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Traders extended a smaller proportion of bets on CNX Nifty Index futures to January, before the current-month contracts expire on Wednesday.
Traders rolled over 48 per cent of December futures as of 4:04 pm here, compared with the six-month average of 56 per cent a day before expiration, data compiled by Bloomberg show. The India VIX, a gauge of protection against stock market losses using options, advanced 7.7 per cent, the most in a week. The 50-stock Nifty Index fell 0.7 per cent to 8,267 at the close. "Lesser rollover to January contracts signals a possible liquidation in the cash market in coming days," Manoj Vayalar, assistant vice-president of derivatives at Religare Securities, said by email. "We advise buying January 8,200 puts and selling 8,000 puts."
The Nifty is poised for its first decline in eight months in December, after slumping oil prices and Russia's currency crisis prompted foreigners to pull $1 billion from local equities in nine days through last Friday. The gauge has gained 30 per cent this year, set for the best annual increase since 2009.
Nifty futures for December delivery fell 0.8 per cent to 8,266.90, while the January contract also declined 0.8 per cent to 8,337.75. Markets are closed on Thursday, when monthly derivative contracts expire.
