Over 59% of NSE stock futures volume clustered around expiry in September: Vtrender
The four sessions from September 24 to 29 accounted for 59.4% of the total volume across the 100 most actively traded single-stock futures contracts tracked by Vtrender
A Vtrender study revealed that 59.4% of trading activity in NSE single-stock futures occurred during the four sessions surrounding September's expiry, indicating that average daily volumes can misrepresent liquidity on typical trading days. This concentration surpassed the 55% observed in August. Founder Shai Coelho attributed the recurring pattern to rollover activity, suggesting the concentration would persist.
The Top 100 contracts averaged 11.40 lakh contracts daily in September, while median daily activity totaled 6.59 lakh contracts, about 58% of the average. The study also calculated a rollover multiple, measuring activity during the four rollover sessions versus the remaining 16 sessions. The median rollover multiple across the Top 100 stocks was 4.4 times, with Policybazaar exhibiting the highest at 15.7 times.
Other stocks with significant rollover dependence included Ambuja Cement, Axis Bank, NTPC, and Trent, with multiples ranging from 8.5 to 10.4 times. However, some stocks, such as Solar Industries and Paytm, showed more stable activity. HDFC Bank remained the most actively traded stock future, but its median daily volume was still below its average.
Overall, futures activity remained stable compared to August, with average daily volume rising by 1.3%. The market's uncertainty over CAS led to a higher implied volatility in front-week settlements, which subsequently decreased as market understanding improved.
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