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Arbitrage Expiry Analysis Note by JM Financial AMC - April 2024
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Below the note Arbitrage Expiry Analysis Note by JM Financial AMC.
* Total number of stocks available in F&O segment in April series were 182 (Large cap – 83, Midcap –72, Small cap – 27) as compared to 182 in March series (Large cap – 83, Midcap – 72, Small cap –27).
* Nifty Index gained 1.1% in April series while both Midcap Index and Small-cap Index closed with gains of 4.94% and 9.83% respectively.
* Market-wide rollover stood at ~90% which is in-line with its 3 months average rollover of ~90%.
* Average roll levels across stock futures during expiry week remained at around 70-73bps (cost to long rollers).
* It is expected that the markets in CY’24 would be volatile due to global macro uncertainty, news flow
* related to geopolitical tensions, US Fed rates and general elections.
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