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Rollover of equity derivatives positions to October had a cautious undertone when September contracts expired on Thursday as traders felt benchmark indices might take a pause after the brisk rally over the last fortnight.
Traders carried forward 64% of total positions in Nifty futures on Thursday, similar to the rollovers seen in the last expiry. The market-wide rollover was at 73%, also in-line with the activity seen in the previous expiry.
Analysts said that even as mood in the market is relatively cheerful, the overall rollovers indicated that investors do not think September's rally will continue in the immediate period ahead.
"A large number of Nifty September series futures were left to expire, indicating that traders expect some consolidation in the index next month. This could be led by profit booking at these levels," said Sahaj Agrawal, deputy VP - derivatives research derivatives at Kotak Securities.
Nifty October futures closed at 5684.30, or at a premium of 34.8 points to the underlying index; the contract had an open interest of 2.18 crore units, as per provisional data. Nifty declined 0.25% to 5,649.50. The index has gained 6.3% from the previous derivatives expiry, as a spate of economic reforms announcements at home and quantitative easing measures abroad sent stocks soaring.
Options data, too, show that the upside could be limited from here, said Agrawal.
"We see 5760 as a crucial resistance level for next month," he said.
Among options, the highest open interest among put options was observed at 5300 strike price. Among call options, contracts at 5700 and 5800 strike prices had the highest open interest
One of the features of Thursday's expiry was the low cost of rollovers, caused by lower funding costs and also cheaper hedging costs through non-deliverable forwards (NDF).
"The expense of rolling over Nifty futures dropped further on Thursday. As a result, long index future holders opted to roll Nifty futures as against buying Nifty Index stocks basket in the last half hour," said Yogesh Radke, head - quantitative research at Edelweiss.
Bank Nifty index futures saw a weak rollover of 54%, much lesser than last expiry's 67%. While Axis BankB saw weaker rollovers than the previous month, Kotak Mahindra and ICICI BankBSE saw strong rollovers. In case of Kotak, this was on the short side. Analysts said that sentiment seemed to have turned in favour of government-run banks, especially State Bank of IndiaBSE
Rollover of equity derivatives positions to October had a cautious undertone when September contracts expired on Thursday as traders felt benchmark indices might take a pause after the brisk rally over the last fortnight.
Traders carried forward 64% of total positions in Nifty futures on Thursday, similar to the rollovers seen in the last expiry. The market-wide rollover was at 73%, also in-line with the activity seen in the previous expiry.
Analysts said that even as mood in the market is relatively cheerful, the overall rollovers indicated that investors do not think September's rally will continue in the immediate period ahead.
"A large number of Nifty September series futures were left to expire, indicating that traders expect some consolidation in the index next month. This could be led by profit booking at these levels," said Sahaj Agrawal, deputy VP - derivatives research derivatives at Kotak Securities.
Nifty October futures closed at 5684.30, or at a premium of 34.8 points to the underlying index; the contract had an open interest of 2.18 crore units, as per provisional data. Nifty declined 0.25% to 5,649.50. The index has gained 6.3% from the previous derivatives expiry, as a spate of economic reforms announcements at home and quantitative easing measures abroad sent stocks soaring.
Options data, too, show that the upside could be limited from here, said Agrawal.
"We see 5760 as a crucial resistance level for next month," he said.
Among options, the highest open interest among put options was observed at 5300 strike price. Among call options, contracts at 5700 and 5800 strike prices had the highest open interest
One of the features of Thursday's expiry was the low cost of rollovers, caused by lower funding costs and also cheaper hedging costs through non-deliverable forwards (NDF).
"The expense of rolling over Nifty futures dropped further on Thursday. As a result, long index future holders opted to roll Nifty futures as against buying Nifty Index stocks basket in the last half hour," said Yogesh Radke, head - quantitative research at Edelweiss.
Bank Nifty index futures saw a weak rollover of 54%, much lesser than last expiry's 67%. While Axis BankB saw weaker rollovers than the previous month, Kotak Mahindra and ICICI BankBSE saw strong rollovers. In case of Kotak, this was on the short side. Analysts said that sentiment seemed to have turned in favour of government-run banks, especially State Bank of IndiaBSE
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