How to Compute Nifty Rollover Statistics – Amibroker AFL code

Rollover Statistics is a sentimental indicator in Futures and Option Market. Generally rollover figure shows how much of open positions are carry forward from current month to next month. And reading nifty rollover figures are meaningful only when the contract nears expiry season.

Why to do a Rollover in Future or Option contract?

People do rollover for variety of reasons
i)Expect the trend to continue in the near future.
ii)Not willing to book losses and expecting the trend to reverse from the current situation.
iii) Investors who take hedge positions by buying a stock in the spot market and selling it in the futures market.

 
Nifty Rollover Formula:

For Example say we can to calculate Nifty future Jan 2015 rollover statistics. Then the formula is

Note : The code works only with Authentic data vendors like Globaldatafeeds and Neotradeanalytics as they provide Open Interest Values for All the contracts.

Rollover Statistics – Amibroker AFL code
https://gist.github.com/42cf802d1fdceca3b375

High Rollover – High Rollover with high cost of carry indicates willingness to shift to next month contract even if the next month contract is trading at a big premium compared to the spot nifty and the sentiment is viewed as positive. whereas High rollover with high negative cost of carry indicates the sentiment is negative and people are carry forwarding their shorts and there is a willingness in the market to carry foward even if the next month future contract is trading at a big discount compared to spot nifty.

Sample Nifty Rollover Figures for Jan 2015 Contract – Hourly Chart

Low Rollover – Low Rollover generally means sluggish market and lack of confidence about the direction among the traders and investors.