FII-driven short bets trigger 3.4% decline in Nifty in October series

economictimes.indiatimes.com:

FIIs), Nifty index declined 3.4% in the October series. The Nifty futures rollovers at the start of the November series stood at 83% versus 79% in the last three series, a Nuvama report said.

The Nifty futures started the new series at a higher open interest (OI) base of Rs 21,900 crore comprising 1.16 crore shares versus OI of Rs 20,400 crore comprising 1.04 crore shares seen at the start of the October series, the report added.

Their net shorts stood at 152,000 contracts at the start of the November series versus 57,300 short contracts at the start of the October series, which in Nuvama's view was «one of the most sizable short bets» taken at the start of the series.

These trends signify a significant short build-up and on the expiry day on Thursday, the rollover cost for Nifty was around 50-52 bps as compared to the previous day’s 50 bps, the report said further.

Market-wide futures open interest at the start of the November series stands at Rs 2.71 lakh crore as compared to Rs 2.86 lakh crore at the start of the October series with rollovers at 92%, higher than the three-month average of 91%.

On the other hand, FIIs marginally decreased short bets in single stock futures with their net shorts standing at 136,000 contracts at the beginning of the November series versus 144,000 net short contracts at the start of the October series.

The report also points out to the stock futures rollovers standing at 94%, higher than the average rollovers of the last three series at 93%. The roll cost for SSF (single stock futures) stood at 63-66 bps as compared to the previous day’s of 66-70 bps.

Sectorally, a meaningful OI reduction is seen in oil & gas at the start of the November series at Rs 20,200 crore on the short side.