More than 80 per cent of the open positions in stock futures rolled over to April series today on expiry of March contracts. |
However, volumes on National Stock Exchange's derivative segment were quite low at Rs 12,896 crore. The most active futures contracts were Tisco, Reliance Industries, Tata Motors and SBI. Nifty April futures closed at a steep premium to the spot Nifty. |
There was roll-over of around 72 per cent of open positions in the futures to the April series. The implied volatility in Nifty call and put options was at 24 per cent. |
Most stocks witnessed substantial roll-over and around 80 per cent of stock futures saw roll-over to the next month series. |
However, Polaris saw only 25 per cent roll-over today. This resulted in the stock falling sharply towards the close on unwinding of arbitrage positions in the spot market. Ranbaxy and HLL also witnessed some roll-over pressure. |
Meanwhile, the exposure margins on 12 scrips in the futures & options segment slipped to 6 per cent from 12 per cent. These 12 scrips include Bank of Baroda, BPCL, HCL Technologies, HPCL, Infosys Technologies, L&T, National Aluminium, ONGC, Oriental Bank of Commerce, Reliance Industries, Tata Motors, and Wipro. |
While the cumulative FII positions as percentage of total gross market position in the derivative segment as on Wednesday stood at 19.76 per cent. |