India VIX Rebounds From Record Low Amid Higher Futures Rollover

Options traders are paying the most in almost two months to protect against swings in Indian stocks ahead of monthly derivatives expiry on Sept. 25.

The India VIX index, a gauge of protection against stock-market losses using options, rebounded 7.3 percent from a record low of 11.6 yesterday, the steepest climb since Aug. 1. Futures traders rolled over 47 percent of their CNX Nifty Index contracts as of 4 p.m. in Mumbai, compared with the six-month average of 39 percent two days before expiration, according to data compiled by Bloomberg.

The Nifty dropped 1.6 percent to 8,017.55 at the close, the most in 11 weeks, amid concern the recent rally may have outpaced the outlook for profits. The gauge has still risen 27 percent this year as global investors bought the most amount of domestic shares among eight Asian markets tracked by Bloomberg. The index is valued at 15 times projected 12-month earnings, compared with the MSCI Emerging Markets Index’s multiple of 11.

“Stocks that have moved up substantially this series are seeing quite a lot of volatility,” Amit Trivedi, founder of InvestWorks Pvt, told Bloomberg TV India today.

The Nifty capped its biggest run of weekly advances in two years last week after Chinese President Xi Jinping pledged to invest $20 billion in India over five years. Prime Minister Narendra Modi met Japanese Prime Minister Shinzo Abe in Tokyo earlier this month and visits the U.S. by the month-end to meet President Barack Obama, looking to boost ties.

Nifty October futures were at 8,082.25. Indian derivative contracts expire on the last Thursday of every month.

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