Rollover Analysis – September 2021 : Higher markets with rising Volumes by YES Securities
![](https://portfolio.investmentguruindia.com/investmentguruimages/upload/post/2021/10/8206d438664fb82ff489ca26565c8081.jpg)
Follow us Now on Telegram ! Get daily 10 - 12 important updates on Business, Finance and Investment. Join our Telegram Channel
https://t.me/InvestmentGuruIndiacom
Download Telegram App before Joining the Channel
Higher markets with rising vol’s
Back to back strong series for Nifty as rally broadened within the index, Nifty/BankNifty finished series with gains of 6% each. Highlights for the Sept series were a) India VIX rallied massive ~36% on eoe as participants bets for higher volatility & hedge against tail risk global events b) FII’s unwinding some leveraged bets in last week of expiry c) IT index was down ~6% in last week but still managed to eke out gains of ~3% on eoe basis d) Aggregate OI rollovers for Nifty down ~5% while Bank Nifty OI up ~40% from previous month e) Gamma long was in flavor as rising vols with sharp delta move seen.
Rollovers for Nifty/Bank‐Nifty stood at 74% (1.2cr shrs)/83% (21lakh shrs) vs 84% (1.3cr shrs)/79% (15lakh shrs) previous month, roll cost remained under pressure for Nifty as avg for past 4 days stood at ~20 points, Market wide rolls stood at 92%vs 89% previous month, huge sector churn visible beneath the Nifty rally.
FII’s derivative stats indicates long short index futures ratio at 1.3x for Oct. series vs 3 months avg. of 2.88x levels, while Index futures long roll stood at 96% vs 3 months avg. of 98%. On options front, Max. call/put OI on Nifty for Oct monthly series at 18k calls (OI 1.75mn) and 17k put (OI ~2.6mn) shares. Outlook, we expect large volatile moves in current series given higher vols pricing, global news flows (US & china developments), and earnings. Downside support at 17200 while upside 18k as range.
To Read Complete Report & Disclaimer Click Here
Please refer disclaimer at https://yesinvest.in/privacy_policy_disclaimers
SEBI Registration number is INZ000185632
Above views are of the author and not of the website kindly read disclaimer
![](https://portfolio.investmentguruindia.com/uploads/news/Amazon21Feb.jpg)
![](https://portfolio.investmentguruindia.com/uploads/news/Utkarsh Small Finance Bank.jpg)
![](https://portfolio.investmentguruindia.com/uploads/news/LifeInsurance647.jpg)
![](https://portfolio.investmentguruindia.com/uploads/news/ACC Thondebhavi.jpg)
![](https://portfolio.investmentguruindia.com/uploads/news/StoxBox Logo.jpg)
![](https://portfolio.investmentguruindia.com/uploads/news/Choice Broking.jpg)
![](https://portfolio.investmentguruindia.com/uploads/news/chandrababunaidu67.jpg)
![](https://portfolio.investmentguruindia.com/uploads/news/religare_stocks.jpg)
![](https://portfolio.investmentguruindia.com/uploads/news/Government67.jpg)
![](https://portfolio.investmentguruindia.com/uploads/news/ICRA06mar.jpg)
Tag News
![](https://portfolio.investmentguruindia.com/investmentguruimages/upload/post/2023/09/cc796169e4f7c012914c95f4a8efe430.jpg)
Weekly Market Analysis : Markets strengthened recovery and gained nearly 2% in the passing w...
![Weekly market outlook : The market is eagerly awaiting data on inflation and industrial production to provide further guidance Says Vinod Nair, Geojit Financial Services](https://portfolio.investmentguruindia.com/investmentguruimages/upload/post/2023/09/5f1fa5f12be5ac87ff9258ea3909f0f8.jpg)
![Market Quote : Benchmark Indices ended the week today just a few percentage away from record highs Says S Ranganathan, LKP securities](https://portfolio.investmentguruindia.com/investmentguruimages/upload/post/2023/09/f33c3d1dad571464e55a94475ae32892.jpg)
![Daily Market Commentary : Nifty closed higher for the sixth straight day with gains of 93 points (+0.5%) at 19820 levels Says Mr. Siddhartha Khemka, Motilal Oswal](https://portfolio.investmentguruindia.com/investmentguruimages/upload/post/2023/09/009b2b15289ce4f7e143526434c946d5.jpg)
More News
![](https://portfolio.investmentguruindia.com/investmentguruimages/upload/post/2021/08/7a0a1d78db8aaf7b4f3b06ac3c1c5b24.jpg)
Heavyweights join the party, sends Nifty beyond 16500 by Mr. Sameet Chavan, Angel Broking
![The existing Bearish Engulfing formation on its weekly scale is a strong sign of weakness - Tradebulls Securities](https://portfolio.investmentguruindia.com/investmentguruimages/upload/post/2023/04/6b8949cc124dce983f44f85113dc630b.jpg)
![Lower base will lead to higher growth in june quarter - Nirmal Bang](https://portfolio.investmentguruindia.com/investmentguruimages/upload/post/2021/07/01244ca723efb6abeded360fe2a5f3de.jpg)
![Daily Market Commentary : Domestic equities fell after two days of gains on the back of weak Chinese manufacturing data and cautiousness ahead of US Fed meeting says Mr. Siddhartha Khemka, Motilal Oswal Financial Services Ltd](https://portfolio.investmentguruindia.com//uploads/news/Broker_8.jpg)