Rollover Analysis – September 2021 : Higher markets with rising Volumes by YES Securities
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.
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