Nifty rollovers gather steam

F&O OUTLOOK

The markets opened on a buoyant note and sustained the high levels on strong global cues. The broader indices advanced further in afternoon trades, but pared some of the gains before close. The Sensex finally closed at 17,806 (up 156 points), while Nifty closed at 5,270 (up 69 points). Buying was witnessed across the board.

The market wide rollovers picked up further, with about 48 per cent of the positions being carried forward into the March series. The roll cost continued to remain under pressure, hovering around 50-55 basis points. In line with expectations, the Nifty roll cost (cost for carrying over positions) expanded further to 30-31 points as against yesterday's 20-25 points.

The Nifty March futures contracts witnessed aggressive rollover of 54 per cent, up from the 33 per cent yesterday. Of the total Nifty open interest of 44.03 million shares, 23.93 lakh shares were rolled over. The market wide rollovers were up 46 per cent from 33 per cent yesterday.

There were aggressive short positions in the market due to lack of direction and high volatility, according to a derivative analyst at Edelweiss Research. He expects the volatility to continue and Nifty roll cost to expand albeit marginally.

The Nifty PCR strengthened further to 1.02 from 0.99 yesterday on account of aggressive buying of Put options. The ratio for the March options was higher at 1.94. However, the buying was confined to out-of-money puts at 4,700-5,000 strike prices, indicating that players were protecting down sides rather than going long.