India’s VIX Drops to Three-Month Low Amid Below-Average RolloverSantanu Chakraborty
India’s benchmark measure of options fell to a three-month low as stocks dropped for a sixth day before monthly derivative contracts expired on Thursday.
The India VIX index, a gauge of protection against market swings, slid 3.9 percent to 13.14 at the close in Mumbai, its lowest since Dec. 11. The CNX Nifty Index decreased 0.1 percent to 8,530.80, capping its longest losing streak in six weeks, after changing direction at least eight times on Wednesday.
The Nifty has lost 4.2 percent this month, on course for its steepest monthly fall since August 2013. Traders replaced 54 percent of March futures with April contracts as of 4:18 p.m., versus a six-month average of 60 percent one day before expiry, data compiled by Bloomberg show. The lower rollover rate signals caution before the financial year ends on March 31.
“Investors are taking a negative view for next month as reflected by the lower rollover,” Rajendra Wadher, director at PRB Securities, said in a phone interview. “Also, investors are facing redemption pressure before the year end.”
Foreigners have purchased $5.6 billion of shares this year amid expectations Prime Minister Narendra Modi will take measures to spur the nation’s economic growth. The Nifty trades at 15.8 times its 12-month projected earnings, compared with a multiple of 11.9 for the MSCI Emerging Markets Index.