Rollover Write-up by Ms. Sneha Seth (Derivatives Analyst, Angel Broking):
"It was the third consecutive series, which concluded in the vicinity of 10800. Post strong short coverings move on the settlement day of the January series, we saw extension of this move beyond the important psychological level of 11000. But, unfortunately Nifty failed to sustain at higher levels and slipped sharply below the 10600 mark. Some recovery towards the fag end led February series closing slightly below the 10800 mark.
In the series gone by, we witnessed majority of long formation in Nifty futures and few of these positions have been rolled too. Rollovers in Nifty stood at 60%, which is considerably lower than the 3-month average of 65%. In fact, in terms of open interest too it was on the lower side. Now, the total outstanding contracts are lowest in last 4 series. At present, Nifty is light in terms of open interest and further development may dictate its upcoming direction. At current juncture, 10700-10750 is an immediate base for Nifty; whereas, hurdle is placed around 10900-10950. However, looking at the last three series price action and scattered open interest in Nifty options, we expect volatility to inch higher going ahead. As of now, traders are advised staying light in index until we don't see a sustainable move beyond the range of 10700-11000.
Rollover for the banking index stood at 76%, higher than 3-month average of 72%. However, the outstanding contracts plunged 18% MoM, which hints lower rollover in terms of OI. Recently, BankNifty has been consolidated in a range of 26600-27200. PSU banks were under pressure since mid of January series and now we are witnessing some signs of recovery in this pack. Hence, we would advise traders to draw their attention especially on PSU banking counters in the near term."