Rollover Analysis (November 27): Nifty may continue to consolidate amid high volatility...
(Time Zone: Arizona, USA)
- Nifty rolls were near 79% vs. 3M average of 76%.
- Marketwide rolls were at 93% in line with the 3M average.
- Highest rollover was seen in Zee Entertainment, Torrent Pharma, Biocon, Pidilite and Tata Power.
- Rollover activity was relatively low in PFC, National Aluminium, PVR, Gail and Berger Paints.
- Among index stocks, Maruti (99%), HCL Tech (98%) and Hindustan Unilever (98%) are witnessing high rolls into the next series while Gail (80%), ONGC (85%) and Power Grid (85%) are seeing relatively low rollover into the December series.
The open interest in the Nifty has increased further compared to the last month at inception. The December series is starting with open interest close to 11.4 million against 10 million shares seen in the last series. Nifty December futures added almost 2.7 million shares during the settlement trade. Moreover, the roll spread has increased sharply towards the settlement while Nifty December futures closed with almost 50 points premium compare to spot.
The open interest in the Bank Nifty has declined marginally compared to the last series. The new series OI is close to 1.4 million shares compared to 1.6 million shares seen in the last series. The roll spread in the banking index has remained under pressure around 50 points after significant outperformance in the last two months.