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Nifty Rollover Analysis

1. The rollover for Nifty Futures advances as 66% positions got rolled over to the September series as on D-1 days prior to expiry.

2. The current rollover is higher as compare with its three months average of 62% respectively observed at the same point prior to expiry

3. The rollover cost for long rollovers closed at 47 bps. 4. The total open interest in Nifty Futures across all contracts stands at 13.78Mn shares.

5. The Market wide August expiry rollover is at 78% on D-1 as compared to 77% on same day of previous expiry.

Banknifty Rollover Analysis

6. The BankNifty August expiry rollover is higher at 58% on D1 compared with 51% on same day of previous expiry.

7. BankNifty Futures OI stands at 2.70mn shares as against the OI of 2.77mn shares on D-1 of the last series.

8. The rollover cost for long rollovers closed at 47 bps.

9. The current rollovers in BankNifty is lower as compare with its three months average of 59% respectively observed at the same point prior to expiry.

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