Rollover analysis - March 2021 - YES Securities

Indian markets witnessing high end volatility in past couple of days with aggressive unwinding seen on index heavy weight stocks, Nifty settled the March expiry at 14,325 levels losing ~5% while Bank Nifty lost ~9% during the same period. Highlights for the March series are a) India VIX bottoming near 20 mark with high end intraday gyration seen for Index b) Participants reacting to many moving parts, with 10Yr US bond yields rallying from 1.3x to 1.75x, sharp gains for dollar index moving back to 92.5 mark, worrisome Covid situation keeping traders on edge c) Aggressive short buildup seen on Bank Nifty with aggregate base OI gains of ~2x compared to previous month.

Rollovers for Nifty/Bank-Nifty stood at 82% (98lacs shrs)/88% (29lakh shrs) vs 77% (1.04cr shrs)/77% (14lakh shrs) previous month, Aggressive short rolls for BankNifty as with 29lacs shrs rolled highest in previous 12 months' vs 9 months avg. of ~15lacs shrs. Market wide rolls stood at 85% lowest seen in recent times with 9months avg. of 91% as large unwinding seen on heavy weight stocks.

Source : Equity Bulls

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