Nifty begins December series at higher open interest base, suggests F&O rollover data. What does this indicate?

Nifty futures will start the December series at higher open interest (OI) base with futures rollovers standing at 79% as against 76% averaged over the last three series, Nuvama said in a note. It expects Nifty to trade in a broad range of 23,450 to 25,000 with heightened volatility at play.

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

Market-wide futures open interest at the start of December series stands at Rs 4.4 lakh crore as compared to Rs 4.1 lakh crore at the start of November series. Meanwhile, market-wide rollovers are at 89%, higher than the three-month average of 88%.

For Bank Nifty, rollover reached 76.8% on Wednesday, up from 69.4% in the previous expiry, Axis Securities said, adding that it is 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 the stock futures, rollovers stand at 93%, higher than the average rollovers of the last three series at 92%. Most frontline names saw their roll cost hovering around 53-58 bps with average decrease in roll cost across names being 1-2 bps day-on-day.

Several stocks, such as Indiamart Intermesh, Punjab National Bank (PNB), RBL Bank, Cholamandalam Investment and Finance Company and Berger Paints saw a higher rollover on Thursday compared to the previous expiry day, the Axis analysis said. In contrast, stocks like ACC, JSW Steel, Bharat Petroleum Corporation (BPCL), Coforge and Alkem Laboratories experienced a lower rollover on the same day.Sector-wise, the FMCG, media, finance, chemicals and banking sectors experienced higher rollovers, whereas the power, metals and realty sectors saw lower rollover activity compared to the same day of the previous expiry.Nuvama said that the markets are finding themselves at a tricky crossroads where a directional view is far from being clear.

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