Rollover in Indias S&P CNX Nifty Index futures was the lowest in seven months as traders carried fewer positions to the October series amid global financial turmoil, according to Prabhudas Lilladher. Traders rolled 47.5% of September contracts as of on Wednesday, the lowest reading since February for a day before expiry, Savio Shetty, an analyst at the Mumbai-based brokerage, said to agencies.
A lot of long rolls were executed owing to the narrow spreads. Roll spreads were relatively narrow this time leading to an advantage to long rollers. Short rollers want a spread of 65-70 basis points but the spread fell to as low as 35-40 bps on Thursday, said Vishal Jain, AVPequity derivatives, ICICI Securities. He added that the narrow spreads indicate a negative bias for the market.
However, several long rollers didnt roll over anticipating a further decline in spreads and bought in the cash market instead. That explains why the Nifty shot up in the last half an hour, said Jain.
Sectors such as auto, power, metal and infra saw considerable short covering on Thursday. Among individual stocks, Dhanlaxmi Bank, Bharat Forge, JSW Steel, JSW Energy, GMR Infra, Godrej Industries, Aditya Birla Nuvo and Pantaloon saw strong rolls in percentage terms.
The Nifty has shed more than 18% in the year to date on negative news flow from the US and euro zone together with sticky inflation and a rising interest rate scenario back home. India VIX, popularly known as the fear index, reached a two-year high on September 26.
Market participants expect Nifty to trade in a band of 4700-5200. Only if the Nifty crosses the resistance of 5,150 and sees good accumulation at this level, will the trend reverse. Else, Nifty will continue to trade at this level, said Jain.
According to Nandish Patel, senior derivative analyst, Sharekhan, the volume weighted average price for Nifty for the September series was 4950 and the Nifty breached this level on Thursday. We see 5200 on the cards. 4900 is a good support on the downside as we have seen good buying momentum at that level, he said.