Rollover Report - December 27, 2013 - Angel Broking

Rollovers are in-line with 3 month averages for NIFTY (68.22%) and BANKNIFTY (69.28%) in terms of absolute open interest. If in percentage Nifty is slightly less than it has shown rise in open interest while in BankNifty if in percentage it is slightly high then it has shown reduction in open interest.

Options data for Jan series is quite scattered albeit in a range. Put options have built-up in the range of 6000-6300 while most of the built-up in calls is at 6300-6600 range. Implied volatility is at lower levels of 15.62% and interestingly call IV's are far higher than put IV's. On immediate basis we may see mild pressure on markets which may lead to realignment of IV's where put IV's become higher than that of calls and overall IV's inching higher.

Liquidity scenario where US bond yields are hardening and Yen depreciating against dollar indicates that days of easy liquidity are slowly getting over but that does not imply withdrawal of liquidity. Markets may get into very tight range in the beginning of January series.

Source : Equity Bulls

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