The Nifty futures witnessed a rollover of 75 per cent to November series, as it appeared traders preferred to await US poll outcome.
The Nifty Oct futures closed marginally in discount at 11668.75 against the spot close of 11,670.80, while the Nifty November at 11,667.90 too ended in discount signalling the cautiousness of traders. The Nifty December futures closed in premium at 11,683.85.
The Bank NIfty futures saw a rollover of 78 per cent, indicating higher traders interest. Bank Nifty futures closed in discount at 24,080.95 with respect to the spot close of 24,092. Bank NIfty November futures closed almost on par with the spot close of 24090.80.
“Nifty futures witnessed rollover of around 72 per cent on provisional basis, which is slightly lower than last 3 months’ average of 76.05 per cent, indicating that the long bias is intact and some position is being liquidated ahead of the volatile market scenario and US presidential election,” said Chandan Taparia, Derivative & Technical Analyst, Motilal Oswal Financial Services Ltd.
Maximum put open interest is at 11000, followed by 11500 strike,, while the maximum call OI is at 12,000, followed by 12,500 strike.
“We have seen marginal ‘call writing’ in 11700 and 12000 strike, while ‘put writing’ is seen at 11600, then 11000 strike. Option data suggests a wider trading range between 11200 and 12000 zones,” said Taparia. Bank Nifty rollover of around 80 per cent on provisional basis is in line with the last 3-month average of 77.32 per cent. “This indicates more long aggression seen in Banking index,” said an analyst.
Volatility index rising
India VIX gained around 2 per cent on series to series basis. The VIX surpassed its previous series high of 23.87 mark and the base is shifting higher, which is the reason for the roller-coaster ride of the Indian market. “We are witnessing higher volatility due to the US presidential election and weakness in global market,” he added.
Marketwide rolls were at 86 per cent against the 3M average of 85 per cent.
Among index stocks, Grasim Industries, JSW Steel and Adani Ports are witnessing high rolls into the next series, while TCS and ONGC are seeing relatively low rollover into the November series.
Among others, counters such as Siemens, Federal Bank, IDFC First Bank, Havells and LIC Housing Finance have seen higher rollover while Coforge, Petronet LNG, Godrej Consumer Products, NMDC and Cholamandalam Finance have witnessed low rollovers..