Rollovers for December expiry
A subdued series saw a sharp selloff on the last day of its expiry as both Nifty and Bank Nifty Indices were off ~280/600 points from its peak.
Nifty Realty Index rallied ~11% during the series, posting highest gains since 2011.
Bank Nifty index outperformed Nifty by a whopping ~3.4% as the former gained ~1.25% and the later lost ~1.1% on eoe basis.
Short gamma positions in Nifty put options got trapped on the last day of the series as a sharp selloff in the index along with rising volatility weighed in.
Implied volatility measured by the India Vix Index surged ~16% higher, indicating a volatile scenario going forward.
DII’s and FII’s continued to remain on the opposite side of the trades for the fourth month in a row with DII’s pumping in a buying figure to the tune of ~Rs 8k Cr and FII’s pulling out ~Rs 12k Cr. FII’s index future long/short ratio hovered around ~1x throughout the series.
Rollovers of Nifty/Bank Nifty stood at 63% and 56% (1.78 cr and 15 lakh shares) as against 73% and 69% (2.31 cr and 17.4 lakh shares) respectively. Rollovers for Nifty were lower in terms of percentage as well as total open interest vis-a-vis last month and last three-month average.
Based on analysis of the mentioned data, on account of weak rollovers, we expect Nifty to face stiff resistance at the higher levels as the ceiling level for the index could be placed at 10,500 level for the December series. On the options front, December series starts with the maximum open interest in put options at 9,800 strike (3.6 mn shares) and maximum open interest in call option at 10,500 strike (4.9 mn shares).
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Via:: Stock – India Infoline