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INTERPRETATION
FUTURES :
ANALYSIS OF ICICI :
The objective of this analysis is to evaluate the profit/loss position of futures and options.
This analysis is based on sample data taken of ICICI BANK scrip. This analysis considered
the Jan 2015 contract of ICICI BANK. The lot size of ICICI BANK is 1700, the time period
in which this analysis done is from 01-01-2016 to 28.01.16.
Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16
Future Price
Market Price
235.3
233.45
227.6
217.1
211
204.8
205.3
211.65
206.4
209.2
207.75
197.4
192.15
203
195.2
192.7
195.4
198.5
198.9
237.3
233.2
230.15
217.2
210.4
204.05
203.95
209.4
208.55
209.4
207.25
199.25
193.55
203.5
196.6
190.75
196.15
198.8
198.45
Price
100
0
42373 42375 42377 42381 42383 42387 42389 42391 42396
42370 42374 42376 42380 42382 42384 42388 42390 42394 42397
Contract Dates
Future Price
Market Price
OPTIONS :
The following table explains the market price and premiums of calls.
The first column explains trading date
Second column explains the SPOT market price in cash segment on that date.
The third column explains call premiums amounting at these strike prices;
210,220,230,240,250.
Call options :
Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16
Market price
210
237.3
233.2
230.15
217.2
210.4
204.05
203.95
209.4
208.55
209.4
207.25
199.25
193.55
203.5
196.6
190.75
196.15
198.8
198.45
21.75
26.35
20.15
12.9
8.6
5.45
5.25
7.9
5.4
6.4
6.05
2.8
1.55
3
1.1
0.95
0.9
0.75
0.45
Table:2
CALL OPTION
Strike Prices
220
230
240
250
20
18.8
12.8
7.4
4.35
2.65
2.5
3.4
2.45
2.9
2.7
1.25
0.65
1.2
0.45
0.4
0.35
0.25
0.2
7.5
6.6
3.6
2
1
0.7
0.6
0.75
0.5
0.55
0.5
0.35
0.3
0.25
0.2
0.15
0.15
0.1
0.05
4.05
3.5
1.7
1
0.55
0.35
0.35
0.4
0.3
0.25
0.25
0.2
0.2
0.2
0.1
0.1
0.1
0.1
0.1
13
11.6
7.4
3.95
2.05
1.25
1.1
1.55
1
1.1
1.15
0.55
0.4
0.55
0.25
0.25
0.15
0.15
0.1
13
On the expiry date the spot market price is Rs. 198.45. As it is out of the money for
the buyer and in the money for the seller, hence the buyer is in loss.
Premium at the end of the contract is 0.1, So the buyer will have a loss i.e. 12.9 per
share. So the total loss will be 12.9*1700= 21,930 /SELLERS PAY OFF :
It is out of the money for the buyer and in the money for the seller, hence the seller
will be in profit
Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16
Put options :
Market price
237.3
233.2
230.15
217.2
210.4
204.05
203.95
209.4
208.55
209.4
207.25
199.25
193.55
203.5
196.6
190.75
196.15
198.8
198.45
210
220
230
240
250
2.1
3
3.15
5.8
7.6
10.25
10.1
6.25
8.95
7.25
8.45
15.1
18.95
9.85
16
19.5
14.85
12.15
11.5
4.15
5.1
5.6
10
13.2
17.5
17.05
12.05
16
13.95
14.7
23.55
26.5
17.95
24.8
28.15
22.4
21.9
21.65
7.4
8.75
9.8
16.25
20.45
26
25.65
21
23
22.25
23
30.85
36.6
27.1
35.05
38.85
34.75
30.75
32.75
12
13.5
15.75
24.15
30
36
38.85
33
30.8
30.9
32.4
42.5
47.2
34
37
48
44
40.7
41.9
18.25
20.3
23.8
32.5
38.9
44.85
47.1
47.1
38.35
38.35
44.9
52.1
52.1
52.1
72.05
60.5
54
54
52
Table:3
PUT OPTION
Example of Calculation of Profit or Loss :
BUYERS PAY OFF :
Those who have purchase call option at a strike price of 230, the premium payable is
7.4
On the expiry date the spot market price is Rs. 198.45. As it is in of the money for the
buyer and out of the money for the seller, hence the buyer is in profit.
Premium at the end of the contract is 32.75, So the buyer will have a profit i.e. 25.35
per share. So the total profit will be 25.35*1700= 43,095 /SELLERS PAY OFF :
It is in of the money for the buyer and out of the money for the seller, hence the seller
will be in loss.
FUTURES :
ANALYSIS OF SBI:The objective of this analysis is to evaluate the profit/loss position of futures and options.
This analysis is based on sample data taken of SBI scrip. This analysis considered the Jan
2016 contract of SBI. The lot size of SBI is 2000, the time period in which this analysis done
is from 01-01-2016 to 28-01-16.
Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
Market Price
Future price
184.4
185.25
179.9
172.75
169.4
166.05
162.85
168.2
172.15
167.05
159
184.45
186.1
180.8
173.2
169.6
166.75
163.3
169
172.35
167.45
159.7
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16
154.25
154.8
167.85
156.4
158.95
159.8
164.7
164.9
154.45
155.05
167.55
155.55
159.25
159.35
164.5
164.9
Chart Title
200
150
100
50
0
Market Price
Future price
The following table explains the market price and premiums of calls.
The first column explains trading date
Second column explains the SPOT market price in cash segment on that date.
The third column explains call premiums amounting
at these strike prices;
160,170,180,190,200
Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16
options:
Market price
184.4
185.25
179.9
172.75
169.4
166.05
162.85
168.2
172.15
167.05
159
154.25
154.8
167.85
156.4
158.95
159.8
164.7
164.9
160
170
180
190
200
23.75
24.95
22.6
17.15
14
12.95
10.8
13.95
14.9
12.65
8.75
5.75
4.35
9.95
3.7
5
3.9
6.5
6
18.2
19.45
14.75
10.8
8.15
7.25
5.85
7.9
9
7.15
4.65
2.75
1.75
4.8
1.35
1.7
1.1
1.65
1.2
12
12.65
8.8
6.3
4.45
3.7
2.9
4
4.75
3.65
2.25
1.3
0.75
1.9
0.55
0.65
0.4
0.4
0.25
7
7.35
4.95
3.35
2.2
1.85
1.4
1.9
2.15
1.65
1.1
0.6
0.3
0.75
0.3
0.25
0.2
0.15
0.1
3.75
4.05
2.5
1.8
1.1
0.9
0.65
0.8
0.85
0.7
0.55
0.25
0.25
0.35
0.15
0.15
0.1
0.1
0.05
Table:5
Call
12
On the expiry date the spot market price is Rs. 164.9. As it is out of the money for the
buyer and in the money for the seller, hence the buyer is in loss.
Premium at the end of the contract is 0.25, So the buyer will have a loss i.e. 11.75 per
share. So the total loss will be 11.75*2000= 23,500 /SELLERS PAY OFF :
It is out of the money for the buyer and in the money for the seller, hence the seller
will be in profit
Put options:
Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
Market Price
184.4
185.25
179.9
172.75
169.4
166.05
162.85
168.2
172.15
167.05
159
154.25
154.8
167.85
156.4
158.95
150
175
200
225
250
0.95
0.65
0.95
2.1
2.45
2.65
3.1
2.05
1.65
2.15
4.95
5.65
4.55
1
3.75
1.8
5.4
4.4
6.05
10.2
12
12.5
14.6
11.5
10
12.15
19
22
20.65
11
20.2
16.15
18.75
17.15
22
28.45
31.35
33
36
33.7
28.3
33
40
45
44.5
32.6
35.95
44.2
42.25
38.25
43.4
51.7
51.7
51.7
61
57.35
57.35
57.35
57.35
57.35
75
75
75
75
64.25
64
68.5
74.3
79.95
79.95
79.95
79.95
79.95
79.95
85
85
85
85
85
85
25-Jan-16
27-Jan-16
28-Jan-16
159.8
164.7
164.9
1.7
0.45
0.25
16.65
11.05
10
41.35
35
35
67.8
67.8
60
85
85
85.7
Table:6
PUT OPTION
Example of Calculation of Profit or Loss :
BUYERS PAY OFF :
Those who have purchase call option at a strike price of 200, the premium payable is
18.75
On the expiry date the spot market price is Rs. 164.9. As it is in of the money for the
buyer and out of the money for the seller, hence the buyer is in profit.
Premium at the end of the contract is 35, So the buyer will have a profit i.e. 16.25 per
share. So the total profit will be 16.25*2000= 32,500 /-
OBSERVATIONS, FINDINGS
Futures :
The future price of ICICI BANK & SBI are moving along with the market price.
If the buy price of the future is less than the settlement price, than the buyer of a future
gets profit.
If the selling price of the future is less than the settlement price, than the seller incur
losses.
Options :
In bullish market the call option writer incurs more losses so the investor is suggested to go
for a call option to
hold, where as the put option holder suffers in a bullish market, so he is suggested to write a
put option.
In bearish market the call option holder will incur more losses so the investor is suggested to
go for a call option
to write, where as the put option writer will get more losses, so he is suggested to hold a put
option.
CONCLUSION
The derivatives market is newly started in India and it is not known by every
investor, so SEBI has to take steps to create awareness among the investors about
the derivative segment.
In order to increase the derivatives market in India, SEBI should revise some of
their regulations like contract size, participation of FII in the derivatives market.
Contract size should be minimized because small investors cannot afford this
much of huge premiums.
SEBI has to take measures to use effectively the derivatives segment as a tool of
hedging.
SUMMARY
Derivatives market is an innovation to cash market. Approximately its daily turnover
reaches to the equal stage of cash market.
In cash market the profit/loss of the investor depends on the market price of the
underlying asset. The investor may incur huge profits or he may incur Huge losses.
But in derivatives segment the investor enjoys huge profits with limited downside.
In cash market the investor has to pay the total money, but in derivatives the investor
has to pay premiums or margins, which are some percentage of total contract.
Derivatives are mostly used for hedging purpose.
In derivative segment the profit/loss of the option writer purely depends on the
fluctuations of the underlying asset.