November series expires on a dismal note

November future & option (F&O) series turned out to be a dismal one with both the Nifty and Sensex losing about 8 percent for the series. The rollover across all index and stock derivatives to the December series was around 60%, compared with the average 65-70% carried forward in the last few months, clearly showing the bearish sentiments of the market. Traders refrained from carrying forward positions due to gloomy market prospects. Sectorally, maximum rollover was seen in Capital Goods of 66.54%, Cement 66.34% and Automobiles 65.26%, while lowest turnover were seen in Technology 49.67%, Pharma 52.52% and Infra 53.33%. With the rupee showing no major signs of recovery, FIIs have been pulling out of Indian markets quite significantly and that too have added in the fall for the series.

December series 4,500 and 4,700 puts have seen significant rise in open interest. In call options, built-up above 5,100 appears to be difficult and that may pose as a big resistance. On the upside Maximum OI was seen in the Nifty 5000 call with 37.7 lakh shares. While on downside, Maximum OI was seen in Nifty 4500 put with 59 lakh shares. Nifty is likely to find strong support at 4600-4650 levels and resistance will be at 4900-5050 levels.

Nifty November 2011 futures expired at 4,757.00 at a premium of 0.55 points over spot closing of 4,756.45, while Nifty December 2011 futures were at 4,777.25 at a premium of 20.80 points over spot closing. Nifty December futures saw addition of 24.98% or 4.71 million (mn) units taking the total outstanding open interest (OI) to 23.58 mn units. For the series, Sensex and Nifty closing at 15,858.49 and 4,756.45 respectively were down by around 8%. On the sectoral front, Bank Nifty plunged by 11%, CNX Midcap index lost 6%, while CNX IT down by 5% were the worst performer there was hardly any sectoral gauge that showed upmove. Scrip wise the series proved a disaster for some of the market heavy weights, ICICI Bank lost 175 during the series, Axis Bank and Maruti Suzuki were down by 14% each, RIL was down by 12% and JP Associates lost over 10% for the series. Suzlon suffered a setback and lost huge 36% in November series. However there were few gains too for the series, HUL surged by 135 while the drug major Cipla gained 9%.

After the last sessions pull back India VIX came down to 27.95 as compared to its previous close of 30.68 from previous session  but still remains in the psychological range of 30.

                                                                                                                       Finally at the end, among most active underlying, by contract value, SBI’s November 2011 futures were at a discount of 3.45 point at 1653.80 compared with spot closing of 1657.25. The number of contracts traded was 37,348. RIL November 2011 futures were at a discount of 1.95 point at 773.20 compared with spot closing of 775.15. The number of contracts traded was 34,692. SBI December 2011 futures were at a premium of 2.75 points at 1660.00 compared with spot closing of 1657.25. The number of contracts traded was 27,566. Infosys November 2011 futures were at a premium of 6.65 point at 2666.45 compared with spot closing of 2659.80. The number of contracts traded was 16,916. RIL December 2011 futures were at a premium of 6.55 point at 781.70 compared with spot closing of 775.15. The number of contracts traded was 28,011.