Rollover in Nifty both in terms of percentage and open interest (OI) slipped below averages. In the case of Bank Nifty, rollover in percentage terms fell to 61.49% in November, the lowest since the July series of 2015—the lowest in 17 series. However, Bank Nifty OI surged. “Aggregate Bank Nifty OI increased from 45,000 contracts on 8 November to 78,000 contracts on 22 November, against an average pre-expiry open interest of 55,000 contracts in the last three months. Even now, stocks such as ICICI Bank Ltd and State Bank of India are seeing a meaningful amount of short positions being added.

Source: Mint November 29, 2016 02:31 UTC