The Hindu Business Line : Rollover of open interest is still modest

Chennai, Aug. 25 Despite this being the settlement week for the August series, trading volume improved only marginally to Rs 45,979.13 crore in the F&O segment on Monday against Friday’s turnover of Rs 44,332.45 crore. The NSE August future finished in a premium of just about one point at 4336.5 against the spot close of 4335.35.

The rollover of Nifty open interest positions improved to 29 per cent, which is quite normal considering the recent rollover positions.

Among the options, Nifty September 4300, 4400 and 4000 strikes were the most active. On the call side, only 4500 strike remained active. While the puts saw sharp accumulation in open interest positions, the call saw the emergence of writers. This suggests that 4500 could act as a strong resistance for the Nifty.

India VIX or NSE volatility index, which measures the expected immediate volatility of the market, zoomed to 45.11 against Friday’s close of 35.76 points. The peak of 45.57 points it attained at around 3 p.m. suggests that traders have accumulated the puts only during the closing hours of the market, expecting further volatility in tomorrow’s session as well.

Stock futures

Reliance was the most active followed by Ranbaxy, Tata Steel and ICICI Bank. Intense reverse arbitrage play was visible in Ranbaxy counters. It seems traders have sold Ranbaxy August futures and bought September futures. Prices are set to align with the spot close during the expiry providing good reverse arbitrage opportunities for traders. While the Ranbaxy August future closed at 512.45, a fall of 1.77 per cent over the previous day’s close, the September future ended at 404.55, a gain of 4.8 per cent. However, both shed open interest positions, indicating reversal of traders’ positions.

While the overall rollover of stock futures was quite modest at 27 per cent, select counters such as Balaji Telefilms (59 per cent), Century Textiles (64 per cent), HCL Infosys (75 per cent), GTL Infrastructure (78 per cent) and India Cement (74 per cent).

Reliance Industries saw a rollover of 21 per cent and Reliance Petroleum, which is scheduled to announce its operation in September month, witnessed a rollover of 25 per cent only.

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