Efficiency of S&P CNX Nifty Index Option of the National Stock Exchange (NSE), India, using Box Spread Arbitrage Strategy

Box spread is a trading strategy in which one simultaneously buys and sells options having the same underlying asset and time to expiration, but different exercise prices. This study examined the efficiency of European style S&P CNX Nifty Index options of National Stock Exchange, (NSE) India by making use of high-frequency data on put and call options written on Nifty (Time-stamped transactions data) for the time period between 1st January 2002 and 31st December 2005 using box-spread arbitrage strategy. The advantages of box-spreads include reduced joint hypothesis problem since there is no consideration of pricing model or market equilibrium, no consideration of inter-market non-synchronicity since trading box spreads involve only one market, computational simplicity with less chances of mis-specification error, estimation error and the fact that buying and selling box spreads more or less replicates risk-free lending and borrowing. One thousand three hundreds and fifty eight exercisable box-spreads were found for the time period considered of which 78 Box spreads were found to be profitable after incorporating transaction costs (32 profitable box spreads were identified for the year 2002, 19 in 2003, 14 in 2004 and 13 in 2005) The results of our study suggest that internal option market efficiency has improved over the years for S&P CNX Nifty Index options of NSE India.    

Efficiency of S&P CNX Nifty Index Option of the National Stock Exchange (NSE), India, using Box Spread Arbitrage Strategy

Box spread is a trading strategy in which one simultaneously buys and sells options having the same underlying asset and time to expiration, but different exercise prices. This study examined the efficiency of European style S&P CNX Nifty Index options of National Stock Exchange, (NSE) India by making use of high-frequency data on put and call options written on Nifty (Time-stamped transactions data) for the time period between 1st January 2002 and 31st December 2005 using box-spread arbitrage strategy. The advantages of box-spreads include reduced joint hypothesis problem since there is no consideration of pricing model or market equilibrium, no consideration of inter-market non-synchronicity since trading box spreads involve only one market, computational simplicity with less chances of mis-specification error, estimation error and the fact that buying and selling box spreads more or less replicates risk-free lending and borrowing. One thousand three hundreds and fifty eight exercisable box-spreads were found for the time period considered of which 78 Box spreads were found to be profitable after incorporating transaction costs (32 profitable box spreads were identified for the year 2002, 19 in 2003, 14 in 2004 and 13 in 2005) The results of our study suggest that internal option market efficiency has improved over the years for S&P CNX Nifty Index options of NSE India

Role of Energy Exchanges for Power Trading in India

The Indian Electricity Act 2003 defines power trading as "The Purchase of electricity for resale thereof". In this study, we review various facets of power trading, Indian electricity market, power exchanges and the day-ahead spot electricity market of India. The power exchanges are attributed with inherent features like being nationwide, ensuring anonymity, offering transparency, being automated and enabling efficient price-discovery, we believe that, power trading in India is all set to undergo a paradigm shift in terms of volume of transaction through power exchanges, price discovery, number of participants and will eventually ensure in playing a major role in addressing the biggest concern of supply-demand mismatch of electricity in India. Keywords: Power Trading; Energy Exchanges; Indian Electricity Market JEL Classifications: C01; C22; C5

Renewable Energy Certificate Trading through Power Exchanges in India

Renewable Energy Certificate (REC) trading through power exchanges commenced in March 2011 in India. The enactment of Indian Electricity Act 2003 along with mandatory obligation of purchasing renewable power for distribution companies imposed by Central Electricity Regulatory Commission (CERC) and State Electricity Regulatory Commissions (SERC's) has propelled REC trading in Indian Electricity market. In this study we review REC trading in India, role played by power exchanges in facilitating REC trading, policy framework promoting Renewable energy, Renewable Purchase Obligation imposed and suggests the possible policy considerations for the regulators in future. Keywords: Renewable Energy Certificate (REC), Trading, Power Exchanges, India, Renewable Purchase Obligation, Solar REC, Non-Solar REC JEL Classifications: C01; C22; C53

Diversity of grain mold fungi on selected sorghum genotypes

To determine the diversity in mould fungi on sorghum genotypes both under field and laboratory conditions, 14 genotypes including six inbreds, one released hybrid and seven cultivars of varying grain mould resistance were selected and grown in Andhra Pradesh, India, in 2001. Under field conditions, the overall grain mould severity varied from 1.9 (IS 23599) to 9.0 (Bulk Y and SPV 104). The mould complex consisted of Alternaria, Curvularia, Fusarium and Phoma species, of which, Curvularia lunata [Cochliobolus lunatus] appeared as the most severe (severity up to 7.5) and Fusarium as the least severe (severity up to 2.0). Genotypes IS 8545, IS 14332, IS 14384 and IS 23599 were highly resistant (mean severity≤2.0), and C43, Sepon/79-26 and AKMS 14 B were resistant (mean severity 2.8-3.9). All these exhibited late flowering (74-79 days to 50% flowering, DTFPF) except IS 8545 (58 DTFPF) compared to the highly susceptible genotypes Bulk Y 51 and SPV 104 (51 and 73 DTFPF, respectively). Under laboratory conditions, the overall mean grain infection ranged from 20% (IS 23599) to 97% (Swarna). A. alternata was the most predominant (>10% grain infection in 11 genotypes) and the least was Phoma sorghina on only 5 genotypes. IS 23599 and IS 14332 were resistant (≤10% infection) to all 6 fungi. Diversity in fungal species causing grain mould was detected in field and plating tests. In the visual examination, four fungal genera had varying severity. Among these, C. lunata was predominant. F. moniliforme [Gibberella fujikuroi] was better detected in the plating tests than in the field. Late maturing IS 23599, IS 14332, IS 14384 and C43 exhibited high resistance under favourable weather conditions in the field and plating test

Percutaneous tricuspid valvotomy for pacemaker lead-induced tricuspid stenosis

AbstractPermanent pacemaker lead-induced tricuspid regurgitation is extremely uncommon. We report a patient with severe tricuspid stenosis detected 10 years after permanent single chamber pacemaker implantation in surgically corrected congenital heart disease. The loop at the level of the tricuspid valve may have caused endothelial injury and eventually led to stenosis. Percutaneous balloon valvotomy for such stenosis has not been reported from India

Detection of seedborne grain mold fungi in sorghum and their control with fungicidal seed treatment

Seeds of mould resistant sorghum cultivars IS 8545 and PVK 801, as well as those of the susceptible cultivars Bulk Y, SPV 104 and CSH 9 were used to investigate the nature of the seedborne nature of the predominant mould fungi infecting sorghum. Alongside this, the efficacy of thiram and Bavistin [carbendazim] SD and ST in controlling seed mould fungi was determined. Infection of seed coat, endosperm and embryo of sorghum was due to Fusarium verticillioides and Curvularia lunata [Cochliobolus lunatus]. Infection of plant tissues was lower in resistant than susceptible cultivars. Infection by C. lunata and F. verticillioides ranged from 20 to 84% and from 12 to 74%, respectively. All the fungicide treatments reduced the grain colonization by mould fungi in cultivars Bulk Y, SPV 104, IS 8545 and PKV 801 compared to the control. Seed treatment with thiram reduced seed infection by C. lunata, whereas seed treatment with bavistin reduced seed infection by F. verticillioides. Reduction in grain mould infection resulted in a 4 to 47% increase in grain yield