Nifty, Bank Nifty rollover data shows short bets building up, costs rising

Nifty and Bank Nifty Rollover D-1 (one day to expiry) data showed that short bets are building up with a rise in rollover costs.

Nifty’s rollovers stand at 68 percent, with a 0.7 roll cost, compared to 65 percent in the last series. While Bank Nifty’s rollovers are at 59 percent, incurring a 0.8 roll cost, as opposed to 57 percent in the last series.

In terms of sectors, JM Financial’s rollover data indicates higher sectoral rollovers in Capital Goods (81 percent), Technology (80 percent), Pharma (79 percent), Finance (79 percent), Cement (79 percent), and Banking (78 percent).

Read more: Nifty may trade in 21,900-22,100 range on expiry day today; charts signal volatility

Noteworthy stocks with higher rollovers include Havells (91 percent), Mfsl (94 percent), Torntpharma (90 percent), Dlf (89 percent), Godrejcp (94 percent), Glenmark (94 percent), and Wipro (84 percent).

Nifty expiry day view

“PCR 0.67 with India Vix at 16.33 up 3 percent suggesting unwinding of puts as Nifty closed below the 22,000 mark surprising the put writers. CE writers piled up their writing bets at 22,100, 22,200, 22,300 strikes. Rollovers stood at 68 percent on a falling basis hinting short bets. Option chain suggests a broader price range of 21,800-22,100,” said Akshay Bhagwat, senior vice-president of derivative research at JM Financial.

“The Nifty is expected to oscillate around 21,950 within a range of 75 points. A negative tilt is anticipated until it remains below 22,050. A short unwinding trigger is possible only if 22,050 sustains. Resistance is at 22,100, with support at 21,850 and 21,775,” he said.

For Bank Nifty, the expected expiry range is between 45,800 and 46,200-46,300, according to Soni Patnaik, Assistant Vice President – Derivatives research at JM Financial.

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