India VIX Index Advances Before October Derivatives Expiration

A gauge of Indian options used to protect against stock market swings rose for the first time in three days before the monthly derivatives expired today.

The India VIX index rose 2 percent to 13.3 at the close in Mumbai, after it dropped as much as 9.6 percent intraday. Futures traders rolled over 60 percent of their CNX Nifty Index contracts as of 4:45 p.m. local time, versus a three-month average of 69 percent on the day of expiration, according to data compiled by Bloomberg. The 50-stock Nifty Index added 1 percent to 8,169.20.

“Volatility and stocks both rose as traders covered their bearish positions before the derivatives expiry today,” Manoj Vayalar, assistant vice president of derivatives at Religare Securities Ltd. in Mumbai, said in a phone interview.

The Nifty has risen 2.6 percent in October, poised for a sixth straight month of gains, as Prime Minister Narendra Modi lifted price curbs on diesel, raised natural-gas costs and moved closer to ending the state monopoly on mining coal. The advance has been aided by speculation the central bank may cut interest rates as lower oil cools inflation in a nation that imports almost 80 percent of its oil.

Nifty futures for November delivery rose 0.6 percent to 8,185.50 today. Indian derivative contracts expire on the last Thursday of every month.

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