September Bank Nifty rollover lowest in last 15 series

Bank Nifty saw a rollover of 65.31% in September series, in terms of percentage, which means the percentage of open interest carried forward to the next series is very low


Market participants opted for profit-booking in the last few trading sessions of the September series and many long positions that were created at the beginning of contract were “lightened”, resulting in lower Nifty rollover in the October series. A rollover refers to carrying forward a position, either long or short, to the next series.

They did the same with the Bank Nifty. It saw a rollover of 65.31% in September series, in terms of percentage; this is the lowest in last 15 series. That means the percentage of open interest (OI) carried forward to the next series is very low. This, according to some technical analysts, indicates that market participants are liquidating their positions as volatility has risen and there is a geopolitical concern looming.

“Yes, Bank Nifty has seen lowest rollover in percentage terms since June 2015 expiry, but the roll cost is higher and number of contracts is in line with the average. So, this means on a comparative basis, lesser number of participants are rolling positions, but longs are still intact as roll cost is rising,” said Chandan Taparia, a technical analyst with brokerage firm Anand Rathi.

Roll cost is the cost that a market participant has to bear to roll over his position to the next series.

Apart from the geopolitical risk, a key event that would be closely watched is the Reserve Bank of India’s monetary policy decision on 4 October.

Bank Nifty OI plunged nearly 40% when it corrected from its high of 20,500-20,600 and banking heavyweights have seen decent amount of long unwinding and are currently light on positions, said a recent derivatives rollover report by Angel Broking Pvt. Ltd. Bank Nifty hit a high of 20,575.80 on 7 September 2016.

Though the medium-term outlook is positive, market participants looking to build positions in the Bank Nifty now should do it cautiously, recommend experts.

“One should wait for a meaningful directional build-up before forming any positional trade,” Angel Broking note added.