Indian Bank Nifty Index Futures’ Rollover Rate Lowest This Year

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Indian traders extended the fewest CNX Bank Nifty index futures this year before the June contracts expired Thursday, amid speculation an interest-rate cut would improve the outlook for lenders.

The rollover rate of Bank Nifty futures was at 53 percent, according to data available at 3:38 p.m. in Mumbai. That’s set to be the lowest level this year for any monthly contract on the day of expiry and compares with a rollover rate of 64 percent in May, data compiled by Bloomberg show.

The Bank Nifty index has climbed 6.9 percent from a seven-month low on June 11, amid optimism the progress of monsoon rains will help check food prices and give the Reserve Bank of India more room to cut borrowing costs. A low rollover rate signals traders’ reluctance to carry forward their bearish or bullish bets. The Bank Nifty index is the second-most popular contract for futures and options trading.

“Traders are preferring to cover short positions instead of rolling them over on hopes the outlook for lenders will get better,” Hemant Nahata, a derivatives analyst at IIFL Holdings Ltd. in Mumbai, said in a phone interview on Thursday.

Bank Nifty’s rollover rate is even less than the 58 percent level for the 50-stock CNX Nifty index, which is also the lowest this year for a futures contract on expiry day.

Bank Nifty futures for July delivery rose 0.8 percent to 18,525, compared with 18,492.90 for the 12-member Bank Nifty spot index.

The Nifty index, in which financial shares have a weighting of more than 31 percent, advanced 0.4 percent. The India VIX Index, the benchmark gauge of options cost, increased 0.1 percent to 15.93.

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