What FII rollover data of Nifty, single stock futures mean for markets in April series?
FIIs) adopted a bullish stance in single stock futures (SSF) in the March series which means that they remain heavily committed to long positions in SSFs in the April series which begins on Monday. On the contrary, they significantly reduced their index short positions in the March series suggesting the upcoming series could see languishing movement in heavyweights, resulting in a range-bound Nifty.
For SSFs, FIIs added significant long positions as their net longs stood at 448,000 contracts versus 78,000 net long contracts at the start of the March series, a Nuvama analysis suggested. Their net short positions in the index stood at 24,000 contracts versus 59,000 shorts contracts at the start of the March series.
Nifty futures' rollover from the March series stood at 70% versus an average of 81% over the last three series, according to estimates by Nuvama. They will start the April series at a lower open interest (OI) base of Rs 27,300 crore or 1.22 crore shares versus the OI of Rs 30,900 crore or 1.41 crore shares seen at the start of the March series.
On the monthly expiry day on March 28, Thursday, the roll cost for Nifty was around 80 bps as compared to the previous day’s 78-80 bps, the report highlighted.
Market-wide futures open interest at the start of the April series stands at Rs 3.82 lakh crore which Nuvama said was at historic highs as compared to Rs 3.77 lakh crore at the start of the March series. Market-wide rollovers stand at 87%, lower than the three-month average of 91%.
SSF rollovers stood at
