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.
Showing posts with label Nifty. Show all posts
Showing posts with label Nifty. Show all posts
Wednesday, August 24, 2011
Friday, January 28, 2011
Rollover Analysis of February 2011 - Nifty
Rollover Analysis
Highlights
Nifty Futures started the current series with 2.00 crore shares in open interest.
The February series started the month with an open interest of Rs32,360 crore in stock futures, Rs11,209 crore in Nifty futures, Rs51,493 in index option and Rs1,961 crore in stock options.
The Nifty's current month rollover stands at 66.67 % vs last month?s rollover at 61.20%.
Market wide rollover was 83.65 % vs 84.56% last month.
The strongest rollover was seen in hotel, sugar, textiles and media sector stocks.
Trading, technology and FMCG stocks witnessed a poor rollover to the next series.
The highest price change on the positive side was recorded in Bombay Rayon Fashion, Jindal Saw, TV-18 and HCL Technologies.
IVRCL Infra, Bajaj Hindustan, LITL and Exide Industries were among the top price losers.
Rollover Stats
Highlights
Nifty Futures started the current series with 2.00 crore shares in open interest.
The February series started the month with an open interest of Rs32,360 crore in stock futures, Rs11,209 crore in Nifty futures, Rs51,493 in index option and Rs1,961 crore in stock options.
The Nifty's current month rollover stands at 66.67 % vs last month?s rollover at 61.20%.
Market wide rollover was 83.65 % vs 84.56% last month.
The strongest rollover was seen in hotel, sugar, textiles and media sector stocks.
Trading, technology and FMCG stocks witnessed a poor rollover to the next series.
The highest price change on the positive side was recorded in Bombay Rayon Fashion, Jindal Saw, TV-18 and HCL Technologies.
IVRCL Infra, Bajaj Hindustan, LITL and Exide Industries were among the top price losers.
Rollover Stats
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