Beruflich Dokumente
Kultur Dokumente
August 2017
August 2017
1. Important Circulars 1
a. Capital Raised
b. New Listings
a. Index Watch 2
7. Index Derivatives 7
8. Currency Derivatives 8
Back to contents
Key Highlights
1. The benchmark index NIFTY 50 depreciated by 1.58% in the current month and
closed at 9917.90 experiencing a high of 10137.85 and a low of 9685.55
2. During the month the volatility index India VIX appreciated by 0.44% and closed at
11.95 experiencing a high of 15.54 and a low of 10.49
3. The average equity volume was seen at Rs 26373 Cr vs Rs 21392 Cr; up by 23.3%
on YoY basis.
4. The average equity derivative volume was seen at Rs 81386 Cr vs Rs 67664 cr; up
by 20.3% on YoY basis.
1 . Important Circulars
1. Change in the Constituents of Indices
https://nseindia.com/content/circulars/FAOP35679.pdf
https://nseindia.com/content/circulars/FAOP35613.pdf
https://nseindia.com/content/circulars/FATAX35585.pdf
https://nseindia.com/content/circulars/FA35551.pdf
a. Capital Raised
b. New Listings
Back to contents
1
3. Equity & Equity Derivatives
a. Index Watch
Index Dashboard
August 31, 2017
Thematic Indices
NIFTY Commodities 4.50 8.64 25.02 9.44 10.63 15.30 1.15 0.83 0.68 17.77 2.22 1.91
NIFTY CPSE 2.86 -4.23 11.90 -0.76 6.14 15.85 0.87 0.60 0.36 11.55 2.07 3.87
NIFTY Energy 2.50 10.27 36.08 10.95 11.53 14.53 0.83 0.62 0.39 15.14 1.94 0.99
NIFTY India Consumption 0.59 4.76 13.99 13.05 18.44 13.05 1.01 0.85 0.73 54.62 5.48 0.90
NIFTY Infrastructure -2.28 3.44 13.25 2.20 8.27 14.39 1.06 0.81 0.65 49.14 2.21 1.05
NIFTY MNC 1.66 10.21 26.84 17.13 19.22 13.85 1.04 0.82 0.68 27.35 7.71 0.97
NIFTY PSE 4.08 1.86 17.22 4.36 7.77 15.01 0.94 0.68 0.47 14.10 2.02 3.00
NIFTY Services Sector -2.22 4.25 16.71 10.62 16.02 11.69 0.99 0.93 0.87 25.57 3.25 0.77
NIFTY100 Liquid 15 1.35 8.37 17.85 7.09 14.13 17.89 1.42 0.87 0.76 20.26 2.57 0.98
NIFTY Midcap Liquid 15 -3.58 -1.35 19.61 11.33 19.16 19.59 1.42 0.80 0.63 27.13 2.41 0.76
NIFTY Aditya Birla Group 0.80 3.35 12.52 10.37 16.68 20.21 1.28 0.69 0.48 - 2.43 0.33
NIFTY Mahindra Group 0.57 2.22 -1.04 -1.25 14.90 16.87 1.02 0.66 0.44 21.76 3.63 1.20
NIFTY Tata Group -0.89 -1.55 0.67 0.74 13.03 16.76 0.92 0.60 0.36 32.42 4.36 1.36
NIFTY Tata Group 25% Cap -1.38 -1.32 2.61 1.91 12.63 18.29 1.31 0.78 0.62 45.00 3.11 1.04
NIFTY Shariah 25 0.76 5.64 14.18 11.22 16.88 11.19 0.90 0.88 0.78 32.55 5.02 0.98
NIFTY50 Shariah 2.70 7.80 21.63 10.65 15.51 11.24 0.86 0.84 0.70 27.11 4.57 1.10
NIFTY500 Shariah 1.37 6.42 20.24 13.65 17.99 11.35 0.92 0.89 0.78 31.14 5.03 0.88
Strategy Indices
NIFTY100 Equal Weight -0.62 4.71 14.32 11.16 16.87 13.15 1.09 0.91 0.83 27.88 3.29 1.35
NIFTY Alpha 50 1.28 8.52 31.17 20.83 25.37 19.95 1.49 0.82 0.68 22.46 3.05 0.78
NIFTY Dividend Opportunities 50 1.87 2.27 15.55 6.77 10.66 12.03 0.97 0.88 0.78 17.99 3.23 2.43
NIFTY High Beta 50 -2.67 6.15 22.30 3.78 8.77 23.82 1.75 0.81 0.65 - 1.31 0.72
NIFTY Low Volatility 50 -0.81 3.56 9.12 14.65 17.78 11.01 0.93 0.93 0.87 26.38 3.75 1.39
NIFTY100 Low Volatility 30 -0.07 3.96 9.60 11.00 15.38 10.32 0.88 0.94 0.87 23.94 4.06 1.46
NIFTY Quality 30 -0.61 0.77 3.84 6.48 14.58 10.75 0.87 0.89 0.79 26.15 6.26 1.70
NIFTY50 Value 20 -1.91 3.68 13.44 4.72 12.81 11.22 0.90 0.88 0.78 20.43 2.45 1.34
NIFTY Growth Sectors 15 -0.27 1.87 10.79 9.91 18.09 11.63 0.84 0.79 0.63 32.29 8.25 0.97
NIFTY50 PR 1x Inverse 2.01 -1.69 -6.97 -2.51 -7.28 10.98 -1.00 -1.00 1.00 - - -
NIFTY50 TR 1x Inverse 1.92 -2.43 -8.14 -3.68 -8.41 10.99 -1.00 -1.00 1.00 - - -
NIFTY50 PR 2x Leverage -3.73 4.47 18.48 6.17 17.35 21.96 2.00 1.00 1.00 - - -
NIFTY50 TR 2x Leverage -3.53 6.04 21.54 8.78 20.26 21.99 2.00 1.00 1.00 - - -
NIFTY 50 Arbitrage 0.39 1.39 5.12 6.61 7.38 1.85 0.01 0.03 0.00 - - -
NIFTY 50 Futures -1.92 2.35 8.29 2.15 7.01 10.71 0.96 0.99 0.98 - - -
NIFTY50 USD -1.63 3.63 17.80 5.52 10.34 13.10 1.14 0.96 0.92 - - -
NIFTY50 Equal Weight -0.41 3.66 11.45 6.59 12.40 12.02 1.04 0.95 0.90 25.10 3.19 1.16
Sectoral Indices
NIFTY Auto -3.55 -2.38 7.23 11.37 22.23 17.61 1.30 0.81 0.66 40.55 6.34 0.58
NIFTY Bank -3.13 3.81 22.90 15.60 19.47 14.58 1.13 0.85 0.73 27.21 2.80 0.19
NIFTY Financial Services -1.66 6.19 24.07 15.94 18.99 13.95 1.13 0.89 0.79 28.46 3.42 0.30
NIFTY FMCG 0.35 -0.03 14.27 10.19 13.62 17.45 0.98 0.62 0.38 42.99 13.49 1.42
NIFTY IT -1.84 0.09 0.12 -0.38 11.70 15.70 0.55 0.38 0.15 17.12 4.08 1.98
NIFTY Media -4.32 -3.25 0.01 16.17 17.75 20.48 1.23 0.66 0.43 37.99 6.53 0.65
NIFTY Metal 6.59 17.67 35.38 4.10 6.34 23.87 1.52 0.70 0.49 16.51 1.90 3.12
NIFTY Pharma -6.51 -1.83 -22.89 -4.22 9.42 18.96 0.82 0.48 0.23 43.38 4.24 0.57
NIFTY Private Bank -2.09 4.62 22.75 19.31 23.66 14.66 1.13 0.85 0.72 27.19 3.08 0.13
NIFTY PSU Bank -11.59 -6.35 5.81 -1.89 3.89 26.89 1.48 0.60 0.36 33.76 1.08 0.70
NIFTY Realty -0.90 11.98 36.41 8.37 7.10 31.19 1.75 0.62 0.38 69.96 1.26 0.42
# Returns upto one year are absolute returns. Returns for greater than one year are CAGR returns.
-Volatility (Average daily standard deviation annualized), Beta, Correlation
2
& R for 1 year period.
-P/E, P/B & Dividend Yield as on August 31, 2017
-Returns of NIFTY50 Inverse, NIFTY50 Leverage and fixed income indices are not considered to identify the highest gainer and loser in the table above.
2 Back to contents
b. Trade Statistics & Growth
Cash Market
Turnover (INR Crore) NIFTY50 Index
45000 10200
40000
10100
35000
Turnover (INR Crore)
10000
30000
NIFTY50 Index
25000 9900
Rs. 26373 Crore
20000 9800 Average Daily Turnover
15000
10000
9700 for Aug 2017
9600
5000
0 9500
Instrument Aug-17 Aug-16 YOY Change Instrument Aug-17 Jul-17 MOM Change
Daily Average T/O Rs Cr. 26373 21392 23.3% Daily Average T/O Rs Cr. 26373 25902 1.8%
1400000 10100
Turnover Rs lacs
1200000
10000
Index value
1000000
800000
9900
Rs. 81386 Crore
Average Daily Turnover
9800
600000
400000
9700
for Aug 2017
200000 9600
0 9500
Daily Average Turnover Rs. Crs Daily Average Turnover Rs. Crs
Instrument Instrument
Aug-17 Aug-16 % Change Aug-17 Jul-17 % Change
Index Futures 19015 17695 7.5% Index Futures 19015 16511 15.2%
Stock Futures 59903 48294 24.0% Stock Futures 59903 58779 1.9%
Index Options Premium 1862 1268 46.8% Index Options Premium 1862 1490 25.0%
Stock Options Premium 606 407 48.9% Stock Options Premium 606 531 14.2%
Total 81386 67664 20.3% Total 81386 77311 5.3%
Back to contents
3
c. Instrument wise Turnover
STK OPT
0.7%
IDX OPT
2.3% IDX FUT
23.4%
Index derivatives contributed
25.65% of total
STK FUT
73.6% equity derivatives turnover.
Cash Markets
Cash Market Equity Derivatives
EQUITY DERIVATIVES
RETAIL RETAIL
54.81% 54.26%
Client Proprietary Other
PRO
81.47% 26.17% 73.83%
18.53%
IndexFUTIDX
Futures StockFUTSTK
Futures
RETAIL RETAIL
57.6% 53.7%
Proprietary Proprietary Other
29.6% Other, 70.4% 24.4% 75.6%
Index Options
OPTIDX Stock Options
OPTSTK
RETAIL RETAIL
Proprietary 42.2% 45.7%
Other, DII
43.2% Proprietary Other
56.8% 0.1%
40.3% 59.7%
DII
FII 0.0%
FII
14.5% 14.0%
Back to contents
4
Currency Derivatives
CURRENCY DERIVATIVES
RETAIL
PRO Other 31.01%
64.94% 35.06% DII
0.54%
FII
3.51%
e. Participant wise Open interest - as on Aug 30, 2017, i.e. one day prior to equity derivatives expiry
Future Index Long Future Index Short Future Stock Long Future Stock Short
Option Stock Call Long Option Stock Call Short Option Stock Put Long Option Stock Put Short
Back to contents
5
f. Internet Based Trading Turnover
230000
2000000 5500
800000
180000
1500000 4500 600000
0 1500 0 30000
Peak Turnover (Rs Cr.) 8554.11 Peak Turnover (Rs Cr.) 396571.06
Average Traded value (Rs Cr.) 7483.65 Average Traded Value (Rs Cr.) 201597.87
80
1.0%
Spread Points
60
40 0.5%
20
0.0%
0
INDEX NIFTY50 NIFTY BANK NIFTY IT NIFTY INFRA NIFTY PSE NIFTY MIDCAP 50 INDIA VIX
NIFTY50 100% 89% 51% 84% 71% 81% -75%
NIFTY BANK 89% 100% 35% 66% 56% 75% -60%
NIFTY IT 51% 35% 100% 23% 29% 15% -30%
NIFTY INFRA 84% 66% 23% 100% 79% 87% -71%
NIFTY PSE 71% 56% 29% 79% 100% 70% -53%
NIFTY MIDCAP 50 81% 75% 15% 87% 70% 100% -48%
INDIA VIX -75% -60% -30% -71% -53% -48% 100%
Back to contents
6
6. Most Active Securities based on Turnover
Sr. No. Symbol Gross Traded Quantity (Lacs) Gross Traded Value (Cr) % Contribution
1 INFY 2912 26915 4.87%
2 HDFC 588 10258 1.85%
3 RELIANCE 643 10218 1.85%
4 SBIN 3379 9764 1.77%
5 YESBANK 474 8341 1.51%
7. Index Derivatives
Index Futures Index Options
NIFTYIT
0.1%
NIFTY
37.3%
BANKNIFTY
39.2%
NIFTY
60.7%
BANKNIFTY
62.7%
NIFTY FUTURE - EXPIRY WISE VOLUME NIFTY OPTIONS - EXPIRY WISE VOLUME
(NUMBER expiry
NIFTY Futures OF CONTRACTS
wise )trading volume NIFTY Options expiry
(NUMBER wise trading
OF CONTRACTS ) volume
Oct Others
Sep 0.73% Sep 0.84%
14.25% 7.45%
Oct
0.39%
Aug Aug
85.02% 91.32%
* No. of contracts traded
between 27 Jul 2017 to 31 Aug 2017
Back to contents
7
8. Currency Derivatives
OI contracts Lacs
OI Contracts lacs
30
Notional Turnover Rs Cr
12,000 50
24 25
10,000
40
8,000
16
20
6,000 30
15
4,000 8 20 10
2,000
10 5
- -
0 0
Daily Average Turnover Rs. Crs Daily Average Premium Turnover Rs. Crs
Instrument Instrument
Aug-17 Aug-16 YOY Change Aug-17 Aug-16 YOY Change
8477.25 8086.15 4.84% 28.73 21.50 33.66%
Currency Currency
Aug-17 Jul-17 MOM Change Aug-17 Jul-17 MOM Change
Futures Options
8,477.25 7567.36 12.02% 28.73 23.82 20.62%
Currency pair wise open interest
(NUMBER OF CONTRACTS )
Currency pair wise Open Interest Currency
Currency pairturnover
pair wise wise Turnover
(Rs. Crs)
USDINR
EURINR 82.10% EURINR
3.35% 8.55%
USDINR
95.10%
GBPINR
1.06%
JPYINR
0.49% GBPINR
JPYINR 7.25%
2.10%
64.7
SPREAD
SPREAD
13-Aug
15-Aug
17-Aug
19-Aug
21-Aug
23-Aug
25-Aug
27-Aug
29-Aug
1-Aug
3-Aug
5-Aug
7-Aug
9-Aug
1-Aug
3-Aug
5-Aug
7-Aug
9-Aug
11-Aug
13-Aug
15-Aug
17-Aug
19-Aug
21-Aug
23-Aug
25-Aug
27-Aug
29-Aug
74.5 0.3
EURINR RATE
74.0 0.2
SPREAD
73.5 57.0
SPREAD
73.0 0.2
0.1
72.5 0.1
72.0
71.5 0.0 56.0
0.0
71.0
70.5 -0.1
70.0 -0.1
69.5
69.0 -0.2 55.0 -0.2
68.5
68.0 -0.3
1-Aug
3-Aug
5-Aug
7-Aug
9-Aug
11-Aug
13-Aug
15-Aug
17-Aug
19-Aug
21-Aug
23-Aug
25-Aug
27-Aug
29-Aug
3-Aug
9-Aug
1-Aug
5-Aug
7-Aug
11-Aug
13-Aug
15-Aug
17-Aug
19-Aug
21-Aug
23-Aug
25-Aug
27-Aug
29-Aug
Back to contents
8
9. NSE Bond Futures II
4500
4000 185000
Turnover Rs. Crs
3500 165000
OI Contracts
3000 145000
2500 125000 Rs. 1079 Crore
2000 105000
1500 85000
Average Daily Turnover
1000 65000 for Aug 2017
500 45000
0 25000
13.50
13.00
13.46 HIGH 15.54
12.50
12.62 LOW 10.49
12.00
11.50
11.92
11.70 CLOSE 11.95
11.00
10.50
10 day 30 day 60 day 90 day
Back to contents
9
12. Global Perspective
EMEA
10.61%
Rest of Asia- Pacific
6.57% EMEA Asia - Pacific
Asia- Pacific Rest of Asia-
Americas 10.24% 45.24% 54.70% NSE Pacific
79.16% 22.22% 32.49%
NSE
3.66%
Americas
0.05%
Index Option
Index Option Index Future
Index Future
EMEA
EMEA 32.60%
NSE
15.73%
39.28%
Rest of Asia- Pacific
Asia - Pacific Rest of Asia- 27.06%
Asia - Pacific
Americas 63.40% Pacific 29.42%
20.87% 24.12%
Americas
37.97%
NSE
2.36%
Disclaimer:
The National Stock Exchange of India Limited is proposing, subject to receipt of requisite approvals, market conditions and other considerations, an initial public offer of its equity shares and has filed a Draft Red Herring Prospectus
dated December 28, 2016 (DRHP) with the Securities and Exchange Board of India (SEBI). The DRHP is available on the websites of SEBI and the BSE Limited at www.sebi.gov.in and www.bseindia.com, respectively and of the
Managers, Citigroup Global Markets India Private Limited at http://www.online.citibank.co.in/rhtm/citigroupglobalscreen1.htm, JM Financial Institutional Securities Limited at www.jmfl.com, Kotak Mahindra Capital Company Limited
at http://www.investmentbank.kotak.com, Morgan Stanley India Company Private Limited at http://www.morganstanley.com/about-us/global-offices/india/, HDFC Bank Limited at www.hdfcbank.com, ICICI Securities Limited at www.
icicisecurities.com, IDFC Bank Limited at www.idfcbank.com and IIFL Holdings Limited at www.iiflcap.com. Investors should not rely on the DRHP for making any investment decision, and should note that investment in equity shares
involves a high degree of risk, and for details see the section titled Risk Factors in the red herring prospectus, when available.
Any securities referred to herein have not been and will not be registered under the U.S. Securities Act of 1933, as amended (the Securities Act), and may not be offered or sold in the United States absent registration or an exemption
from registration under the Securities Act. There is no intention to register any securities referred to herein in the United States or to make a public offering of the securities in the United States.
Incase you have any feedback on this reports please feel free to drop a mail to feedback@nse.co.in.
Back to contents
10