India’s VIX Set to Drop for Third Day Before Derivatives Expire

India’s benchmark gauge of demand for equity options fell for a third day before monthly derivative contracts expire on Thursday.

The India VIX Index declined 4.1 percent to 15.23 at 12:21 p.m. in Mumbai, poised for its longest losing streak in two weeks. The CNX Nifty index gained 0.8 percent to 8,445.60, the most since July 22. The Sensex advanced 0.8 percent.

The drop in option costs comes as the Nifty rose for a second day, halting a 3.4 percent loss over a four-day period. The rollover rate in Nifty July futures, the proportion of bullish and bearish bets that traders have extended to future months, was at 60 percent. Indian derivatives expire on the last Thursday of every month.

“VIX decline signals investors expect the downtrend to be over for now,” Sanjiv Bhasin, executive vice president at India Infoline, said in a phone interview from New Delhi. “We expect the rollovers to pick up if the market remains bullish.”

Nine of the 13 Sensex firms, or 69 percent, have reported earnings for the June quarter have matched or beaten estimates, compared with 40 percent in the March quarter.

“Quarterly earnings are a mixed bag and haven’t provided any significant trigger for stocks yet,” Bhasin said.

Nifty put options with a strike price of 8,400, and 8,500 calls, were the most popular by number of outstanding contracts.

Nifty July futures climbed 0.9 percent to 8,450, while the contract for delivery in August added 0.8 percent to 8,489.

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