Bulls vs Bears on expiry day: Nifty fell 7 times in past 10 months, will today be different?

Nifty50 has rallied by about 5.4 percent so far in November series and is on track to post highest gains since January series when the index rallied about 5.6 percent. But, talking specifically about the expiry day, historical data suggests that bears took control of D-Street in 7 out of the last 10 months.

Last 10 months data of 2018 suggests that Nifty slipped in the red on 7 out of last 10 expiry days. The index saw a cut of 0.98 percent in October, followed by 0.77 percent fall on June expiry day, and 0.69 percent drop seen in September and March.

The index rose by about 1.15 percent on May expiry day, followed by 0.45 gain seen in April and 0.32 upside recorded on July expiry day. 

The Nifty rollover for December series stands at 48.62 percent so far, slightly lower than the 3-month average of 68 percent, ahead of expiry. Market-wide rolls were at 65.54 percent, higher than the 3-month average of 63.67 percent.

“The Nifty open interest (OI) in December series is relatively lower than the previous series. With subdued roll spread of just 38 points, it seems like short positions are not getting rolled into next series,” ICICI Securities said in a note.

“It may result in some pressure in terms of VWAP in the settlement trade. Bank Nifty open interest is also on the higher side with 1.2 million shares. Roll spread in the banking space has also declined sharply to just 75 points indicating a short rollover,” the note said.

Currently, technology, media and pharma sectors are seeing high rollovers of positions while telecom, metals and oil & gas are seeing low rolls into the December series

High rollover is seen in PVR (87%), United Breweries (85%), Siemens (84%), Adani Power (86%) and Indiabulls Housing Finance (82%).

Low rollover is seen in Nestle India (36%), Bajaj Finserv (39%), InterGlobe Aviation (42%), OIL (42%) and Dalmia Bharat (44%).

With just one day to the settlement, rollover activity is still low in Nestle, Britannia, IndiGo, IDBI, IGL and South Bank

Among index stocks, Bajaj Auto (79%), Tech Mahindra (78%) and JSW Steel (76%) are witnessing high rolls into the next series, while GAIL (49%), Coal India (54%) and L&T (55%) are seeing relatively low rolls into the December series.