F&O tracker: Low rollover keeps street on the edge

Hemant Nahata, IIFL

MUMBAI: A sharp increase in VIX has been the talk of the town as market participants were surprised by the Fed announcement of an unscheduled meet on Monday and showed some anxiety relating to the Winter session of Parliament. The rollover ahead of the event has been one of the weakest with just two days left for expiry. Nifty rolls stood at 41% (6-month average of 42%); in terms of shares, rolls stood at 1.12 million shares as against 6-month average of 1.03 million shares.

Surprisingly, Banknifty rolls are at 29% (as against 32%) with COC dipping to 51 bps (6 months average of 67bps). FIIs Index longshort ratio stands at 1x much lower than 2.2x at the start of the November series. We have seen a marginal revival in the figures largely on account of rollovers. However, the ratio is still hovering at lower levels making the December series extremely critical for the near term direction of the market.

On Nifty options front, Nifty 79008000 call (maximum OI) has seen OI build-up, while 7700 PUT (maximum OI) has seen OI unwinding reflecting nervousness among traders ahead of the event. The August expiry scare (Nifty tanks 5% three days before expiry on Yuan devaluation) has led option writers to aggressively take positions (ahead of an event) on the option front for the current expiry.

On the stock front, Maruti Suzuki has seen 27% rollover, much lower than its 6-month average of 45%. In addition, Maruti COC (cost of carry) has also dipped into negative as against a 6-month average of 0.58bps indicating participants are not rolling over their positions to the next series.