How is the turnover on NSE is calculated?

General
1

We see at the End of Day:
NSE Cash Volumes : 14000 crore
NSE F&O Volumes : 4 lakh crore
I want to know whether these values are Buy Side Values or Sell Side Values or something else?

2

Exchanges declare only one side volume. (Buy or sell doesn’t matter as both happen on the exchange itself). Somethings you need to know:

  1. Future volume is contract volume lot size x price

  2. Options it is contract volume, lot size x (option premium +strike). Hence option volume might artificially sound much bigger. You buy and sell 100 options of Strike 1000 at Rs 10 which requires you to have only Rs 1000 in your account, but this will result to a contract volume of 100 x (1000+10) Rs 1.1lks.

2 Likes
3

@Nithin, @siva: Can you please explain it for stocks, futures and then options separately with example for the future or stock.

At the end of day does exchange compute the Turnover using days (O+H+L+C)/4 * (Total volume displayed for the ticker).

If the formula is different, can you please share it as I want to compute it from the OHLCV and OpenInt data.
Can I do the computation?

Your help with greatly helpful.

Regards,
Anjani Singh

4

VWAP*Vol=Turnover
If vwap not available, you have to take ohlc4, no other way out of this problem.

1 Like
5

Thanks

6

Also some Interesting information on market turnover and the general growth trends in turnover, check out -