spot price = strike price).

26

Out-of-the-money option: An out-of-the-money (OTM) option is an option that would lead

to a negative cash flow it was exercised immediately. A call option on the index is said to be

out-of-the-money when the value of current index stands at a level which is less than the

strike price (i.e. spot price < strike price). If the index is much lower than the strike price, the

call is said to be deep OTM. On the other hand, a put option on index is OTM if the value of

index is above the strike price.

Intrinsic value of an option: The option premium can be broken down into two

components–intrinsic value and time value. Intrinsic value of an option is the difference

between the market value of the underlying security/index in a traded option and the strike

price. The intrinsic value

of a call is the amount when the option is ITM, if it is ITM. If the call is OTM, its intrinsic

value is zero.

Time value of an option: The time value of an option is the difference between its premium

and its intrinsic value. Both calls and puts have time value. An option that is OTM or ATM

has only time value. Usually, the maximum time value exists when the option is ATM. The

longer the time to expiration, the greater is an option’s time value, all else equal. At

expiration, an option should have no time value. While intrinsic value is easy to calculate,

time value is more difficult to calculate. Historically, this made it difficult to value options

prior to their expiration. Various

Option pricing methodologies were proposed, but the problem wasn't solved until the

emergence of Black-Scholes theory in 1973.

Stock Options

Trading in stock options commenced on the NSE from July 2001. These contracts are

American style and are settled in cash. The expiration cycle for stock options is the same as

for index futures and index options. A new contract is introduced on the trading day

following the expiry of the near month contract. NSE provides a minimum of seven strike

prices for every option type (i.e. call and put) during the trading month. There are at least

three in-the-money contracts, three

27

Out-of-the-money contracts and one at-the-money contract available for trading.

Index Options

Index options are options where the underlying asset is a stock index e.g. options on

‘Sensex’. Index options were first introduced by Chicago Board of Options Exchange

(CBOE) in 1983on its index ‘S& P100’. As opposed to options on individual stocks, index

options give an investor the right to buy or sell the value of an index, which represents group

of stocks.

Uses of index options

Index options enable investors to gain exposure to a broad market, with one trading decision

and frequently with one transaction. To obtain the same level of diversification using

individual stocks or individual equity options, numerous decisions and trades would be

necessary. Since, broad exposure can be gained with one trade; using index options also

reduces transaction cost. As a percentage of the underlying value, premiums of index options

are usually lower than those of equity options are more volatile than the index.

Index options are effective enough to appeal to a broad spectrum of users, from conservative

investors to more aggressive stock market traders. Individual investors might wish to

capitalize on market opinions (bullish, bearish or neutral) by acting on other views of the

broad market or one of its many sectors.

Option premium

The option premium paid by the option holder to the writer is the price of the option. This

option premium consists of two components, intrinsic value and time value.

Intrinsic value

The intrinsic value is equal to the amount by which it is in the money. Therefore an option,

which is out of the money or at the money, has zero intrinsic value. Intrinsic value of any

28

option can never be negative. A call will be in the money or will have intrinsic value only if

its strike price is lower than the current market price of the underlying asset.

Put would have intrinsic value or would be in the money only if its strike is above the

current market price of the underlying asset.

Time value

Time value of the option which is also called extrinsic value of option is the quantification of

the probability of the change in the underlying price that determines that value of the option

during the remaining time until expiration that is the chances of an out of the money or at the

money option going the money or an in the money option going deeper in the money during

currency of the contract. This value depends on time to expiration of the option and the

volatility of the underlying prices. Mathematically speaking in the time value option is equal

to the difference to the option premium and the intrinsic value. So it is clear that incase of the

out of the money option or at the money option, the entire premium paid is the time value of

the options. Time value of the option is also cannot be negative.

Options Payoff’s

The optionality characteristic of options results in a non-linear payoff for options. In

simple words, it means that the losses for the buyer of an option are limited; however the

profits are potentially unlimited. For a writer, the payoff is exactly the opposite. His profits

are limited to the option premium; however his losses are potentially unlimited. These non-

linear payoffs are

fascinating as they lend themselves to be used to generate various payoffs by using

combinations of options and the underlying.

Clearing and Settlement (F&O)

National Securities Clearing Corporation Limited (NSCCL) undertakes clearing and

settlement of all trades executed on the futures and options (F&O) segment of the NSE. It

also acts as legal counterparty to all trades on the F&O segment and guarantees their

29

financial settlement. Clearing and settlement activities in the F&O segment are undertaken

by NSCCL with the help of the following entities:

Clearing members:

Primarily, the Clearing Member (CM) performs the following functions:

1. Clearing: Computing obligations of all his TM's i.e. determining positions to settle.

2. Settlement: Performing actual settlement. Currently, all the Futures and Options contracts

are cash settled.

3. Risk Management: Setting position limits based on upfront deposits/margins for each TM

and monitoring positions on a continuous basis.

In the F&O segment, some members, called self clearing members, clear and settle their

trades executed by them only either on their own account or on account of their clients. Some

others called trading member–cum–clearing member (TM-CM), clear and settle their

own

trades as well as trades of other trading members (TMs). Besides, there is a special category

of members, called professional clearing members (PCM) who clear and settle trades

executed by TMs. The members clearing their own trades and trades of others, and the PCMs

are required to bring in additional security deposits in respect of every TM whose trades they

undertake to clear and settle.

Clearing Member Eligibility Normsa. Net worth of atleast Rs.300 lakh. The net worth requirement for a CM who clears and

settles only deals executed by him is Rs. 100 lakh.

b. Deposit of Rs. 50 lakh to NSCCL which forms the Base Minimum Capital (BMC) of the

CM.

c. Additional incremental deposits of Rs.10 lakh to NSCCL for each additional TM in case

the CM undertakes to clear and settle deals for other TMs.

Clearing banks: Funds settlement takes place through clearing banks. For the purpose of

settlement all clearing members are required to open a separate bank account with NSCCL

30

designated clearing bank for F&O segment. The Clearing and Settlement process comprises

of the following three main activities:

1) Clearing

2) Settlement

3) Risk Management

Plan of action The study is conducted by taking data of Futures and Options trading to evaluate the

performance of the derivatives in the Indian context pertaining to NSE. The available data

are taken in the form of table and the analysis and interpretation is done based on that data by

using Bar chart. The findings and suggestions are done based on the analysis and the

interpretation made and the conclusion is drawn.

Period of Study The study conducted on “A study on year wise performance of derivatives, since

inception in the Indian context, under NSE at Geojit bnp Paribas” derivative market

pertaining to NSE is limited to the time period from 2000-01 to 2010-11.

Research DesignIt is the specification of methods and procedures for acquiring the information

needed. It is overall operational pattern or framework of the project that stipulates what

information is to be collected from which sources and what procedures. This research

includes:

Descriptive Research: Descriptive research is study of existing facts to come to a conclusion. In this

research an attempt has been made to analyze the performance evaluation of the derivative

market in the Indian context.

Source of Data

31

Data is the basis for any research. Analyzing the data and getting the actual inference

is the main part of the research.

In this study the Secondary data is used for the research, it is the information mainly

obtained from the NSE websites. And also information provided by the company.

32

DATA ANALYSIS AND INTERPRETATION

Introduction: The study is related to the Performance Evaluation of the Derivatives in the Indian

Context and it is pertaining to NSE, as the data collected is from the NSE. In this study the

analysis is done on the various types of Futures and options based on its information

available on number of contracts and turnover.

The information available on each type (i.e. index futures, index option, stock futures

and stock options) is taken separately for both No. of contracts and turnover in a table format

and for each table separate Bar chart is drawn. Based on these charts the analysis and

33

interpretation is made. And on these interpretation findings, suggestions and conclusion are

made.

Index FuturesTable 1.1: Showing Index Futures No. of Contracts

Chart 1.1 showing Index Futures No. of Contracts

34

YEAR No. of Contracts

2000-01 90580

2001-02 1025588

2002-03 2126763

2003-04 17191668

2004-05 21635449

2005-06 58537886

2006-07 81487424

2007-08 156598579

2008-09 210428103

2009-10 178306889

2010-11 13751971

Index Futures No. of contracts

Analysis: From the above table it can be observed that the no. of contracts were in 2000-01 was

9058; 2001-02 was 1025588, 2002-03 was 2126763, 2003-04 was 17191668, 2004-05 was

21635449, 2005-06 was 58537886, 2006-07 was 81487424, 2007-08 was 156598579, 2008-

09 was 210428103, 2009-10 was 178306889, and in 2010-11 it is 13751971 respectively.

Interpretation:

From the above analysis it can be observed that, there is a gradual increase in the no. of

contracts and it is in an increasing trend. The numbers of contracts was 9058 in the year

2000-01 and has reached 210428103 in the year 2008-09. This excellent performance due to

the growth in the derivative market, therefore the no. of contracts was increased year by year.

And this shows the growth of the index future in the Indian market right from the beginning

but now because of recession there is a fall in index future in India.

Table 1.2: Showing Index Futures Turnover

35

Chart 1.2 Showing Index Futures Turnover

Index Futures Turnover

Analysis:

36

YEAR Turnover(Rs. Cr)

2000-01 2365

2001-02 21483

2002-03 43952

2003-04 554446

2004-05 772147

2005-06 1513755

2006-07 2539574

2007-08 3820667

2008-09 3570111

2009-10 3934389

2010-11 363063

From the above table it can be observed that the turnover were in 2000-01 was 2365;

2001-02 was 21483, 2002-03 was 43952, 2003-04 was 554446, 2004-05 was 772147, 2005-

06 was 1513755, 2006-07 was 2539574, 2007-08 was 3820667, 2008-09 was 3570111 ,

2009-10 it was 3934389, and in 2010-11 it was 363063 respectively.

Interpretation:

From the analysis, it can be observed that there is a growth in the index futures

turnover from 2000-01 to 2007-08. In the year 2007-08 turnover was Rs.3820667 & it has

decreased to Rs.3570111 in the year 2008-09. This decrease in the turnover is mainly due to

the Bankruptcy of Lehman Brothers which affected the global market and again know there

is a growth in the turnover.

Table 1.3: Showing Index Futures No. of contract and Turnover

YEARS No. of Contracts Turnover(Rs. in Crore)

2000-01 90580 2365

2001-02 1025588 21483

2002-03 2126763 43952

2003-04 17191668 554446

2004-05 21635449 772147

2005-06 58537886 1513755

2006-07 81487424 2539574

2007-08 156598579 3820667

2008-09 210428103 3570111

2009-10 178306889 3934389

2010-11 13751971 363063

Chart 1.3 Showing Index Futures No. of contracts and Turnover

37

Index Futures

Analysis:

From the above table it can be observed that the no. of contracts and turnover were in

2000-01 was 9058 and 2365; 2001-02 was 1025588 and 21483, 2002-03 was 2126763 and

43952, 2003-04 was 17191668 and 554446, 2004-05 was 21635449 and 772147, 2005-06

was 58537886 and 1513755, 2006-07 was 81487424 and 2539574, 2007-08 was 156598579

and 3820667, and 2008-09 was 210428103 and 3570111, and 2009-10 was 178306889 and

3934389 respectively, and in 2010-11 was 13751971 and 363063.

Interpretation:

From the above analysis it can be observed that the, no. of contracts and turnover are

directly related, as the turnover increases the no. of contracts also gets increases. So from the

above analysis it is clear that, in the year 2009-10 there was a increased in the turnover when

compared to 2008-09 year due to the increase of share prices in the share market. There was

a lot of difference between the no. of contracts and turnover. But now in 2010-11 there is a

fall in no. of contracts and turnover has a slight difference.

Stock Futures

38

Table 2.1: Showing the Stock Futures No. of Contracts

Chart 2.1 Showing the Stock Futures No. of Contracts

Stock Futures No. of contractsAnalysis:

39

YEAR No. of Contracts

2000-01 0

2001-02 1957856

2002-03 1067843

2003-04 32368842

2004-05 47043066

2005-06 80905493

2006-07 104955401

2007-08 203587952

2008-09 221577980

2009-10 145591240

2010-11 15503455

From the above table it can be observed that the no. of contracts were in 2000-01 was 0;

2001-02 was 1957856, 2002-03 was 1067843, 2003-04 was 32368842, 2004-05 was

47043066, 2005-06 was 80905493, 2006-07 was 104955401, 2007-08 was 203587952,

2008-09 was 221577980, 2009-10 was 145591240, and in 2010-11 was 15503455

respectively.

Interpretation:

From the above analysis it can be observed that, there was a gradual increase in the no.

of contracts and it is in an increasing trend. The numbers of contracts was 1957856 in the

year 2001-02 and it has reached 221577980 in the year 2008-09. This excellent performance

due to the growth in the derivative market, therefore the no. of contracts increased year by

year. And this shows that the growth of the stock future in the Indian market, right from the

beginning. But in 2009-10 because of recession there is a fall in no. of contracts compared to

2008-09. But now in 2010-11 there is a decrease comparing to the 2010-11.

Table 2.2: Showing the Stock Futures Turnover

40

Chart 2.2 Showing Stock Futures Turnover

Stock Futures Turnover (Rs. in Crore)Analysis:

41

YEAR Turnover(Rs. Cr)

2000-01 0

2001-02 51515

2002-03 286533

2003-04 1305939

2004-05 1484056

2005-06 2791697

2006-07 3830967

2007-08 7548563

2008-09 3479642

2009-10 5195247

2010-11 457980

From the above table it can be observed that the turnover were in 2000-01 was 0;

2001-02 was 51515, 2002-03 was 286533, 2003-04 was 1305939, 2004-05 was 1484056,

2005-06 was 2791697, 2006-07 was 3830967, 2007-08 was 7548563, 2008-09 was

3479642, 2009-10 was 5195247, and in 2010-11 was 457980.

Interpretation:

From the analysis, it can be observed that the stock futures trading were started

from the year 2001-02. There was an excellent growth in the turnover from 2001-02 to 2007-

08. Turnover of index futures was RS. 7548563 in the year 2007-08 it has decreased to Rs.

3479642 in the year 2008-09. This decrease in the turnover was mainly due the scam

occurred in Satyam which also affected the global market. But in 2009-10 there is a rise in

turnover compared to 2008-09. But now in 2010-11 there is an decreases in turnover with

comparing to the 2000-10.

Table 2.3: Showing the Stock Futures No. of contracts and Turnover

YEARS No. of Contracts Turnover(Rs. in Crore)

2000-01 0 0

2001-02 1957856 51515

2002-03 1067843 286533

2003-04 32368842 13059393

2004-05 47043066 1484056

2005-06 80905493 2791697

2006-07 104955401 3830967

2007-08 203587952 7548563

2008-09 221577980 3479642

2009-10 145591240 5195247

2010-11 15503455 457980

Chart 2.3 Showing Stock Futures No. of contracts and Turnover

42

Stock Futures

Analysis:

From the above table it can be observed that the no. of contracts and turnover were in

2000-01 was 0 and 0; 2001-02 was 1957856 and 51515, 2002-03 was 1067843 and 286533,

2003-04 was 32368842 and 1305939, 2004-05 was 47043066 and 1484056, 2005-06 was

80905493 and 2791697, 2006-07 was 104955401 and 3830967, 2007-08 was 203587952 and

7548563, 2008-09 was 221577980 and 3479642, 2009-10 was 145591240 and 5195247,

and in 2010-11 was 15503455 and 457980 respectively.

Interpretation:

From the above analysis it can be observed that the, no. of contracts and turnover are

directly related, as the turnover increases the no. of contracts also gets increases still 2007-

08. So from the above analysis it is clear that, in the year 2008-09 there was a decrease in the

turnover when compared to 2007-08 due to the Bankruptcy declared by the American

International Groups which affected the global market. There was a lot of difference between

the no. of contracts and turnover. But now in 2010-11 there is decrease in turnover

compared to 2009-10.

Index OptionsTable 3.1: Showing index Options No. of Contracts

43

Chart 3.1 Showing Index Futures No. of contracts

Index options No. of contractsAnalysis:

From the above table it can be observed that the no. of contracts were in 2000-01 was

0; 2001-02 was 175900, 2002-03 was 442241, 2003-04 was 1732414, 2004-05 was 3293558,

44

YEAR No. of Contracts

2000-01 0

2001-02 175900

2002-03 442241

2003-04 1732414

2004-05 3293558

2005-06 12935116

2006-07 25157438

2007-08 55366038

2008-09 212088444

2009-10 341379523

2010-11 54219880

2005-06 was 12935116, 2006-07 was 25157438, 2007-08 was 55366038, 2008-09 was

212088444, and in 2009-10 is 341379523, 2010-11 is 54219880 respectively.

Interpretation:

From the above analysis it can be observed that, there is a gradual increase in the no.

of contracts and it is in an increasing trend. The numbers of contracts was 175900 in the year

2001-02 and has reached 341379523 in the year 2009-10. This excellent performance due to

the growth in the derivative market. But now in 2010-11 there is a decrease comparing to

the 2009-10.

Table 3.2: Showing Index Options Notional Turnover

Chart 3.2 Showing Index options National Turnover

Index Options Notional Turnover

45

YEAR Notional Turnover(Rs. Cr)

2000-01 0

2001-02 3765

2002-03 9246

2003-04 52816

2004-05 121943

2005-06 338469

2006-07 791906

2007-08 1362111

2008-09 3731502

2009-10 8027964

2010-11 1530447

Analysis:

From the above table it can be observed that the turnover were in 2000-01 was 0; 2001-

02 was 3765, 2002-03 was 9246, 2003-04 was 52816, 2004-05 was 121943, 2005-06 was

338469, 2006-07 was 791906, 2007-08 was 1362111, 2008-09 was 3731502, 2009-10 was

8027964, 2010-11 is 1530447 respectively.

Interpretation:

From the above analysis we can observe that the index options trading were started in

the year 2001-02. There was a gradual growth in the notional turnover from 2004-05 it

started growing in much faster way. Notional turnover of index options was 8027964 in the

year 2009-10. And there is no decrease in the turnover of the index option. But now 1530447

in the year 2010-11 there is a decrease in index option turnover comparing to the 2009-10.

Table 3.3: Showing the Index Options No. of contracts and Notional turnover

YEARS No. of Contracts Notional Turnover(Rs. in Crore)

46

2000-01 0 0

2001-02 175900 3765

2002-03 442241 9246

2003-04 1732414 52816

2004-05 3293558 121943

2005-06 12935116 338469

2006-07 25157438 791906

2007-08 55366038 1362111

2008-09 212088444 3731502

2009-10 341379523 8027964

2010-11 54219880 1530447

Chart 3.3 Showing the Index Options No. of contracts and Notional Turnover

Index Options

Analysis: From the above table it can be observed that the no. of contracts and turnover were in 2000-

01 was 0; 2001-02 was 175900 and 3765, 2002-03 was 442241 and 9246, 2003-04 was

1732414 and 52816, 2004-05 was 3293558 and 121943, 2005-06 was 12935116 and 338469,

47

2006-07 was 25157438 and 791906, 2007-08 was 55366038 and 1362111, 2008-09 was

212088444 and 3731502, 2009-10 was 341379523 and 8027964, and in 2010-11 is

54219880 and 1530447 respectively.

Interpretation:

From the above analysis it can observed that the, no. of contracts and turnover are

directly related, as the turnover increases the no. of contracts also gets increases. So from the

above analysis it is clear that, the index options have an excellent growth in case of both no.

of contracts and notional turnover till 2009-10. But now in 2010-11 there is a decrease of

both no. contracts and national turnover comparing to the 2009-10.

Stock OptionsTable 4.1: Showing Stock options No. of Contracts

48

Chart 4.1Showing Stock Options No. of Contracts

Stock options No. of contract

Analysis:

From the above table it can be observed that the no. of contracts were in 2000-01 was

0; 2001-02 was 1037529, 2002-03 was 3523062, 2003-04 was 5583071, 2004-05 was

49

YEAR No. of Contracts

2000-01 0

2001-02 1037529

2002-03 3523062

2003-04 5583071

2004-05 5045112

2005-06 5240776

2006-07 5283310

2007-08 9460631

2008-09 13295970

2009-10 14016270

2010-11 2709033

5045112, 2005-06 was 5240776, 2006-07 was 5283310, 2007-08 was 9460631, 2008-09

was 13295970, 2009-10 was 14016270, and in 2010-11 is 2709033 respectively.

Interpretation:

From the above analysis it can be observed that the stock options were started trading

from the year 2001-02 and recorded the gradual growth to 2003-04 and the no. of contracts at

that period were 5583071. In the year 2004-05 it came down to 5045112 due to scam on

misappropriation of regulatory in Kethan Parak case and in the year 2005-06 it was

increased to 5240776. There was no much growth in the year 2006-07 also, but after that

there was a fair growth in the stock options. This was quite volatile in nature when compared

to others. And there is an increase in the no. of contracts due to the growth in the derivative

market. But now 2709033 in the year 2010-11 there is a decrease with comparing to the

2009-10.

Table 4.2 Showing Stock Options Notional Turnover

50

Chart 4.2 Showing Stock Options Notional Turnover

Stock Options Notional Turnover

Analysis:

From the above table it can be observed that the turnover were in 2000-01 was 0;

2001-02 was 25163, 2002-03 was 100131, 2003-04 was 217207, 2004-05 was 168836, 2005-

51

YEAR Notional Turnover(Rs. Cr)

2000-01 0

2001-02 25163

2002-03 100131

2003-04 217207

2004-05 168836

2005-06 180253

2006-07 193795

2007-08 359136.6

2008-09 229226.8

2009-10 506065.18

2010-11 85862

06 was 180253, 2006-07 was 193795, 2007-08 was 359136.6, 2008-09 was 229226.8, 2009-

10 was 506065.18, and in 2010-11 is 85862 respectively.

Interpretation:

From the above analysis it can be observed that the stock options was started its trading

in the year 2001-02 and had an good growth till 2003-04, whose value was Rs. 217207.

And were Rs. 168836 on 2004-05, this was due misappropriation of regulatory by Kethan

Parak. Then it was slowly recovered till 2006-07, whose value was Rs. 193795, but in the

year 2007-08 it had recorded a drastic growth by reaching Rs. 359136.6. Again it was

decreased in the year 2008-09 due to the impact of Bankruptcy of Lehman Brothers. But in

2009-10 there is increase in turnover. But now in 2010-11 there is decrease in turnover with

comparing to the 2009-10.

Table 4.3 Showing Stock Options No. of Contracts and Notional Turnover

52

YEARS No. of Contracts Notional Turnover(Rs. in Crore)

2000-01 0 0

2001-02 1037529 25163

2002-03 3523062 100131

2003-04 5583071 217207

2004-05 5045112 168836

2005-06 5240776 180253

2006-07 5283310 193795

2007-08 9460631 359136.6

2008-09 13295970 229226.8

2009-10 14016270 506065.18

2010-11 2709033 85862

Chart 4.3 Showing Stock Options No. of Contracts and Notional Turnover

Stock options

Analysis:

53

From the above table it can be observed that the no. of contracts were in 2000-01 was 0;

2001-02 was 1037529 and 25163, 2002-03 was 3523062 and 100131, 2003-04 was 5583071

and 217207, 2004-05 was 5045112 and 168836, 2005-06 was 5240776 and 180253, 2006-07

was 5283310 and 193795, 2007-08 was 9460631 and 359136.6, 2008-09 was 13295970 and

229226.8, 2009-10 was 14016270 and 506065.18, and in 2010-11 is 2709033 and 85862

respectively.

Interpretation:

From the above analysis it can be observed that the, no. of contracts and turnover are

directly related, as the turnover increases the no. of contracts also gets increases. The stock

options are more volatile in nature when compared to all other types like index futures, stock

futures, and index options. The stock options had a good start and recorded growth in the

initial stage. But later, in the year 2004-05 there was a decrease due to the scam on

misappropriation of regulatory in Kethan Parak case and this affected the growth of the stock

options. Though it started recovering, the growth was slow till 2006-07 and in the year 2007-

08 it had an excellent growth but again in the year 2008-09 there was a decrease in stock

options notional turnover due to the decrease in the share prices in the stock market. But in

2009-10 there is a growth. But now in 2010-11 there is a decrease in turnover.

Total

54

Table 5.1 Showing Total No. of Contracts

Chart 5.1 Showing Total No. of Contracts

Total no. of Contracts

Analysis:

55

YEAR No. of Contracts

2000-01 90580

2001-02 4196873

2002-03 16768909

2003-04 56886776

2004-05 77017185

2005-06 157619271

2006-07 216883573

2007-08 425013200

2008-09 657390497

2009-10 679293922

2010-11 86184339

From the above table it can be observed that the no. of contracts were in 2000-01 was

90580; 2001-02 was 4196873, 2002-03 was 3523062, 2003-04 was 5583071, 2004-05 was

5045112, 2005-06 was 5240776, 2006-07 was 5283310, 2007-08 was 9460631, 2008-09

was 13295970, 2009-10 was 679293922, and in 2010-11 is 86184339 respectively.

Interpretation:

From the above analysis it can be observed that, there is an overall growth in the no. of

contracts. The no. of contracts in the year 2000-01 was the only 90580 as no futures or

options was not traded in the year 2000-01 other than index futures. The total also includes

the no. of contracts of interest rate futures in the year 2003-04 and as it was traded only in

that year, it is not included in any other year. There is an excellent growth in the overall no.

of contracts due to growth in the derivative market up to 2009-10. But now in 2010-11 there

is a decrease in total no. of contracts with comparing to 2009-10.

Note: The total no. of contracts also includes Interest Rate Futures no. of contracts 10781 in

the year 2003-04

Table 5.2 Showing Total Turnover

56

Chart 5.2 Showing Total Turnovers

Total Turnover

Analysis:

From the above table it can be observed that the turnover were in 2000-01 was

2365; 2001-02 was 101926, 2002-03 was 439862, 2003-04 was 2130610, 2004-05 was

57

YEAR Turnover(Rs. Cr)

2000-01 2365

2001-02 101926

2002-03 439862

2003-04 2130610

2004-05 2546982

2005-06 4824174

2006-07 7356242

2007-08 13090478

2008-09 11010482

2009-10 17663664.57

2010-11 2437352

2546982, 2005-06 was 4824174, 2006-07 was 7356242, 2007-08 was 13090478, 2008-09

was 11010482, 2009-10 was 17663664.5, and in 2010-11 is 2437352 respectively.

Interpretation:

From the above analysis it can be observed that, there is a good performance in case of

derivatives in all the year except 2008-09. As there is an impact of the recession on the

derivative market it has recorded decrease in that year, because the growth is only in case of

index options and rest all have decrease in there turnover. The total turnover includes the

interest rate futures turnover Rs. 202 only in the year 2003-04, as it was traded only in that

year. The derivatives have an excellent growth till 2007-08. But the decrease in the year

2008-09 was due to the impact of the Bankruptcy declared by the Lehman brothers. But in

2009-10 there is excellent growth. But now 2437352 in the year of 2010-11 there is a

decrease in turnover comparing to 2009-10.

Note: The total turnover also includes Interest Rate Futures turnover 202 in the year 2003-

04.

Table 5.3 Showing Total No. of Contracts and Turnover

YEARS No. of Contracts Turnover(Rs. in Crore)

58

2000-01 90580 2365

2001-02 4196873 101926

2002-03 16768909 439862

2003-04 56886776 2130610

2004-05 77017185 2546982

2005-06 157619271 4824174

2006-07 216883573 7356242

2007-08 425013200 13090478

2008-09 657390497 11010482

2009-10 679293922 17663664.57

2010-11 86184339 2437352

Chart 5.3 Showing Total No. of Contracts and Turnover

Total

Analysis:

From the above table it can be observed that the no. of contracts and turnover were

in 2000-01 was 90580 and 2365, 2001-02 was 4196873 and 101926, 2002-03 was 3523062

59

and 439862, 2003-04 was 5583071 and 2130610, 2004-05 was 5045112 and 2546982, 2005-

06 was 5240776 and 4824174, 2006-07 was 5283310 and 7356242, 2007-08 was 9460631

and 13090478, 2008-09 was 13295970 and 11010482, 2009-10 was 679293922 and

17663664.5, 2010-11 was 86184339 and 2437352, and in 2010-11 is 86184339 and 2437352

respectively.

Interpretation:

From the above analysis it can be observed that there is an drastic growth in the

overall no.of contracts in the total as at the beginning it was 90580 and reached 657390497.

There an drastic growth in no. of contracts in the year 2008-09 when compared to 2007-08.

But when it comes to turnover, at the initial stage it was only 2365 and at the later stages it

had excellent growth upto 2007-08 and in the year 2008-09 there was an decrease in turnover

from 13090478 to 11010482. In the year 2003-04 it also includes the no. of contracts 10781

and turnover Rs. 202 of interest rate futures. And the major reason for decrease in the year

2008-09 is global recession. The no. of contracts and the turnover in the year 2000-01

includes only index futures, as no other was traded in that year. From this we can say that,

though there is an decrease in the year 2008-09 due to unfavorable market conditions, it has

an better demand and investors would like to invest and it is performing well from the

beginning. But now in 2010-11 there is a decrease in the turnover.

Note: The total also includes the interest rate futures no. of contracts 10781 and the turnover

Rs. 202 in the 2003-04.

Table 6.1 Showing Average Daily Turnover

60

Chart 6.1 Showing Average Daily Turnovers

Average Daily Turnover

Analysis:

61

YEAR Average Daily Turnover(Rs. Cr)

2000-01 11

2001-02 410

2002-03 1752

2003-04 8388

2004-05 10107

2005-06 19220

2006-07 29543

2007-08 52153.3

2008-09 45310.63

2009-10 72392.07

2010-11 115529

From the above table it can be observed that the turnover were in 2000-01 was

11; 2001-02 was 410, 2002-03 was 1752, 2003-04 was 8388, 2004-05 was 10107, 2005-06

was 19220, 2006-07 was 29543, 2007-08 was 52153.3, 2008-09 was 45310.63, 2009-10

was 72392.07, and in 2010-11 is 115529 respectively.

Interpretation:

From the above analysis, it can be observed that there is a growth in the average

daily turnover i.e. from 11 in the year 2000-01 to 45,310.63 in the year 2008-09. But though

there is a drastic growth in the average daily turnover Rs. 52153.3, in the year 2007-08. The

value has been dropped from 52,153.3 in the year 2007-08 to 45,310.63 in the year 2008-09.

So, this was due the overall decrease in the turnover of index futures, stock futures and stock

option. And average daily turnover also includes interest rate futures turnover Rs. 202 only

in the year 2003-04, as it was traded only in that year. The impact of Bankruptcy declared by

Lehman Brothers and decrease in the share prices are the causes for the decrease in average

daily turnover in the year 2008-09. Increase in average daily turnover in the year 2009-10.

But know there is decrease in average daily turnover in 2010-11.

Note: The average daily turnover also includes the interest rate futures turnover Rs. 202 in

the 2003-04.

62

SUMMARY OF FINDINGS

63

This chapter contains the findings made from the interpretation done on the

performance of the derivatives in the Indian context. And based on these findings the

suggestions are made. And conclusion is also done.

The Derivatives performance was excellent to the year 2007-08, as the overall

market was also performing well.

There is decrease in the index future no. of contracts in 2009-10 which is not

ever happened since the inception.

In the year 2008-09 there was fall in the performance of the derivatives due to

bankruptcy of Lehman Brothers and American International Group, which

lead to the recession in the global economy.

There was sudden fall in turnover of stock options in the year 2004-05 due to

the scam on misappropriation of regulatory in the case of Kethan Parak.

The stock options started recovering from the year 2005-06 upto 2007-08 and

again it had a fall in the year 2008-09 because of recession.

There is a rapid growth in stock option notional turnover in 2009-10 compared

to 2008-09.

The Derivatives are mainly used as the Hedging tool in the commodity market

because of high fluctuations of prices in the market.

The most traded and popular Derivatives in the market are Futures and

Options.

Index Options helps the investors to reduce the risk into minimum level and

due to this reason it has an excellent growth compared to others.

National Securities Clearing Corporation Limited (NSCCL) under takes all

the clearing and settlements related to the Futures and Options (F&O) trading.

There are about 109 companies products are traded in the stock futures and the

stock option market and about 7 indices are traded in the index market.

SUGGESTIONS

64

The Government must pass necessary regulations on the trading to control

regulations, as due to this there is a fall in the performance of the derivatives. So it

has to be controlled to increase its performance.

As Metal, Crude oil and Pharmaceuticals sectors are less affected by the recession.

So, it is better to invest in these, so that it increases the confidence in the investors.

Global efforts are necessary to be taken by the developed countries along with the

developing countries to overcome the problem of recession.

Relevant information should be provided to the investors about the derivatives i.e. the

flow of information in the derivative market should be smooth and easily available to

the investors.

Some liberal laws should be passed, so that there is an increasing in the derivative

trading.

Trading in stock options and stock futures helps the companies in increasing their

market capitalization.

To trade in a derivative market, the investors must have knowledge about the various

instruments of trading in order to earn profit.

It is better for an investor to go for options as the risk volume is low in options

compared to futures. And the maximum losses in the options are only the premium

amount.

CONCLUSION

65

Derivatives are an instrument which takes the value of underlying asset and this

study is conducted to evaluate the performance of derivatives in the Indian context. The

derivative market has an excellent growth as a whole, when the total and average turnover is

considered. The major fall in the performance of the derivatives is mainly due to the impact

of recession.

From this we can conclude that derivatives in the Indian market have an excellent

growth. And this can be achieved only by adopting measures to overcome recession in the

Indian as well as global economy. There are various derivative products available in the

market. And the trading of derivative should be liberalized, so that more number of investors

can invest in the derivatives and this will leads to the increase of no. of contracts and the

turnover of derivatives as a whole.

66

Bibliography

1. Madhu Viji, International Financial Management, Second Edition-2006, Excel Books, NEW DELHI.

2. Prasanna Chandra , Financial Management, Seventh Edition-2008, Tata McGraw Hill publishing Co. ltd, NEW DELHI.

67

3. National Certificate Financial Markets, National Stock Exchanges.

Websites:

www.nseindia.com

www.bseindia.com

www.geojit.com

www.google.com

68

ANNEXURE1.Index Futures Product

Sl. No. Product Product Code

Contract Multiplier

1 BSE 30 SENSEX FUTURES SENFUT 15

69

2 BSE SENSEX MINI FUTURES MSXFUT 5

3 BSE TECK FUTURES TECKFUT 124

4 BSE BANKEX FUTURES BNKXFUT 50

5 BSE OIL & GAS FUTURES ONGXFUT 38

6 BSE METAL FUTURES METLFUT 60

7 BSE FMCG FUTURES FMCGFUT 175

2. Stock Futures ProductSr. No. Product Product

CodeContract

Multiplier1 ABB LTD FUTURES ABBFUT 5002 ABAN OFFSHORE LTD FUTURES ABOFUT 4003 ACC FUTURES ACCFUT 7524 ACL FUTURES ACLFUT 41245 ADLABS FILMS LTD FUTURES ADFFUT 18006 ALSTOM PROJ FUTURES APIFUT 12007 APTECH LTD FUTURES APTFUT 39008 ASHOK LEYLAND FUTURES ASHFUT 191009 AREVA T&D FUTURES ATDFUT 1500

10 AXIS BANK FUTURES AXSFUT 90011 BHEL FUTURES BHEFUT 30012 BAJAJ HIND LTD FUTURES BHLFUT 570013 BANK OF BARODA FUTURES BOBFUT 140014 BOI FUTURES BOIFUT 95015 BPCL FUTURES BPCFUT 110016 BHARTI TELE FUTURES BTLFUT 50017 CENTURY TEXTILES FUTURES CENFUT 169618 CIPLA FUTURES CIPFUT 125019 CANARA BANK FUTURES CNBFUT 160020 CAIRN INDIA FUTURES CNLFUT 250021 DIVIS LAB LTD FUTURES DIVFUT 31022 DLF FUTURES DLFFUT 160023 DR. REDDY FUTURES DRRFUT 800

70

24 EDUCOMP SOLN LTD FUTURES ESLFUT 150

25 FINAN TECH INDIA LTD FUTURES FTLFUT 600

26 GAIL FUTURES GAILFUT 750

27 GREAT EASTERN SHIPPING COMPANY LTD FUTURES GESFUT 2400

28 GMR INFRASTRUCTURE FUTURES GMRFUT 5000

29 GRASIM FUTURES GRSFUT 35230 HCLTECH FUTURES HCLTFUT 260031 HDFC BANK FUTURES HDBKFUT 40032 HDFC FUTURES HDFFUT 15033 HDIL FUTURES HDLFUT 309634 HEROHONDA FUTURES HEROFUT 40035 HINDALCO FUTURES HNDFUT 703636 HPCL FUTURES HPCFUT 130037 HUL FUTURES HULFUT 100038 HINDUSTAN ZINC FUTURES HZNFUT 100039 ICICI BANK FUTURES ICICFUT 70040 IDBI FUTURES IDBIFUT 480041 IDEA CELLULAR FUTURES IDEAFUT 540042 IDFC FUTURES IDFCFUT 590043 IFCI LTD FUTURES IFCFUT 1576044 IFLEX FUTURES IFLXFUT 60045 INDIA INFO LTD FUTURES IILFUT 500046 INDUSIND BANK FUTURES INBKFUT 770047 INDIA CEMENT FUTURES INCMFUT 290048 INDIAN BANK FUTURES INDBFUT 220049 INFOSYS FUTURES INFFUT 20050 IOCL FUTURES IOCLFUT 60051 ISPAT IND LTD FUTURES ISPFUT 2490052 ITC FUTURES ITCFUT 225053 IVRCL LTD FUTURES IVLFUT 2000

54 JAIPRAKASH ASSO LTD FUTURES JAIFUT 4500

55 JET AIRWAYS FUTURES JETFUT 2400

71

56 JSW STEEL LTD FUTURES JSWFUT 1650

57 KOTAK MAHINDRA BANK LTD FUTURES KMBFUT 1100

58 LANCO INFRATECH LTD FUTURES LNCFUT 2550

59 LNT FUTURES LNTFUT 400

60 MAHINDRA & MAHINDRA FUTURES MNMFUT 1248

61 MARUTI SUZUKI INDIA FUTURES MSLFUT 800

62 MTNL FUTURES MTNFUT 3200

63 NAGARJUNA FERTILIZERS & CHEMICALS LTD FUTURES NFCFUT 21000

64 NEYVELI LIGNITE CORPORATION LTD FUTURES NLCFUT 5900

65 NTPC FUTURES NTPCFUT 162566 ONGC FUTURES ONGCFUT 45067 ORCHID CHEMICALS FUTURES ORCHFUT 4200

68 POWER FINANCE CORPORATION FUTURES PFCFUT 2400

69 POWER GRID FUTURES PGCFUT 385070 PNB FUTURES PNBFUT 60071 PUNJ LLYOD FUTURES PNJFUT 150072 POLARIS FUTURES POLAFUT 560073 PRAJ INDUSTRIES LTD FUTURES PRJFUT 440074 PETRONET LNG LTD FUTURES PTRFUT 880075 RANBAXY FUTURES RBXFUT 160076 RELIANCE CAPITAL FUTURES RCAPFUT 552

77 RELIANCE COMMUNICATION Ltd FUTURES RCOMFUT 1400

78 REC FUTURES RECFUT 3900

79 SHREE RENUKA SUGARS LTD FUTURES REUFUT 5000

80 RIL FUTURES RILFUT 300

81 RELIANCE INFRACTURE LTD FUTURES RNFFUT 552

82 RELIANCE NATURAL RESOURCES LTD FUTURES RNLFUT 7152

72

83 ROLTA INDIA LTD FUTURES ROLFUT 180084 RPL FUTURES RPLFUT 3350

85 RELIANCE POWER LTD FUTURES RPWFUT 2000

86 SAIL FUTURES SAILFUT 540087 SBI FUTURES SBIFUT 26488 SESA GOA LTD FUTURES SESFUT 300089 SIEMENS FUTURES SIEMFUT 150490 SPICE COMM. LTD FUTURES SPCNFUT 870091 SPICEJET FUTURES SPJFUT 2400092 STERLITE INDS FUTURES STERFUT 87693 SUZLON FUTURES SUZFUT 600094 TATA CHEMICALS FUTURES TCHMFUT 2700

95 TATA COMMUNICATIONS LTD FUTURES TCLFUT 1050

96 TCS FUTURES TCSFUT 50097 TATA MOTORS FUTURES TELFUT 170098 TECH MAHINDRA LTD FUTURES TEMFUT 1200

99 TITAN INDUSTRIES LTD FUTURES TILFUT 412

100 TISCO FUTURES TISFUT 1528101 TATA POWER FUTURES TPWFUT 400

102 TATA TELESERVICES MAHARASHTRA LTD FUTURES TTLFUT 10450

103 UBI FUTURES UBIFUT 2100104 UNITECH LTD FUTURES UNIFUT 9000105 UNITED SPIRITS LTD FUTURES USLFUT 250106 VOLTAS LTD FUTURES VOLFUT 5400

107 WELSPUN-GUJARAT STAHL ROHREN LTD FUTURES WGSFUT 3200

108 WIPRO FUTURES WIPRFUT 1200109 ZEE FUTURES ZEEFUT 2800

3. Index Options Products

Sr. No. Product Product Code Contract Multiplier

73

1 BSE 30 SENSEX OPTIONS SENOPT 15

2 BSE SENSEX MINI OPTIONS MSXOPT 5

3 BSE TECK OPTIONS TECKOPT 124

4 BSE BANKEX OPTIONS BNKXOPT 50

5 BSE OIL & GAS OPTIONS ONGXOPT 38

6 BSE METAL OPTIONS METLOPT 60

7 BSE FMCG OPTIONS FMCGOPT 175

4. Stock Options ProductsSr. No. Product Product

CodeContract

Multiplier1 ABB LTD OPTIONS ABBOPT 5002 ABAN OFFSHORE LTD OPTIONS ABOOPT 4003 ACC OPTIONS ACCOPT 7524 ACL OPTIONS ACLOPT 41245 ADLABS FILMS LTD OPTIONS ADFOPT 18006 ALSTOM PROJ OPTIONS APIOPT 12007 APTECH LTD OPTIONS APTOPT 39008 ASHOK LEYLAND OPTIONS ASHOPT 191009 AREVA T&D OPTIONS ATDOPT 150010 AXIS BANK OPTIONS AXSOPT 90011 BHEL OPTIONS BHEOPT 30012 BAJAJ HIND LTD OPTIONS BHLOPT 570013 BANK OF BARODA OPTIONS BOBOPT 140014 BOI OPTIONS BOIOPT 95015 BPCL OPTIONS BPCOPT 110016 BHARTI TELE OPTIONS BTLOPT 50017 CENTURY TEXTILES OPTIONS CENOPT 169618 CIPLA OPTIONS CIPOPT 125019 CANARA BANK OPTIONS CNBOPT 160020 CAIRN INDIA OPTIONS CNLOPT 2500

74

21 DIVIS LAB LTD OPTIONS DIVOPT 31022 DLF OPTIONS DLFOPT 160023 DR. REDDY OPTIONS DRROPT 80024 EDUCOMP SOLN LTD OPTIONS ESLOPT 150

25 FINAN TECH INDIA LTD OPTIONS FTLOPT 600

26 GAIL OPTIONS GAILOPT 750

27 GREAT EASTERN SHIPPING COMPANY LTD OPTIONS GESOPT 2400

28 GMR INFRASTRUCTURE OPTIONS GMROPT 5000

29 GRASIM OPTIONS GRSOPT 35230 HCLTECH OPTIONS HCLTOPT 260031 HDFC BANK OPTIONS HDBKOPT 40032 HDFC OPTIONS HDFOPT 15033 HDIL OPTIONS HDLOPT 309634 HEROHONDA OPTIONS HEROOPT 40035 HINDALCO OPTIONS HNDOPT 703636 HPCL OPTIONS HPCOPT 130037 HUL OPTIONS HULOPT 100038 HINDUSTAN ZINC OPTIONS HZNOPT 100039 ICICI BANK OPTIONS ICICOPT 70040 IDBI OPTIONS IDBIOPT 480041 IDEA CELLULAR OPTIONS IDEAOPT 540042 IDFC OPTIONS IDFCOPT 590043 IFCI LTD OPTIONS IFCOPT 1576044 IFLEX OPTIONS IFLXOPT 60045 INDIA INFO LTD OPTIONS IILOPT 500046 INDUSIND BANK OPTIONS INBKOPT 770047 INDIA CEMENT OPTIONS INCMOPT 290048 INDIAN BANK OPTIONS INDBOPT 220049 INFOSYS OPTIONS INFOPT 20050 IOCL OPTIONS IOCLOPT 60051 ISPAT IND LTD OPTIONS ISPOPT 2490052 ITC OPTIONS ITCOPT 225053 IVRCL LTD OPTIONS IVLOPT 2000

75

54 JAIPRAKASH ASSO LTD OPTIONS JAIOPT 4500

55 JET AIRWAYS OPTIONS JETOPT 240056 JSW STEEL LTD OPTIONS JSWOPT 1650

57 KOTAK MAHINDRA BANK LTD OPTIONS KMBOPT 1100

58 LANCO INFRATECH LTD OPTIONS LNCOPT 2550

59 LNT OPTIONS LNTOPT 400

60 MAHINDRA & MAHINDRA OPTIONS MNMOPT 1248

61 MARUTI SUZUKI INDIA OPTIONS MSLOPT 80062 MTNL OPTIONS MTNOPT 3200

63 NAGARJUNA FERTILIZERS & CHEMICALS LTD OPTIONS NFCOPT 21000

64 NEYVELI LIGNITE CORPORATION LTD OPTIONS NLCOPT 5900

65 NTPC OPTIONS NTPCOPT 162566 ONGC OPTIONS ONGCOPT 45067 ORCHID CHEMICALS OPTIONS ORCHOPT 4200

68 POWER FINANCE CORPORATION OPTIONS PFCOPT 2400

69 POWER GRID OPTIONS PGCOPT 385070 PNB OPTIONS PNBOPT 60071 PUNJ LLYOD OPTIONS PNJOPT 150072 POLARIS OPTIONS POLAOPT 560073 PRAJ INDUSTRIES LTD OPTIONS PRJOPT 440074 PETRONET LNG LTD OPTIONS PTROPT 880075 RANBAXY OPTIONS RBXOPT 160076 RELIANCE CAPITAL OPTIONS RCAPOPT 552

77 RELIANCE COMMUNICATION Ltd OPTIONS RCOMOPT 1400

78 REC OPTIONS RECOPT 3900

79 SHREE RENUKA SUGARS LTD OPTIONS REUOPT 5000

80 RIL OPTIONS RILOPT 300

81 RELIANCE INFRACTURE LTD OPTIONS RNFOPT 552

76

82 RELIANCE NATURAL RESOURCES LTD OPTIONS RNLOPT 7152

83 ROLTA INDIA LTD OPTIONS ROLOPT 180084 RPL OPTIONS RPLOPT 335085 RELIANCE POWER LTD OPTIONS RPWOPT 200086 SAIL OPTIONS SAILOPT 540087 SBI OPTIONS SBIOPT 26488 SESA GOA LTD OPTIONS SESOPT 300089 SIEMENS OPTIONS SIEMOPT 150490 SPICE COMM. LTD OPTIONS SPCNOPT 870091 SPICEJET OPTIONS SPJOPT 2400092 STERLITE INDS OPTIONS STEROPT 87693 SUZLON OPTIONS SUZOPT 600094 TATA CHEMICALS OPTIONS TCHMOPT 2700

95 TATA COMMUNICATIONS LTD OPTIONS TCLOPT 1050

96 TCS OPTIONS TCSOPT 50097 TATA MOTORS OPTIONS TELOPT 170098 TECH MAHINDRA LTD OPTIONS TEMOPT 1200

99 TITAN INDUSTRIES LTD OPTIONS TILOPT 412

100 TISCO OPTIONS TISOPT 1528101 TATA POWER OPTIONS TPWOPT 400

102 TATA TELESERVICES MAHARASHTRA LTD OPTIONS TTLOPT 10450

103 UBI OPTIONS UBIOPT 2100104 UNITECH LTD OPTIONS UNIOPT 9000105 UNITED SPIRITS LTD OPTIONS USLOPT 250106 VOLTAS LTD OPTIONS VOLOPT 5400

107 WELSPUN-GUJARAT STAHL ROHREN LTD OPTIONS WGSOPT 3200

108 WIPRO OPTIONS WIPROPT 1200109 ZEE OPTIONS ZEEOPT 2800

77

78