The positive sentiments in the market could be gauged by a continuing strong underlying trend in the market wide rollovers with a total of 64% open interest getting rolled over to the October series rising from 50% yesterday.
They still continue to be marginally higher than the average D-1 rollovers of 62% over the last few expiries.
The average rollover cost also picked up marginally to 78 bps from 73 bps yesterday (average of positives).
We expect the average rollover cost to shoot up further on the expiry day as the long rollers would come in aggressively to roll their position.
The average rollover cost on the expiry day over the last few expiries stand at 105 bps.
In Value terms, INR 419 bn worth open position has already been rolled to October series and another INR 270 bn needs to be rolled on the expiry day.
Rollovers in Nifty remained inline with that seen on D-1 of previous expiries with the same rising to 58% from 45% yesterday.
However in contradiction to the trend seen in previous expiries, the pressure on Nifty roll cost has been easing and the same has risen to -20 bps from -41 bps a few days back.
This signifies that short rollers have yet not rolled their position. With most of the short positions remaining to be rolled to October, we expect the pressure on Nifty roll cost to rise a bit on the expiry day. 95,804 contracts in Nifty got rolled over today and 26,714 fresh contracts were created in the October series. Current Nifty OI stands at 866,614 contracts, which is 3% lower than D-1 of previous expiry.
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