WITH THE NATIONAL Stock Exchange’s (NSE) first Tuesday expiry day for derivative contracts coming into effect, its volume touched the highest level since July-end.
Data show that a total of 366.77 million contracts were traded on Tuesday, having total notional turnover of * *672.39 lakh crore. Of this, index options notional turnover was 668.42 lakh crore and 95% of it came from Nifty contracts that expired Tuesday.
Experts believe that the move will benefit expiry as it will have an extra advantage of two days of higher volumes. With this, theta decay, or time decay, over the weekend will be less, said Osho Krishan, chief manager of technical and derivatives research at Angel One. He explained that expiry day activity is high, generally driven by at-the-money and just out-of-the money strikes.
The premium turnover of index options fell to *68,711 crore in the Tuesday expiry, from *72,659 crore on Thursday.
In June, Sebi, after considering responses from both the exchanges, assigned aTuesday expiry to the NSE and Thursday to the BSE.This came after a consultation paper restricted expiries on Tuesdays and Thursdays. It had said in the multi-exchange framework, spacing out of expiry days through the week reduces the concentration risk and provides an opportunity for the stock exchanges to offer product differentiation to market participants.
Sebi is concerned over higher expiry day volumes even after it has undertaken various restrictive measures, and is looking to improve the quality of the derivatives market by extending the tenure and maturity of such contracts.
Effective September, all contracts on the NSE including weekly, monthly, quarterly, and half yearly, will expire on Tuesday, while those on the BSE will expire on Thursday.