Format of the Monthly Reporting Format - SEBI - SMD/DC/Cir-12/02

Circulars GENERAL MANAGER SECONDARY MARKET DEPARTMENT SMD/DC/Cir-12/02 May 13, 2002 The Chief Executive Officers of Derivatives Segment of BSE and its Clearing House and The F O Segment of NSE and its Clearing Corporation Re: Format of the Monthly Reporting Format Dear Sir, The format of the Monthly Activity Report (MAR) is enclosed in Annexure A for the trading and settlement activities for the Derivatives / F O segment at the exchange. You are requested to submit the MAR as per the enclosed format from the month of May 2002 onwards latest by the 7 th of the following month. Yours sincerely, P. K. BINDLISH Encl. Format of Monthly Activity Report for the Derivatives / F O Segment Annexure A Monthly Activity Report I. Trading Statistics : 1. Summary of Trading in Derivatives for the year.............. Month Index Futures Index Options Stock Options Single Stock Futures Total Trading No. of Contracts Value of Contracts No. of Contracts Value of Contracts No. of Contracts Value of Contracts No. of Contracts Value of Contracts No. of Contracts Value of Contracts Apr-01 May-01 Jun-01 Jul-01 Aug-01 Sep-01 Oct-01 Nov-01 Dec-01 Jan-02 Feb-02 Mar-02 Apr-02 May-02 2. Trading Statistics for the month of................... Type of Derivative Contract Number of Trades Total No. of contracts Traded Total Value of contracts Traded (Rs. crores) Average No. of contracts Traded Average Trading Value in Rs. crores Average Open Interest (No. of Contracts) Average Value of Open Interest (Rs. crores) Total no. of contracts assigned Total Value of contracts assigned/ expired (in Rs. crores) Interim Assignments Final Assignments/ Expiry Index futures Contracts Index Option Contracts Stock Option Contracts Associated Cement Co. Ltd. Calls Associated Cement Co. Ltd. Puts Associated Cement Co. Ltd. Futures Bajaj Auto Ltd. Calls Bajaj Auto Ltd. Puts Bajaj Auto Ltd. Futures Bharat Petroleum Corp. Calls Bharat Petroleum Corp. Puts Bharat Petroleum Corp. Futures BHEL Calls BHEL Puts BHEL Futures BSES Ltd. Calls BSES Ltd. Puts BSES Ltd. Futures Cipla Ltd. Calls Cipla Ltd. Puts Cipla Ltd. Futures Digital Equipment (I) Ltd. Calls Digital Equipment (I) Ltd. Puts Digital Equipment (I) Ltd. Futures Dr. Reddy s Laboratories Calls Dr. Reddy s Laboratories Puts Dr. Reddy s Laboratories Futures Grasim Industries Ltd. Calls Grasim Industries Ltd. Puts Grasim Industries Ltd. Futures Gujarat Ambuja Cement Ltd. Calls Gujarat Ambuja Cement Ltd. Puts Gujarat Ambuja Cement Ltd. Futures Hindustan Lever Ltd. Calls Hindustan Lever Ltd. Puts Hindustan Lever Ltd. Futures Hindustan Petroleum Corp. Calls Hindustan Petroleum Corp. Puts Hindustan Petroleum Corp. Futures Hindalco Industries Ltd. Calls Hindalco Industries Ltd. Puts Hindalco Industries Ltd. Futures HDFC Ltd. Calls HDFC Ltd. Puts HDFC Ltd. Futures ICICI Ltd. Calls ICICI Ltd. Puts ICICI Ltd. Futures Infosys Technologies Ltd. Calls Infosys Technologies Ltd. Puts Infosys Technologies Ltd. Futures ITC Ltd. Calls ITC Ltd. Puts ITC Ltd. Futures Larsen Toubro Ltd. Calls Larsen Toubro Ltd. Puts Larsen Toubro Ltd. Futures Mahindra Mahindra Ltd. Calls Mahindra Mahindra Ltd. Puts Mahindra Mahindra Ltd. Futures MTNL Ltd. Calls MTNL Ltd. Puts MTNL Ltd. Futures Ranbaxy Labs Ltd. Calls Ranbaxy Labs Ltd. Puts Ranbaxy Labs Ltd. Futures Reliance Petroleum Ltd. Calls Reliance Petroleum Ltd. Puts Reliance Petroleum Ltd. Futures Reliance Industries Ltd. Calls Reliance Industries Ltd. Puts Reliance Industries Ltd. Futures Satyam Computer Services Calls Satyam Computer Services Puts Satyam Computer Services Futures State Bank of India Calls State Bank of India Puts State Bank of India Futures Sterlite Optical Technology Calls Sterlite Optical Technology Puts Sterlite Optical Futures Technology Telco Ltd. Calls Telco Ltd. Puts Telco Ltd. Futures Tata Power Co. Ltd. Calls Tata Power Co. Ltd. Puts Tata Power Co. Ltd. Futures Tisco Ltd. Calls Tisco Ltd. Puts Tisco Ltd. Futures Tata Tea Ltd. Calls Tata Tea Ltd. Puts Tata Tea Ltd. Futures Videsh Sanchar Nigam Ltd. Calls Videsh Sanchar Nigam Ltd. Puts Videsh Sanchar Nigam Ltd. Futures 3. Cash market total volumes (in Rs. crores) during the month and comparison of the same with the derivative market volumes (in Rs. crores) during the month, in percentage. 4. Comparison of volumes in futurer vis-a-vis options during the month. 5. Volume contribution from various participants in the market: Particulars Index Futures Index Options Stock Options Single Stock Futures In Rs. crores In % of total In Rs. crores In % of total In Rs. crores In % of total In Rs. crores In % of total Client Trading Proprietary Trading FII Trading 6. Comparison of Volumes in the derivatives market with the volumes in the underlying market during the month : Particulars Monthly Volumes in futures (in Rs. crores) Monthly Volumes in Options (in Rs. crores) Total Monthly Volumes in the Derivatives Market (in Rs. crores) Total Monthly Volumes in underlying (in Rs. crores) Futures and Option volumes Vs. Cash market volume (%) Associated Cement Co. Ltd. Bajaj Auto Ltd. Bharat Petroleum Corp. BHEL BSES Ltd. Cipla Ltd. Digital Equipment (I) Ltd. Dr. Reddy s Laboratories Grasim Industries Ltd. Gujarat Ambuja Cement Ltd. Hindustan Lever Ltd. Hindustan Petroleum Corp. Hindalco Industries Ltd. HDFC Ltd. ICICI Ltd. Infosys Technologies Ltd. ITC Ltd. Larsen Toubro Ltd. Mahindra Mahindra Ltd. MTNL Ltd. Ranbaxy Labs Ltd. Reliance Petroleum Ltd. Reliance Industries Ltd. Satyam Computer Services State Bank of India Sterlite Optical Technology Telco Ltd. Tata Power Co. Ltd. Tisco Ltd. Tata Tea Ltd. Videsh Sanchar Nigam Ltd. II. Price scanning range during the previous month: Name of the underlying Average scanning range (in % terms) Maximum scanning range (in % terms) Minimum scanning range (in % terms) Index Associated Cement Co. Ltd. Bajaj Auto Ltd. Bharat Petroleum Corp. BHEL BSES Ltd. Cipla Ltd. Digital Equipment (I) Ltd. Dr. Reddy s Laboratories Grasim Industries Ltd. Gujarat Ambuja Cement Ltd. Hindustan Lever Ltd. Hindustan Petroleum Corp. Hindalco Industries Ltd. HDFC Ltd. ICICI Ltd. Infosys Technologies Ltd. ITC Ltd. Larsen Toubro Ltd. Mahindra Mahindra Ltd. MTNL Ltd. Ranbaxy Labs. Ltd. Reliance Petroleum Ltd. Reliance Industries Ltd. Satyam Computer Services State Bank of India Sterlite Optical Technology Telco Ltd. Tata Power Co. Ltd. Tisco Ltd. Tata Tea Ltd. Videsh Sanchar Nigam Ltd. III. Compliance of the eligibility criteria of the stocks on which futures and options are traded: Name of the stock Maximum Volatility 4 times the Index Volatility Non-Promoter Holding 30% Trading Frequency 90% in last 6 months Free Float Market Capitalisation ₹ 750 crores Average Daily traded volume in the underlying market ₹ 5 crores All Criteria applied together Associated Cement Co. Ltd. Bajaj Auto Ltd. Bharat Petroleum Corp. BHEL BSES Ltd. Cipla Ltd. Digital Equipment (I) Ltd. Dr. Reddy s Laboratories Grasim Industries Ltd. Gujarat Ambuja Cement Ltd. Hindustan Lever Ltd. Hindustan Petroleum Corp. Hindalco Industries Ltd. HDFC Ltd. ICICI Ltd. Infosys Technologies Ltd. ITC Ltd. Larsen Toubro Ltd. Mahindra Mahindra Ltd. MTNL Ltd. Ranbaxy Labs Ltd. Reliance Petroleum Ltd. Reliance Industries Ltd. Satyam Computer Services State Bank of India Sterlite Optical Technology Telco Ltd. Tata Power Co. Ltd. Tisco Ltd. Tata Tea Ltd. Videsh Sanchar Nigam Ltd. IV. Member and FII Registration details : Type of Member No. registered upto previous month No. registered during the Month No. discontinued during the month Total No. Registered Total No. of Active Members Trading Members Trading cum clearing members Self-Trading cum Clearing Members Professional Clearing Members FIIs approved by exchanges for trading derivatives Comments on volume contribution by various class of Traders/Investors : V. Inspections conducted : Member type No. Registered No. Inspected during the month Total Inspected during the year Trading Members Trading cum Clearing Members Self-Trading cum Clearing Members Professional Clearing Members VI. Investor education programs : Region No. of Investor Education Programs held upto previous month in the year No. of Investor Education Programs held during the month Total Investor Education Programs conducted in the year Northern Region Southern Region Western Region Eastern Region VII. Certification programs : Month No. certified at the end of the previous month No. certified during the month Total No. certified VIII. Investor complaints in the derivatives segment : Pending at the beginning of the month Received during the month Resolved during the month Pending at the end of the month IX. Arbitration in the derivatives segment : Pending at the beginning of the month Received during the month Resolved during the month Pending at the end of the month