Summary Report for Nifty 50: Open Interest, Rollover and FII/DII Activity for the Expiry Week Ending April 30th, 2020

2 min read

By Ashutosh Dave

Price-Volume Analysis

The general price trend has been up during the expiry week, reacting to global cues. The Nifty 50 index breached 9800 level on the expiry day (30th April).

This was accompanied by higher than average daily volumes, which reached a high of 371911 contracts on the day of expiry, indicating upward momentum.

Open interest and Rollover Analysis

However, analysing the open interest and rollover percentage gives a different picture as can be seen below.

Although the open interest increased moderately this week, overall it remained subdued on a monthly basis in comparison to previous months, indicating to the fact that this short term momentum seen in price-volume data may not sustain.

The above reading is further emphasised as the rollover percentage into May remained low (below the six-month average). The rollover cost also declined to a small negative number of -0.12, indicating caution.

FII/DII Analysis

Both FIIs and DIIs showed some buying interest this week. But the overall contribution by FIIs was still negative for the month. The DIIs who were net sellers in the first couple of weeks in April seemed to have gotten in on the long side in the latter part of the month and were consistent net buyers on all days of the expiry week.

For the research methodology and more information on Nifty 50 futures refer to this earlier blog on QuantInsti.

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