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The hundred most active single-stock futures contracts on NSE traded 12.77 lakh contracts a day in October. That is the number a conventional ranking reports, and on its own it is close to useless for sizing a position.
More than half of a month's single-stock futures volume arrives in the handful of sessions around expiry. An average taken across all twenty sessions describes a month. It does not describe the session you will actually trade in.
Anyone who has spent time with a volume profile already has the instinct for this. A single summary number tells you very little about a distribution. Where the activity actually sat, and how much of the time it sat there, is a different question from what the total was.
If you are new to Volume Profile here is a quick check - https://vtrender.com/posts/what-is-the-market-profile
The same applies to a monthly liquidity ranking. So this study reports three numbers for every contract instead of one.
The average day is the conventional ranking metric, kept because everyone else uses it and comparisons need it. The median day is the middle session of the month — half the sessions were busier, half were thinner. It is much closer to what you meet on an ordinary Tuesday. The quiet-day floor is the single thinnest session the contract recorded all month, which is the constraint rather than the expectation.
For the October Top 100 combined, those three numbers are 12.77 lakh, 7.73 lakh and 3.29 lakh contracts. The median day runs at 61% of the average day. The floor is a quarter of it.
The gap between the average and the median is almost entirely rollover, and the individual names vary enormously in how much of it they carry. That variation is the useful part of the table.
October's Top 100 averaged 12.77 lakh contracts a day against 11.40 lakh in September, a rise of 12.1%. The median day rose 17.3%.
That ordering is the finding, and it is worth being slow about why. A month that gains only because rollover was heavier lifts the average and leaves the median behind, because rollover affects a handful of sessions and the median sits in the middle of the month. When the median rises faster than the average, the extra activity is arriving on ordinary sessions.
Three separate measures move the same way. The median day went from 58% of the average to 61%. The share of the month traded in the sessions around expiry fell for the first time since this series began. And the median rollover multiple — how many times busier a contract is during rollover than the rest of the month — eased from 4.4 times to 4.2.
October did not just trade more. It traded more on the days when nothing structural was forcing anyone to trade.
The full hundred-name table with all three numbers per contract runs across pages 2 and 3 of the report.
full report at - https://acrobat.adobe.com/id/urn:aaid:sc:AP:99757440-7090-4926-bb57-30f136dac9a6
Every contract in the table carries a rollover multiple: its average activity across the four sessions to and including expiry, divided by its average across the other sixteen. The Top 100 median is 4.2 times.
Some names sit far above that. NMDC ranks 82 on the average day, which places it comfortably inside the hundred, and its median session is 2,076 contracts. Its rollover multiple is 11.3. AMBUJACEM ranks 53 and runs at 10.5. On an ordinary October session neither contract is anywhere near where its rank suggests. A rank built on averages alone will not tell you that, and it is exactly the sort of thing that shows up as a surprise when you try to get out of a position on a quiet Wednesday.
The other end of the table is just as useful. POLYCAB and TATAELXSI are the most evenly traded names in the hundred at 1.9 times. BSE sits at rank 10 with a median session of 20,631 against an average of 22,256 — a multiple of 2.5, and a contract that is close to as busy mid-month as it is at expiry. BHEL and TECHM both run at 2.4 while climbing more than thirty places.
The steadiest contracts are not the largest ones. That is a consistent finding across all three editions now.
The reason this is published monthly rather than once is that the list is mostly stable. 88 of the hundred names appear in both September and October. Twelve entered, twelve left. The month before, it was 89.
That stability is what makes the movement inside the list readable. If the hundred reshuffled every month there would be nothing to learn from a name climbing forty places. Because roughly nine in ten carry over, the ones that gained real ordinary-session interest stand out, and that is the part worth watching into the next series.
Among names present in both months, the largest gains were DMART from rank 96 to 40 on a 78% rise, PERSISTENT from 66 to 28, ITC from 16 to 7 on a 63% rise, BHEL from 73 to 36 and INFY from rank 3 to rank 2 on a 56% rise, which moved it ahead of RELIANCE for the first time in this series. Moving the other way: HDFCLIFE from 37 to 88, HAL from 47 to 94, BANDHANBNK from 65 to 98.
By sector, five of the seven groups we track grew faster on ordinary sessions than on the average day. IT and technology rose 35.5% on the average day and 57.9% on ordinary sessions alone. Capital markets and fintech was flat on the headline at −0.7% and up 13.5% on ordinary sessions, meaning its September activity had been more rollover-weighted than its October activity.
One caution the report states plainly: a single month's spike driven by news is not a liquidity characteristic of a contract. When a regulatory change or a one-off event concentrates a stock's entire month into a few sessions, that tells you about the event, not about how the contract normally trades. Those are flagged rather than read as signal.
The entrants, departures, rank movements and the full sector table are on page 5 of the report, with the complete session-level data in the accompanying workbook.
NSE publishes a deliverable quantity for every cash session alongside traded volume. Most shares traded in a session never change owner — they are bought and sold the same day. The delivery figure is the part that actually settles.
Set that against futures participation and you get a measure nobody in this universe was reporting: how many times the futures market moved a stock, in notional share terms, against how many shares the cash market genuinely delivered. Across the October Top 100 the median is 4.3 times, and the median delivery share is 49.6% of cash volume.
The spread is wide. IDEA delivers 28.9% of its cash volume and runs a futures-to-delivered ratio of 9.2 times. At the other end BHARTIARTL delivers 65.9% at a ratio of 1.8, and KOTAKBANK 67.1% at 2.0. All three are heavily traded Tier A futures contracts, and on this measure they sit at opposite ends of the table from each other.
Orderflow charts showing demand and supplt are at - https://vtrender.com/live-charts
The reason this is worth a section of its own is that it does not repeat anything else in the ranking. Delivery share has a rank correlation of +0.02 with the consistency measure — effectively none. It is an independent axis. A contract can be steady in futures and thin in delivery, or the reverse, and nothing in the main table would show it.
What it does not do is tell you a contract is fragile. We have run the decomposition, and roughly three-quarters of the variation across the hundred is the futures side of the ratio rather than the delivery side. For most high-ratio names it is a statement about where price discovery has migrated, not about the cash market thinning out. IDEA is one of the few where the delivery term dominates, and at a share price near Rs 12 that is close to mechanical.
This is a first edition of the measure. We are publishing the columns now so there is a baseline to compare November against.
The full October study runs to five pages. It carries the complete hundred-name table with average, median, quiet-day floor, twenty-session total, average turnover, rollover multiple, lot size and November open interest for every contract. Open interest in the 23 November expiry stood at 5.41 million contracts across these hundred names at the 30 October close — a position count carried into the new month, not a forecast of anything.
The delivery layer occupies page 4, with the extremes at both ends and the method behind the ratio. Page 5 covers where interest moved, the sector breakdown, the November carry-in and the method notes.
One boundary note worth repeating here. Rank 100 and rank 110 differ by 6% in average daily contracts this month, against 12% in September. The line at the bottom of the list is narrower than it was, so a name crossing it reflects a small absolute change and should not be read as a sharp distinction.
The October liquidity study is attached as a PDF, and the session-level workbook behind it is available on request.
kink at- https://acrobat.adobe.com/id/urn:aaid:sc:AP:99757440-7090-4926-bb57-30f136dac9a6
Vtrender Market Structure Desk · Vtrender Technologies Private Limited
Contract counts are not economic exposure; lot sizes differ by symbol. Rank order is a participation measure, not a tradability or execution-quality measure. Market-structure research and charting context only. Nothing here is a buy or sell recommendation, and nothing here says what any price will do next.
Markets don't move because indicators change.
Indicators change because markets move.
A practical reference for NSE & BSE derivatives traders. 366 pages, built to sit open beside live charts.