I’ve prepared these insights using NSE’s business growth data for the derivatives segment.
If the picture is unclear, you can refer to this Google sheet.
Few insights:
- There was a significant premium turnover in March while the number of contracts traded saw a decline. This can be attributed to the increase in implied volatility making options premiums expensive.
- We see a decrease in both turnover and contracts traded in April. SEBI enforced restrictions on positions that FII/DII/Props can take to 500 Cr. This is explained in this post by @nithin
- While there was a decent recovery in turnover in May, June saw a substantial increase in both the number of contracts traded as well as the turnover(about 50% higher than May). This could be attributed to the drop in implied volatility as well as the new margin framework leading to traders being able to take more limited loss option strategies with significantly lower margins. The details of the new margin framework are explained here.
If you look at the OI chart, you will see a similar trend in the open interest at the exchange.
SEBI’s regulatory measures due to market volatility still continue till August expiry as per this circular. It would be interesting to see if the volume picks up significantly once the restrictions on FII/DII/MFs of open positions worth 500 Cr are lifted.