Nifty and Bank Nifty | Hello December Series, Rollover analysis for Traders

Nifty Futures began the December series with open interest at 1.20 cr shares vs 1.05 cr shares in open interest. The December series started with Rs 127846 cr vs Rs 98189 cr in stock futures, Rs 15690 cr vs Rs 12305 cr in Nifty futures and Rs 156593 cr vs Rs 126614 cr in index options and Rs 30599 cr vs Rs 27518 cr in stock options. Nifty December month rollover is at 78.68% vs 77.45%. Bank Nifty’s December month rollover is at 79.35% vs 73.59%. Market-wide rollover is at 93.28% vs 92.85%.

November was a blockbuster series, where in the Nifty not only surpassed the previous lifetime high level but also closed the expiry with a series-on-series gain of 11.61%. Majority of the rise clocked by the Nifty was backed by addition of longs as month on month, the open interest in Nifty increased by 14%, the rollover was also on the higher side at 78.68% vs the three month average of 76% with a positive rollover cost of 35 points indicating majority of the long position has got carried forward to the next series.

While on the other hand Banking & Financial and Bank Nifty was the star performer for this series, registering a spectacular gain of 23% series on series, however open interest in this index decreased by 11% on a month on month basis, indicating short covering. The Rollover in Bank Nifty was also on the higher side at 79.35% compared to three-month average of 76.85%.

FII action in the cash market has been positive throughout the November series mainly backed by MSCI rebalancing. Till date they are net buyers of around Rs 57604 cr. On the derivatives front also they are net long in index futures of around 71756 contracts with long to short ratios of 76%. On the options front, in the December monthly expiry deep OTM 12000 PE, is highest in terms of open interest with 26.11 lakh shares, followed by ATM option 13000 PE which has 19.95 lakh shares in open interest. On the call side, the data is quite interesting as ATM Call 13000 CE is highest in open interest with 25.07 lakh shares followed by 13500 CE with 18.49 lakh shares.

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Put-call Ratio (PCR) in the December series started on the higher side at 1.48 levels. On the other hand post big event of US Election outcome the volatility index came down significantly from 29% to currently at around 20%.Seeing the above data, this is the third consecutive month where we have seen continued long rollover in Nifty and we have seen spectacular run ups in the index. FII’s is overly bullish in the market being it cash market or derivative and also Nifty is trading at a highest call base. Going forward only above 13100-13150 on closing basis we can expect sharp run-up in terms of short covering till 13500-13600. However on the lower side if 12750-12800 is breached on a closing basis then one need to stay cautious as we can see profit booking in terms of long unwinding, which could drag the market lower.