F&O rollover data suggests that Nifty has started the December series on a higher open interest base. What does this indicate?

Nifty futures will start the December series on a higher open interest (OI) base with futures rollover at 79% compared to an average of 76% in the last three series, Nuwama said in a note. He expects the Nifty to trade in a broad range of 23,450 to 25,000 with increasing volatility in play.

Rs. 30,800 crore (1.29 crore shares), the OI base in December seen at the start of the November series was Rs. 28,100 crore (1.16 crore shares) compared to the previous year, an analysis by the brokerage revealed. On the expiry day, the roll cost for the Nifty was around 60 bps which was close to the previous day’s 57 bps.

At the start of the December series, market-wide futures open interest stood at Rs. 4.4 lakh crore which at the beginning of November series is Rs. 4.1 lakh crore was. Meanwhile, market-wide rollover stands at 89%, higher than the three-month average of 88%.

For Bank Nifty, the rollover reached 76.8% on Wednesday, higher than the previous expiry of 69.4%, Axis Securities said, above the three-month average of 68% and the six-month average of 65%, indicating strong rollover. Activity in the 12-stock index.

As for stock futures, the rollover is 93%, higher than the average rollover of 92% over the last three series. Most of the frontline names saw their roll prices hovering around 53-58 bps with an average roll price drop of 1-2 bps on a day-to-day basis.

Several stocks like Indiamart Intermesh, Punjab National Bank (PNB), RBL Bank, Cholamandalam Investment and Finance Company and Berger Paints saw higher rollover on Thursday than the previous expiry day, Axis Analysis said. In contrast, stocks like ACC, JSW Steel, Bharat Petroleum Corporation (BPCL), Coforge and Alchem ​​Laboratories experienced lower rollovers on the same day.

Sector-wise, FMCG, media, finance, chemicals and banking sectors experienced higher rollovers, while power, metals and realty sectors saw lower rollover activity compared to the same day of the previous expiry.

Nuwama said markets are finding themselves at a difficult crossroads where the directional view is unclear.

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