May futures take battering
A CHALLENGE on 9,500 failed in early trading, sending May futures on a 215-point slide from the high to make 9,235 at the close.
On the day, the May futures fell 125 points, from the previous 9,360.
The close was a 23-point discount to the cash market.
June futures fell by the same margin to make 9,265 at the close.
Turnover was boosted by increasing roll-over activity, with 32,092 contracts traded.
Of the turnover, 22,701 contracts were in May and 9,391 were in June.
Judging by the way open interest has been shaping up for June it appears a lot of insurance is being bought for the half year to June 30.
Open interest for Tuesday in May was 32,142 contracts and in June it was 14,656 contracts.
In index options for May there were 9,973 calls and 8,891 puts. In June there were 6,373 calls and 10,301 puts.
In September there were 1,852 calls and 1,832 puts and in December there were 1,133 calls and 345 puts.
Jardine Fleming said: 'Option traders were conservative in the coming month and bought June puts.' Premium buyers bought June 9,400 straddles in the belief money would be made on betting the index was due to move significantly, up or down, in the future.