Monday, October 24, 2011

Institutional Activity

The FIIs have sold for about 1005 crore in cash markets in last 4 trading sessions and shorted a paltry 77 crores worth of futures in Index Futures. But the main activity has been the Index Options segment where they have made purchases worth 5300 Crores, indicating a certain movement in either direction. It seems Nifty is likely to test 5180 - 5200 range in coming sessions - thus giving an average returns of 50% to FIIs in a matter of just a week! (Smart Money - eh?)

Friday, October 21, 2011

The Lakshman Rekha

The S&P CNX Nifty Index is as flat as it could get, with ADX now at only 14, VHF hovering around 20 for months, and Nifty unable to close above 5200 odd levels. No matter what chart one may follow the Nifty is actually hovering around its averages. The Short Term indicators indicating some weakness.

Monday, October 17, 2011

Is it a bug?

The Formula for Cost of Carry is derived in the following manner: F = S * exp (r*t) - D. So, r = ln((F+D)/S)/t Where F - Futrues price S - spot price r - cost of carry t - time to expiry D - dividends to be paid during the life of the futures contract. But while on most days nseindia.com uses this formula to calculate CoC on some days it uses some other formula. I have written to them - since to say the least it's wierd or am I missing something? Or is it a bug in their site? Besides they choose Number of days in arbitrary manner, i.e., on Friday, 14th Oct 2011 it says The Expiry of the Current month falls on 25th of Oct, the No of days till expiry should be 11 as on Friday, 14th Oct 2011 but it takes 8 days for calculation
Hence it should be (using above formula):5.94%
Whereas it is hown as : 8.17%
Why?
P.S.: The mean CoC for the Oct Series has been 3.12% with a Standard Deviation of 2.81% which gives us a -1 to +1 σ range of 0.32% to 5.93% ... (Hic)