Derivatives Rollover Report |October 26, 2018
It was the second consecutive series that witnessed another strong bout of selling courtesy to global sell-off. It was
observed that, every attempt of some respite in the index was getting sold into and eventually index concluded the
series with a substantial cut of nearly 8%. Despite this carnage in the broader market, banking and Mid-cap baskets
somehow managed outperform the benchmark index.
During the series, we saw good amount of short formation in Nifty futures and these positions have been rolled over too.
Rollovers for Nifty stood at 75.83%, higher than the 3-month average of 70.69%. Stronger hands (FIIs) continued adding
short positions in index futures throughout the October series and also preferred rolling it in the coming series. Their index
futures ‘Long Short Ratio’ has also plunged from 46% to 29%. However, FIIs were buyers in stock futures segment and these
positions are still intact. At present, 10000 is an important psychological support and till the time index sustains above these
levels traders should strictly avoid any bearish bets.
BankNifty rollovers were on the higher side in terms of percentage (78.68%) as well as OI. This sector really out-
performed the benchmark in last series. One of the important observation was, at every positive price action we saw
good amount of open interest additions; hence, we believe majority of the position rolled to November series are on
long side. Hence, we expect this entire banking pack to show strength going ahead.
I
ndices Change
NIFTY & PCR Graph
Price
Change
3 month
INDEX
Price
(%)
Rollover
avg.
NIFTY
10124.90
(7.76)
75.83
70.69
BANKNIFTY
24817.45
(0.98)
78.68
74.03
NIFTYIT
14070.80
(12.16)
78.69
74.50
NIFTYMID50
4462.35
(5.56)
99.98
99.97
NIFTYINFRA
-
-
-
-
Monthly Gainers
Monthly Losers
Price
Ol
Price
Ol
Change Open
Change
Change Open
Change
Scrip
Price
(%)
Interest
(%)
Scrip
Price
(%)
Interest
(%)
JETAIRWAYS
230.00
35.97
5428800
(16.91)
INFIBEAM
30.70
(84.82)
13200000
(67.25)
ADANIPOWER
33.40
29.71
160700000
9.54
DHFL
178.85
(38.72)
18123000
18.96
ADANIENT
173.50
21.29
33904000
(10.22)
DISHTV
36.50
(36.74)
43336000
17.79
IDBI
59.30
20.53
38110000
(28.53)
PCJEWELLER
48.00
(28.57)
9103500
8.61
FEDERALBNK
80.90
14.43
43538000
(9.86)
JINDALSTEL
163.30
(27.49)
24288750
(16.94)
Note: Stocks which have more than 1000 contract in Futures OI.
Note: Stocks which have more than 1000 contract in Futures OI.
For Private Circulation Only
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Derivatives Rollover Report
Research Team Tel: 022 - 39357800 Extn-6824
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Derivative Research Team
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