With a truncated trading week, rollover of open positions tried to pick up pace today. On the market wide front, ~37% of the positions have been rolled over to the February series (~46% on D-2 of December series). Current market wide futures OI stands at ~INR 581 bn as against ~INR 634 bn on D-2 of December expiry. Roll cost levels in single stock futures stayed at Friday’s levels of ~70-75 bps (cost to the long rollers). Rollovers in Nifty too have been on a lower side. Around 31% of outstanding positions of Nifty have been rolled over to February series as against the 35% positions that were rolled by D-2 of previous expiry. However, the markets would take strong resistance at 6,000 on back of concentration for January series. So, we expect January expiry to settle between 5,800 to 5,900.
India VIX (Inverse relationship between Nifty and Indian VIX)
· Volatility for 24th January, 2011 close at 20.2 which is 4.1% lower as compared to previous close, after touching an intraday high of 21.1 and low of 20.1
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