65% rollover seen in futures market ahead of expiry
26 Nov 09 01:18 PM
ET
Futures market witnessed a rollover of 65% of the positions as against 63% seen on the day prior (D-1) to expiry in October. On an average, 60% of the positions get rolled till D-1 futures market holds an open interest (OI) of Rs 54,100 crore, which is 8.5% more than the OI seen in October expiry on D-1. Indian markets have also rallied nearly 8% since October expiry.
Nifty has rolled 64% of the positions into the next series, which is similar to what was seen by D-1 of October
expiry. The roll cost expanded slightly to 20-25 bps in Wednesday’s trading session.
Nifty holds an OI of around 699,700 contracts (Rs 17,900 crore) of which 47,000 contracts got rolled on Wednesday along with a fresh addition of 51,000 contracts in the December series. The current OI is around 14% more than the D-1 of the previous expiry.
Open interest in the index rose by around 8% in Wednesday’s trading session alone, taking the tally to a 12.9% rise in the past two trading sessions.
Cement and FMCG futures have witnessed strong rollovers with cement rising to 74% from 52% on Tuesday and FMCG rising to 73% from 55% on Tuesday. Prominent counters are India Cements (83%/54%) and Hindustan Unilever (86%/75%).
Sugar and IT have seen a good spurt in rollover, with sugar rising to 71% as against 47% on Tuesday and IT to 68% as against 48% on Tuesday. Counters where rolls picked up were Renuka (72%/45%) and HCL Tech (71%/42%). Construction rollovers remain relatively the weakest at 59%.