Rollover in Nifty higher than average::Emkay

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Rollover in Nifty higher than average

Nifty rollover stands at 54.90% on E-1 day basis, above its 3-month average of 51.60%. Despite higher open interest base in the current series and lower long roll cost, rollover remained above average. Nifty August futures registered a highest open interest of 23.72 million shares in the current series as against 22.70 million shares in the previous expiry.

Market-wide rollover (excluding index) stands at 62.27% as against 66.58% observed in the previous expiry. Higher rollover was observed in Auto (65.42% Vs 61.56%), Media (68.09% Vs 66.23%) and Energy (64.65% Vs 63.09%). Lower rollover was seen in sectors such as Telecom (54.04% Vs 71.04%), Metals (63.80% Vs 68.38%) and Cement (60.69% Vs 67.50%). Rollovers in Power (73.23% Vs 73.43%) and Capital Goods (60.65% Vs 60.70%) remained in line.

Nifty futures witnessed significant accumulation in open interest yesterday. The open interest increased by 16.50% to 29.62 million shares from 25.42 million shares. Maximum of accumulation seems to be on a long side as indicated by FIIs data. FIIs turned net buyers in the index futures segment to the tune of Rs3386 million.