Nifty September Futures Signal Caution as Fresh Shorts Build-Up

The Nifty 50 index declined nearly 0.7 percent on the last day of the August series, to close below 8,600 first time since August 17.

Nifty’s September futures added 23 percent to open interest, which indicates fresh short positions. Traders carried 84 percent of their Nifty futures positions forward to the next month. This is the highest roll over seen on expiry in the last six months.

Nifty Bank fell 0.4 percent with 48 percent addition in September futures open interest, again indicating accumulation of fresh shorts. Foreign Institutional Investors (FII), however, bought index futures worth Rs 942 crores on a net basis.

The India Volatility Index (VIX) made a new 17-month low on closing basis. The India VIX fell 1.5 percent to close at 13.28.

August series expired leaving a narrow range for September based on open interest distribution. Maximum open interest in lies in the 9000 call, though traders wrote nearly 11 lakh shares of the 8,700 Call on Thursday.

September’s 8,500 Put has maximum open interest forming a near term base for the Nifty. FIIs sold index options worth Rs 107 crore on net basis.