With the clarity emerging on the issue of open offer for the shareholders of the Ranbaxy Laboratories by the Japanese drug maker and acquirer Daiichi Sankyo on Tuesday, arbitrageurs utilised the price discrepancy in the counter between the cash and the futures market to their fullest. The strategy was simple for such arbitrageurs, buy in cash, submit the shares in open offer, sell September futures (anticipated date of payment from the open offer is September 22). The September derivatives contract expires on last Thursday of the month ie September 25.
At the NSE, the Ranbaxy counter traded at Rs 516.75 on Tuesday posting a loss of Rs 5.90 or Rs1.13 with trading volumes of 94 lakh shares as against a volume of 54 lakh shares in the previous trading session. The September futures of the Ranbaxy stock witnessed a short built up of 6.3 lakh shares in its open interest before ending the day at Rs 406.10, a loss of 6.63% or Rs 28.85. The delivery-based volumes in the stock saw a jump from around 20% in the month of June to around 50% on an average in the past few weeks.
A derivatives analyst at a leading broking firm said, “If an investor buys 100 shares of the Ranbaxy at the current market price of around Rs 520 and takes equally opposite exposure by selling 100 shares in futures. The investor submits entire holding in the cash market in the offer. Assuming an acceptance rate of around 33% in the offer, his 33 shares will be accepted by the acquirer at the rate of Rs 737 per share, his average holding price for the balance 67 shares works out to be Rs 408. The price of Ranbaxy stock is expected to rule around Rs 410 per share post the offer. Now, around the expiry of September contract, the Ranbaxy stock futures price is expected to fall to the levels of Rs 410 per share post the open offer, which closes on September 4, and the money will be realised by the investors on or before September 22.?