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NSE trading volumes: The decline continues

Since October F&O expiry, there’s been a sharp drop in futures & options turnover at the NSE; from 45000+ crores to ~35000 crores.

Daywise Turnover

Nov 2008
     Date     Index Futures Stock Futures Index Options Stock Options
No. of contracts Turnover (Rs. cr.) No. of contracts Turnover (Rs. cr.) No. of contracts Turnover (Rs. cr.) No. of contracts Notional Turnover (Rs. cr.)
03-Nov 834962 11736 768238 8542 840575 13314 42771 520.42
04-Nov 780911 11128 915690 10134 760232 11975 45160 520.54
05-Nov 949325 13767 1019103 11294 820304 12958 47870 530.12
06-Nov 1125600 15371 983999 10624 1121250 17279 50245 560.8
07-Nov 920834 12640 855955 9203 960095 14647 42397 472.26
10-Nov 660034 9518 736367 8080 784413 12204 42062 486.45

Yesterday, F&O turnover was a paltry 30,000 crore. We can blame this on lower roll-over, margin calls, higher margin requirements, lack of institutional interest, whatever. Fact is - trading volumes are drying up.

The cash segment is no better; we are down to ~ 9000 crores this week.

Between lower volumes and high volatility (VIX has now closed above 60 for 10 days in a row, IVs on Nifty options are > 60), this market has become quite tricky to trade. Profits vanish in a matter of minutes, trends reverse abruptly and impact costs keep getting larger.

More on this topic (What's this?)
Interesting Reads on S&P Futures, Valuations (Epiphany Investing, 10/27/08)
Which mini equity futures contract is best? (The Essentials of Trading, 11/10/08)
VIX Futures Market Outlook (Condor Options, 10/17/08)
What is the front futures contract? (The Essentials of Trading, 12/24/08)
Read more on Futures at Wikinvest

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