Nifty ends marginally higher on F&O expiry day

The domestic index CNX Nifty finished the July F&O series with a gain of about 325 points or about four percent.  Nifty went through a rollercoaster ride on the settlement day of November series futures and options contracts as sentiments turned highly volatile in the second half of the session. After getting a cautious but positive start, nifty showed some strength in morning trades, but the sentiments turned pessimistic in late morning trades as investors and foreign funds adopted a cautious approach, ahead of the release of July-September economic growth data on Friday and the RBI policy review on Tuesday. Also, there was cautiousness with the OPEC’s crucial meet scheduled today, to decide on whether the group members will go for a production cut or not, impacting the global crude prices.

Market, for rest of the session, seesawed around the neutral line as investors remained on the sidelines in the absence of any significant trigger at domestic front. However, some value buying in dying hours helped market to end the session in the green. Global credit rating agency Moody's statement that FDI inflows into the country will continue in the coming quarters of fiscal 2015 and beyond also provided some strength to local benchmark. Some support also came in from reports that foreign portfolio investors (FPIs) bought shares worth a net Rs 181.46 crore on November 26, 2014. Besides, covering-up of pending short positions by speculators on the last day of November series expiry in the derivatives segment also influenced sentiment. Traders were seen piling positions in information technology, Power and Auto while selling was witnessed in Consumer Durables, Realty and Metal sector stocks.

As expected a bout of volatility was witnessed in late trade as traders rolled over positions in the futures & options (F&O) segment from November 2014 series to December 2014 series. Sectorally, pharma, automobile and technology stocks witnessed high rollover of positions while stocks from the capital goods, power and media space witnessed relatively low rolls into the December series.

The top gainers from the F&O segment were BHEL, Reliance Capital and TVS Motor. On the other hand, the top losers were Crompton Greaves, DLF and Adani Ports. Meanwhile, India VIX - the gauge of underlying volatility in the market - has declined in today's session, which indicates that traders have slowdown buying options contracts. 

The India Volatility Index (VIX), a gauge for market's short term expectation of volatility decreased by 1.87% and reached 12.74. The 50-share CNX Nifty increased by 18.45 points or 0.22% to settle at 8,494.20. Nifty November 2014 futures expired at 8493 on Thursday at a discount of 1.20 points over spot closing of 8,494.20, while Nifty December 2014 futures ended at 8547.05 at a premium of 52.85 points over spot closing. Nifty December futures saw addition of 4.6 million (mn) units, taking the total outstanding open interest (OI) to 20.9 mn units. The near month derivatives contract will expire on December 24, 2014.

From the most active contracts, Reliance December 2014 futures traded at a premium of 7 points at 995.65 compared with spot closing of 988.65. The number of contracts traded were 38,442.

Reliance November 2014 futures traded at a premium of 0.15 points at 988.50 compared with spot closing of 988.65. The number of contracts traded were 37,405.

HDFC Bank December 2014 futures traded at a premium of 7.90 points at 956.05 compared with spot closing of 948.15. The number of contracts traded were 956.05.

HDFC Bank November 2014 futures traded at a premium of 1.65 points at 949.80 compared with spot closing of 948.15. The number of contracts traded were 36,002.

Crompton Greaves December 2014 futures traded at a premium of 1.70 points at 193.40 compared with spot closing of 191.70. The number of contracts traded were 30,270.

Among Nifty calls, 8600 SP from the December month expiry was the most active call with an addition of 0.63 million open interests. Among Nifty puts, 8,500 SP from the December month expiry was the most active put with an addition of 0.74 million open interests. The maximum OI outstanding for Calls was at 8500 SP (5.10 mn) and that for Puts was at 8,500 SP (3.01 mn).  The respective Support and Resistance levels of Nifty are: Resistance 8504.48 --- Pivot Point 8471.57 --- Support --- 8442.83.

The Nifty Put Call Ratio (PCR) finally stood at 0.84 for December month contract. The top five scrips with highest PCR on OI were Bajaj-auto (1.51), Hero MotoCorp (1.13), DLF (1.13), Century Textiles & Industries (1.11) and Mcleod Russel (1.09). 

Among most active underlying, Infosys witnessed an addition of 1.17 million of Open Interest in the December month futures contract, followed by State Bank of India witnessing an addition of 1.27 million of Open Interest in the December month contract; while ICICI Bank witnessed a contraction of 0.47 million of Open Interest, Reliance Industries witnessed a contraction of 3.14 million of Open Interest in the December month contract and Axis Bank witnessed an addition of 6.25 million of Open Interest in the December month's future contract.