Nifty witnessed a rollover of 76% to the September series with 7mn shares left to expire worthless. However, the rollover was much higher when compared to the last two rollovers of August (69%) and July (55%). Nifty during the current expiry made a low of 4,353 on expectation of profit booking and bad monsoon. However, it failed to go further down and rallied strongly from thereon to close the expiry on a bullish note. In the current expiry, we believe Nifty rolls were higher on the long side as the cost of carry saw a surge in the premium of Rs8-10 for the September series on the expiry day. Market-wide open interest of Future now stands at approximately Rs448bn.
Total Market rollover (Stock future and Nifty future) to the September series stood at 84%, higher when compared sequentially. The current series has seen 215mn shares expire worthless as compared 242mn in the July series
