Nifty, Bank Nifty see higher rollover; Hero MotoCorp, HDFC Life find favour

However, the overall market wide position dipped below Rs 2.20 lakh crore for the first time in the last six months.

After two days of hectic trading activity, the focus has now clearly shifted to the upcoming monthly expiry for the last month of calendar year 2022. As of 09:50 AM, the Nifty December futures, which, expires this Thursday commanded 7 points premium; whereas the next month (January) futures traded at 110 points premium.

The Nifty futures, so far, this series has declined 2.7 per cent, and was seen testing the 18,000-mark.

"Nifty futures have seen a healthy rollover of 38 per cent to the next month series as of Monday as against 29 per cent in the previous comparative month. The Open Interest (OI) base, however, was slightly lower at 12.8 million shares as against 13.5 million shares," wrote Kruti Shah, derivatives & quant analyst at Equirus Capital in a report. 

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Rollover of the Bank Nifty futures was seen at 45 per cent as against 31 per cent in the previous month. The OI base stood at 2.8 million shares versus 3.1 million shares. The report further added, that the overall market wide rollover stood at 41 per cent similar to that of previous month.

The Nifty options data, following the sharp sell-off and equally strong bounce back, indicates strong resistance for the Nifty 18,300. Heavy call writing at the 18,300 Call, suggests that Nifty may be unable to close above this level for the December expiry.

The PCR (Put Call Ratio) moved from oversold territory of 0.55 to a neutral zone of 0.87. That apart, a mere 1.5 per cent drop in the Volatility Index (VIX) on Monday, suggests that the pull back may not sustain at higher levels on Tuesday, the report added.

Among F&O stocks, Kruti Shah reports that notable unwinding was observed across stock futures, and index heavyweights last week. The overall market wide position dipped below Rs 2.20 trillion for the first time in the last six months.

Hero MotoCorp, HDFC Life and Nestle were some of the stocks that witnessed pick-up in rollover activity. Whereas, higher residula OI per cent on a month-on-month basis was visible in ABB India, Bata India, Bharat Electronics and Adani Ports.

Sectorally, IT, cement and capital goods have witnessed better rollovers, data shows.