India Nifty Futures Rollover Under 6-Month Average Before Expiry

Indian traders replaced a smaller proportion of CNX Nifty Index December futures expiring today with January contracts, signaling caution over stock prospects at the beginning of next year.

Traders rolled over 63 percent of December futures as of 3:56 p.m. in Mumbai, compared with the six-month average of 69 percent on the day of expiration, data compiled by Bloomberg show. The India VIX, a gauge of protection against stock-market losses using options, dropped 1.5 percent to 15.1. The 50-stock Nifty Index slid 1.1 percent to 8,174.10.

“Lower futures rollovers signals a risk to the downside for equities,” Megha Vazkar, the Mumbai-based head of institutional dealing at Maximus Securities Ltd., said in a phone interview. “The participation is still low.”

The Nifty has dropped in January in eight of the past 12 years, according to data compiled by Bloomberg. Indian stocks will continue their tradition of performing worst in January out of any month as investors take profit, Sunil Subramaniam, deputy chief executive officer at Chennai-based Sundaram Asset Management Co., said this month.

The Nifty is heading for its first drop in eight months in December after foreigners pulled about $1.04 billion from local equities in 10 days through Dec. 22. It’s still 30 percent higher in 2014, poised for its biggest annual gain since 2009.

Nifty futures for December delivery fell 1.2 percent to 8,173.55 while the January contract declined 0.8 percent to 8,276.95. Indian markets are closed tomorrow for Christmas, bringing forward the derivatives expiry by a day.

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