The rollover figures stood at 64% on the last day of rollover of Nifty November series. This was way below its three-month average of 71% and significantly lower than the strong rollover of 80% seen in October. According to derivative experts, lower relative November rollover is a result of a skewed average with higher rollover seen during the October series.
Even on a sectoral basis, the rollover figures remained well below its three-month average barring some of stocks from the chemical and fertiliser space which showed healthy short roll-overs compared to their three month averages.
Reliance, DLF and Cairn were some of the index heavyweights which had short rollovers while Kotak Mahindra Bank and ITC witnessed healthy positive rollovers. In the second half of the trading session, a rebound was witnessed with short-covering seen in the sugar, metals and banking stocks.
?The cost of positive roll-overs or the premium of the Nifty December futures over the spot towards the end of the trading session witnessed a huge jump as high as 33, which resembled a general trend of the rollovers turning positive with the market rebound,? said Savio Shetty, derivatives analyst with Prabhudas Lilladher. At the end of the session, the December series closed with a 25 points premium to the November or spot Nifty as against 17 points on Wednesday.
Traders however are still expecting the market to extend its decline from hereon which could be as low as 10% from the current levels.
According to TS Harihar, Derivatives Head at ICIC Securities ?while there exists a possibility wherein the Nifty could drift around 4,600-4,700 range till the end of of 2011 before rallying higher, the probability of such an outcome is also lower?.
?Given the worsening state of European debt crisis, if Italy agrees to take a haircut we could see the markets sliding another 8-10% from hereon in absence of any strong reform agenda in the domestic front,? he added.
The Nifty rose by about 1% on Thursday. According to Harihar it was a result of short-covering instead of an affirmed buying from institutional traders.
According to Shetty, the mark of 4,460 is expected to turn out as the crucial support for the Nifty on the downside. ?Nifty’s ability to hold on to this important level could decide the benchmark index’s fate in the near-term,? he added. On the higher side, resistance in the 4,780-4,800 range is expected to define the strength of the market.