No major correction expected tomorrow

As we get closer to Jan derivative contracts expiry, the cost of carry is getting lower. Reliance Jan contracts and the cash segment prices were almost at par. Sail Jan futures were trading at a discount.

Last month, the Nifty rollover was around 65 – 70% levels. This month, the figure until yesterday was pegged at 47%. For individual stocks, the rollovers haven’t been too bad until now at 55 – 60% levels. Long positions were not rolled over aggressively.

The implied volatility for Feb futures contracts has come down to around 20 % levels from the 24 - 25% levels seen a few days back.

The Put-Call ratio has corrected to 1.59 as of yesterday.

I am bullish on the market and don’t see a major correction coming in tomorrow in the event of expiry. But if the high premiums continue in individual stocks in the first half of the day, then we may see some correction in the last half an hour of trade tomorrow.

- Zeal Mehta, Derivatives Analyst, Emkay Shares