Nifty rollover stands at 23.93% on E-3 day basis, marginally below its 3-month average of 25.86%. Long roll cost (excluding dividend) decreased to 5-6 points from 11-12 points as observed in the previous week. Despite the fact that long roll cost on E-3 day basis stands lowest in last 2 series, rollover continues to remain in line with past average indicating lower probability of any significant expansion in the roll cost.
Market-wide rollover (excluding index) stands at 31.21% as against 34.48% observed in the previous expiry. Higher rollover was observed in Power (45.24% Vs 41.04%) and Energy (34.47% Vs 32.99%). Lower rollover was seen in sectors such as FMCG (32.55% Vs 38.28%), Technology (25.87% Vs 30.87%) and Cement (30.65% Vs 35.15%).
Observing the open interest concentration pattern in the September series, maximum accumulation among call options is concentrated at 5400 strike (2.31 million shares) followed by 5000 strike (2.27 million shares). Among put options, maximum open interest is concentrated at 5000 strike (3.84 million shares) followed by 4800 strike (3.55 million shares). With global markets showing signs of consolidation, we expect a downward shift in the accumulation pattern to 4800 put option and 5000 call option.
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