Emkay Alternate Intelligence Rollover below 3-month average

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Emkay Alternate Intelligence

Rollover below 3-month average

Nifty October futures started with an open interest of 19.34 million shares as against 3-month average of 20.48 million shares. With cost of carry fluctuating between premium and discount, no clarity emerges on the nature of accumulation. Among Nifty call options, maximum accumulation is observed in 5200 strike with an open interest of 4.36 million shares (Rs22.96 billion). Among Nifty put options, maximum accumulation is observed in 4800 strike with an open interest of 5.40 million shares (Rs26.33 billion). It is followed by an accumulation in 4700 strike with an open interest of 4.75 million shares (Rs22.60 billion). 

Nifty put-call ratio of open interest has increased to 1.35 levels. In the current calendar year, barring last series, downward reversals are generally seen from levels of 1.35-1.45. In the last series, the ratio sustained above 1.30 levels and moved towards the territory of 1.58 levels along with an upward movement in the index. We need to keep a close watch on the movement of the ratio in next 3-4 sessions. Any level over 1.45 would indicate positive sentiments prevailing while a move below 1.28 would indicate negative biasness.

Nifty rollover stands at 61.19% as against 3-month average of 69.80%. Market-wide rollover (excluding index) stands at 82.98% as against 3-month average of 85.78%. Higher rollover was seen in sectors such as Infrastructure (86.78%), Metals (84.82%) and Capital Goods (82.05%). Lower rollover is witnessed in FMCG (73.29%), Technology (73.79%) and Cement (75.11%).